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An Assessment of OECD and UK Leading Indicators

Published online by Cambridge University Press:  26 March 2020

Martin Weale
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Abstract

Leading indicators are produced by both the OECD and the UK Office of National Statistics as tools for predicting turning points of the business cycle. An assessment on the basis of performance at turning points is frustrated by their scarcity. It is found that the indicators generally have significant (but not good) ability to predict changes in the direction of the variable they are intended to lead. When they are included in VAR models the standard error of quarter on quarter changes is generally lower than when pure autoregressions are used. However, the forecasting power of such equations is poor, and the general conclusion is that such indicators are not good forecasting tools.

Type
Articles
Information
National Institute Economic Review , Volume 156 , May 1996 , pp. 63 - 71
Copyright
Copyright © 1996 National Institute of Economic and Social Research

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Footnotes

∗

I am grateful to the Editorial Board and in particular to Nigel Pam for helpful comments.

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