Improving real-time estimates of output and inflation gaps with multiple-vintage models

Real-time estimates of output gaps and inflation gaps differ from the values that are obtained using data available long after the event. Part of the problem is that the data on which the real-time estimates are based is subsequently revised. We show that vector-autoregressive models of data vintages provide forecasts of post-revision values of future observations and of already-released observations capable of improving estimates of output and inflation gaps in real time. Our findings indicate that annual revisions to output and inflation data are in part predictable based on their past vintages.

Forecasting with vector autoregressive models of data vintages: US output growth and inflation

Vintage-based vector autoregressive models of a single macroeconomic variable are shown to be a useful vehicle for obtaining forecasts of different maturities of future and past observations, including estimates of post-revision values. The forecasting performance of models which include information on annual revisions is superior to that of models which only include the first two data releases. However, the empirical results indicate that a model which reflects the seasonal nature of data releases more closely does not offer much improvement over an unrestricted vintage-based model which includes three rounds of annual revisions.

Probability distributions or point predictions? Survey forecasts of US output growth and inflation

We consider whether survey respondents’ probability distributions, reported as histograms, provide reliable and coherent point predictions, when viewed through the lens of a Bayesian learning model. We argue that a role remains for eliciting directly-reported point predictions in surveys of professional forecasters.

Consensus and uncertainty: using forecast probabilities of output declines

A number of studies have addressed the relationship between intra-personal uncertainty and inter-personal disagreement about the future values of economic variables such as output growth and inflation using the SPF. By making use of the SPF respondents' probability forecasts of declines in output, we are able to construct a quarterly series of output growth uncertainty to supplement the annual series that are often used in such analyses. We also consider the relationship between disagreement and uncertainty for probability forecasts of declines in output.

UK construction orders and output: A comparison of government and commercially available data 1995-2001

Because of the importance and potential usefulness of construction market statistics to firms and government, consistency between different sources of data is examined with a view to building a predictive model of construction output using construction data alone. However, a comparison of Department of Trade and Industry (DTI) and Office for National Statistics (ONS) series shows that the correlation coefcient (used as a measure of consistency) of the DTI output and DTI orders data and the correlation coefficient of the DTI output and ONS output data are low. It is not possible to derive a predictive model of DTI output based on DTI orders data alone. The question arises whether or not an alternative independent source of data may be used to predict DTI output data. Independent data produced by Emap Glenigan (EG), based on planning applications, potentially offers such a source of information. The EG data records the value of planning applications and their planned start and finish dates. However, as this data is ex ante and is not correlated with DTI output it is not possible to use this data to describe the volume of actual construction output. Nor is it possible to use the EG planning data to predict DTI construc-tion orders data. Further consideration of the issues raised reveal that it is not practically possible to develop a consistent predictive model of construction output using construction statistics gathered at different stages in the development process.

The inflation hedging characteristics of US and UK investments: a multi-factor error correction approach

Historic analysis of the inflation hedging properties of stocks produced anomalous results, with equities often appearing to offer a perverse hedge against inflation. This has been attributed to the impact of real and monetary shocks to the economy, which influence both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results have been mixed. This paper explores the relationship between commercial real estate returns (from both private and public markets) and economic, fiscal and monetary factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalisation stock returns in both markets is carried out. Inflation is subdivided into expected and unexpected components using different estimation techniques. The analyses are undertaken using long-run error correction techniques. In the long-run, once real and monetary variables are included, asset returns are positively linked to anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real estate returns, particularly direct market returns, exhibit characteristics that differ from equities.

An empirical investigation of the effects of rounding on the SPF probabilities of decine and output growth histograms

I consider the possibility that respondents to the Survey of Professional Forecasters round their probability forecasts of the event that real output will decline in the future, as well as their reported output growth probability distributions. I make various plausible assumptions about respondents’ rounding practices, and show how these impinge upon the apparent mismatch between probability forecasts of a decline in output and the probabilities of this event implied by the annual output growth histograms. I find that rounding accounts for about a quarter of the inconsistent pairs of forecasts.

Long-run restrictions and survey forecasts of output, consumption and investment

We consider the extent to which long-horizon survey forecasts of consumption, investment and output growth are consistent with theory-based steady-state values, and whether imposing these restrictions on long-horizon forecasts will enhance their accuracy. The restrictions we impose are consistent with a two-sector model in which the variables grow at different rates in steady state. The restrictions are imposed by exponential-tilting of simple auxiliary forecast densities. We show that imposing the consumption-output restriction yields modest improvements in the long-horizon output growth forecasts, and larger improvements in the forecasts of the cointegrating combination of consumption and output: the transformation of the data on which accuracy is assessed plays an important role.

Subseasonal extremes of precipitation and active-break cycles of the Indian summer monsoon in a climate-change scenario

Changes to the behaviour of subseasonal precipitation extremes and active-break cycles of the Indian summer monsoon are assessed in this study using pre-industrial and 2 × CO2 integrations of the Hadley Centre coupled model HadCM3, which is able to simulate the monsoon seasonal cycle reasonably. At 2 × CO2, mean summer rainfall increases slightly, especially over central and northern India. The mean intensity of daily precipitation during the monsoon is found to increase, consistent with fewer wet days, and there are increases to heavy rain events beyond changes in the mean alone. The chance of reaching particular thresholds of heavy rainfall is found to approximately double over northern India, increasing the likelihood of damaging floods on a seasonal basis. The local distribution of such projections is uncertain, however, given the large spread in mean monsoon rainfall change and associated extremes amongst even the most recent coupled climate models. The measured increase of the heaviest precipitation events over India is found to be broadly in line with the degree of atmospheric warming and associated increases in specific humidity, lending a degree of predictability to changes in rainfall extremes. Active-break cycles of the Indian summer monsoon, important particularly due to their effect on agricultural output, are shown to be reasonably represented in HadCM3, in particular with some degree of northward propagation. We note an intensification of both active and break events, particularly when measured against the annual cycle, although there is no suggestion of any change to the duration or likelihood of monsoon breaks. Copyright © 2009 Royal Meteorological Society

A review of palaeoclimates and palaeoenvironments in the Levant and Eastern Mediterranean from 25,000 to 5000 years BP: setting the environmental background for the evolution of human civilisation

The southern Levant has a long history of human habitation and it has been previously suggested that climatic changes during the Late Pleistocene-Holocene stimulated changes in human behaviour and society. In order to evaluate such linkages, it is necessary to have a detailed understanding of the climate record. We have conducted an extensive and up-to-date review of terrestrial and marine climatic conditions in the Levant and Eastern Mediterranean during the last 25,000 years. We firstly present data from general circulation models (GCMs) simulating the climate for the last glacial maximum (LGM), and evaluate the output of the model by reference to geological climate proxy data. We consider the types of climate data available from different environments and proxies and then present the spatial climatic "picture" for key climatic events. This exercise suggests that the major Northern Hemisphere climatic fluctuations of the last 25,000 years are recorded in the Eastern Mediterranean and Levantine region. However, this review also highlights problems and inadequacies with the existing data. (c) 2006 Elsevier Ltd. All rights reserved.

The impact of market and supply configurations on the costs of tendering in the construction industry

The cost of tendering in the construction industry is widely suspected to be excessive, but there is little robust empirical evidence to demonstrate this. It also seems that innovative working practices may reduce the costs of undertaking construction projects and the consequent improvement in relationships should increase overall value for money. The aim of this proposed research project is to develop mechanisms for measuring the true costs of tendering based upon extensive in-house data collection undertaken in a range of different construction firms. The output from this research will enable all participants in the construction process to make better decisions about how to select members of the team and identify the price and scope of their obligations.

Diet digestibility, rate of passage, and eating and rumination behavior of Jersey and Holstein cows

Diet digestibility and rate of passage, eating and rumination behavior, dry matter intake (DMI), and lactation performance were compared in 6 Jersey and 6 Holstein multiparous cows. Cows were fed gestation diets according to body weight (BW) beginning 7 wk before expected calving and ad libitum amounts of a lactation diet postpartum. Diet digestibility and rate of passage were measured in 5-d periods at wk 5 prepartum and wk 6 and 14 of lactation. Eating and ruminating behavior was measured over 5-d periods at wk 5 and 2 prepartum and wk 2, 6, 10, and 14 of lactation. Milk yield and DMI were higher in Holsteins, but milk energy output per kilogram of metabolic BW (BW0.75) and intake capacity (DMI/kg of BW) did not differ between breeds. Holsteins spent longer ruminating per day compared with Jerseys, but daily eating time did not differ between breeds. Jerseys spent more time eating and ruminating per unit of ingested feed. The duration and number of meals consumed did not differ between breeds, but the meals consumed by Jerseys were distributed more evenly throughout each 24-h period, providing a more regular supply of feed to the rumen. Feed passed through the digestive tract more quickly in Jerseys compared with Holsteins, suggesting particle breakdown and rumen outflow were faster in Jerseys, but this may also reflect the relative size of their digestive tract. Neutral detergent fiber digestibility was greater in Jerseys, despite the shorter rumen retention time, but digestibility of dry matter, organic matter, starch, and N did not differ between breeds. Utilization of digested N for tissue retention was higher at wk 5 prepartum and lower at wk 14 of lactation in Jerseys. In contrast to numerous published studies, intake capacity of Jerseys was not higher than that of Holsteins, but in the present study, cows were selected on the basis of equal expected milk energy yield per kilogram of metabolic BW. Digestibility of neutral detergent fiber and rate of digesta passage were higher in Jerseys, probably as a consequence of increased mastication per unit of feed consumed in Jerseys and their smaller size.