UK Real‐Time Macro Data Characteristics

Garratt, Anthony; Vahey, Shaun P.

doi:10.1111/j.1468-0297.2006.01067.x

Cited by 45 publications

(44 citation statements)

References 23 publications

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“…One of the earlier works on the analysis of revisions in fiscal data is Gordo-Mora and The finding that revisions to fiscal data tend to reduce noise, rather than adding news, emerges also in Garratt and Vahey (2006) for a study on the UK. Based on the quarterly real-time dataset constructed for the UK by Castle and Ellis (2002) and spanning the period 1961Q3-1999Q2, the authors characterize the relationships between preliminary and subsequent measurements for 16 commonly used UK macroeconomic indicators, including government expenditure.…”

Section: Ecb Working Paper Series No 1408mentioning

confidence: 99%

Real-Time Data and Fiscal Policy Analysis: A Survey of the Literature

Cimadomo

2011

SSRN Journal

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Section: Ecb Working Paper Series No 1408mentioning

confidence: 99%

Real-Time Data and Fiscal Policy Analysis: A Survey of the Literature

Cimadomo

2011

SSRN Journal

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“…Such biases appear to have been endemic in National Accounts data in the United Kingdom and elsewhere, as documented for example in Akritidis (2003), and Garratt and Vahey (2006). Early papers also allowed for serial correlation across releases -that is that errors in today's measure of activity in 1999 might be related to errors in yesterday's measure of growth in 1999.…”

Section: An Overview Of the Literaturementioning

confidence: 99%

A State Space Approach to Extracting the Signal From Uncertain Data

Cunningham

Eklund

Jeffery

et al. 2009

Journal of Business and Economic Statistics

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Most macroeconomic data are uncertain -they are estimates rather than perfect measures of underlying economic variables. One symptom of that uncertainty is the propensity of statistical agencies to revise their estimates in the light of new information or methodological advances. This paper sets out an approach for extracting the signal from uncertain data. It describes a two-step estimation procedure in which the history of past revisions are first used to estimate the parameters of a measurement equation describing the official published estimates. These parameters are then imposed in a maximum likelihood estimation of a state space model for the macroeconomic variable.Keywords: Real-time data analysis; State space models; Data uncertainty; Data revisions JEL codes: C32, C53 * This paper represents the views and analysis of the authors and should not be thought to represent those of the Bank of England, Monetary Policy Committee, or any other organisation to which the authors are affiliated. We would like to thank the associate editor for extremely helpful comments on an early version of the paper. We have further benefited from helpful comments from Andrew Blake, Spencer Dale, Kevin Lee, Lavan Mahadeva, Tony Yates and Shaun Vahey. We would also like to thank Simon Van Norden for his constructive and incisive comments especially on the relation between our model and comparable recent models in the literature.

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“…Larger values indicate that the specification fit the data better. The difference of 10 In contrast to our four political series which essentially are real time estimates of public opinion (within the time frame of the respective survey), macroeconomic time series often are revised several times before final estimates are established (Garratt and Vahey, 2006). The degree of revision varies among economic series.…”

Section: Application To a Critical Case: Great Britain Backgroundmentioning

confidence: 99%

“…This could allow for deeper historical and policy counterfactual analyses. In this context, it is important that, when (if) they become available, we analyze real time macroeconomic time series for the U.K. and U.S. We do not include an analysis of such time series here because it possible that many citizens use some kind of 'bias adjustment' in assessing reports of policy choice and policy outcomes (Garratt and Vahey, 2006) and real time macroeconomic data for several of our key variables are available only in more temporally aggregated (quarterly) form. Also real time data sets do not include all the series we need to replicate our analysis.…”

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confidence: 99%

Democratic Accountability in Open Economies

Sattler

Brandt²,

Freeman

2010

QJPS

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We analyze democratic accountability in open economies based on different hypotheses about political evaluations and government responsiveness. Specifically, we assess whether citizens primarily rely on government policies or if they focus on economic outcomes resulting from these policies to evaluate governments. Our empirical analysis relies on Bayesian structural vector autoregression models for the British economy, aggregate monthly measures of public opinion, and economic evaluations from . We find that voters continuously monitor and strongly respond contemporaneously to changes in monetary and fiscal policies, but less to changes in macroeconomic outcomes. Voters also respond to policies differently when institutions change. When the Bank of England became politically independent, citizens shifted their attention toward fiscal policy, and the role of monetary policy in their evaluations decreased significantly. Finally, politicians respond to voting behavior by adjusting their policies in a sensible way. When vote intentions and approval decrease, the government reacts to the public by adjusting fiscal policy and, before the Bank of England became independent, also monetary policy. * Earlier versions of this paper were presented at the Conference on the Political Economy of International Finance (PEIF), Federal Reserve Bank Atlanta, February 9, 2007, and the Seminar of the Center for the Study of Democratic Politics, Princeton University, October 25, 2007. Brandt's and Freeman's research was sponsored by the National Science Foundation under grants numbers SES-0351179, SES-0351205 and SES-0540816. Sattler's research was supported by the Swiss National Science Foundation under grant number 101412-101962/1. Harold Clarke kindly provided data on subjective personal expectations. We thank William Bernhard, Mark Hallerberg, Jude Hays, Tim Hellwig, Patrick Kuhn, David Leblang, Angela O'Mahony, Thomas Plümper, Dennis Quinn, Ken Scheve, the anonymous referees and the editors for comments. The authors are solely responsible for the contents. 1It is a fundamental idea of modern democratic politics that citizens evaluate their government and hold it accountable for its performance. Citizens can do this in different ways. In a recent, major contribution, Duch and Stevenson (2008) applied a competence model to this problem. They stressed the importance of outcomes, which are realizations of policies subject to random shocks and thus containing noisy signals about policymakers' competence. An alternative hypothesis is that citizens primarily evaluate policies that governments choose to draw conclusions about the quality of government decisions.We use an empirical framework that allows us to examine these hypotheses. It is based on a Bayesian structural vector autoregression model for the British economy, aggregate public opinion, and economic evaluations. We use this framework to examine the mechanism connecting observable and unobservable government policies, economic performance and citizens' evaluations of e...

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UK Real‐Time Macro Data Characteristics

Cited by 45 publications

References 23 publications

Real-Time Data and Fiscal Policy Analysis: A Survey of the Literature

Real-Time Data and Fiscal Policy Analysis: A Survey of the Literature

A State Space Approach to Extracting the Signal From Uncertain Data

Democratic Accountability in Open Economies

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