Assessing the economy using faster indicators

George Kapetanios; Fotis Papailias

doi:10.1002/for.3026

Assessing the economy using faster indicators

George Kapetanios
, Fotis Papailias^*

^*Corresponding author for this work

Banking & Finance

King’s College London. Andreas Kornelakis is Senior Lecturer in International Management at King’s Business School
Knot Analytics Ltd.

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

44 Downloads (Pure)

Abstract

This paper constructs a coincident indicator for the United Kingdom employing—for the first time—a novel set of “faster” indicators recently published by the Office for National Statistics. Most of these variables were first released during the COVID-19 pandemic with the aim of facilitating economics and social research by more timely indicators. The empirical evidence suggests that a coincident indicator based on a novel weekly dataset successfully captures the economic conditions in real time. We further use this indicator in an out-of-sample macroeconomic nowcasting exercise targeting monthly economic growth, prices and retail sales.

Original language	English
Pages (from-to)	208-223
Number of pages	16
Journal	JOURNAL OF FORECASTING
Volume	43
Issue number	1
Early online date	12 Sept 2023
DOIs	https://doi.org/10.1002/for.3026
Publication status	Published - 31 Jan 2024

Keywords

coincident indicators
COVID-19
factor models
nowcasting

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10.1002/for.3026Licence: CC BY-NC-ND

Assessing the economy_Version of RecordFinal published version, 1.16 MBLicence: CC BY-NC-ND

Cite this

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abstract = "This paper constructs a coincident indicator for the United Kingdom employing—for the first time—a novel set of “faster” indicators recently published by the Office for National Statistics. Most of these variables were first released during the COVID-19 pandemic with the aim of facilitating economics and social research by more timely indicators. The empirical evidence suggests that a coincident indicator based on a novel weekly dataset successfully captures the economic conditions in real time. We further use this indicator in an out-of-sample macroeconomic nowcasting exercise targeting monthly economic growth, prices and retail sales.",

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Assessing the economy using faster indicators

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