Investigating the Predictive Ability of ONS “Faster Indicators of UK Economic Activity”

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Investigating the Predictive Ability of ONS “Faster Indicators of UK Economic Activity”

Research Seminar

Tuesday 10 March 2020, 16:00 — 17:00

Research Seminar

Presented by:  Fotis Papailias (King’s College London)

Venue: Office for National Statistics, 1 Drummond Gate, London, SW1V 2QQ

Our paper investigates the predictive ability of ONS “Faster Indicators of UK Economic Activity” and considers some indicative ways these can be used in economic forecasting. It must be highlighted that ONS clearly states that the newly introduced big data-based indicators “…are not attempting to forecast or predict GDP or other headline economic statistics, and the indicators should not be interpreted in this way…”. A simple out-of-sample nowcasting exercise reveals that some of these indicators do have satisfactory performance in predicting the direction of GDP growth.

Fotis Papailias is a Lecturer in Banking & Finance at King’s Business School. He works in the areas of time series econometrics. His research interests include: (i) the analysis and forecasting of financial and macroeconomics series, (ii) resampling procedures for dependent data, (iii) portfolio selection and (iv) technical trading and investment decisions. His research has been published in well-known academic journals. He has been a consultant for small hedge funds, Oxford Economics and the European Commission.