Hostname: page-component-78c5997874-xbtfd Total loading time: 0 Render date: 2024-11-05T10:31:09.515Z Has data issue: false hasContentIssue false
  • English
  • Français

The Prediction of Business Cycle Phases: Financial Variables and International Linkages

Published online by Cambridge University Press:  26 March 2020

Denise R. Osborn  and
Marianne Sensier
Denise R. Osborn
Affiliation:
Centre for Growth and Business Cycle Research, School of Economic Studies, University of Manchester, Manchester, M13 9PL
Marianne Sensier*
Affiliation:
Centre for Growth and Business Cycle Research, School of Economic Studies, University of Manchester, Manchester, M13 9PL
*
e-mail: [email protected]
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper discusses recent research at the Centre for Growth and Business Cycle Research on the prediction of the expansion and recession phases of the business cycle for the UK, US, Germany, France and Italy. Financial variables are important predictors in these models, with the stock market playing a key role in the US but not the European countries, including the UK. In contrast, international linkages are important for the European countries. Our models suggest that the US and German economies have now emerged from the recession of 2001, and that all five countries will be in expansion during the third quarter of this year.

Type
Articles
Information
National Institute Economic Review , Volume 182 , October 2002 , pp. 96 - 105
Copyright
Copyright © 2002 National Institute of Economic and Social Research

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

∗

The authors would like to thank the Leverhulme Trust for financial support under the project ‘International Growth and Business Cycles’. We would also like to acknowledge that this paper draws heavily on work with our CGBCR colleagues, Chris Birchenhall and Mike Artis, without implicating them in any errors herein.

References

Artis, M.J., Kontolemis, Z.G. and Osborn, D.R. (1997), ‘Business cycles for G7 and European countries’, Journal of Business, 70, pp. 249–279.CrossRefGoogle Scholar
Artis, M.J. and Zhang, W. (1997), ‘International business cycle and the ERM: is there a European business cycle?’, International Journal of Finance and Economics, 2, pp. 1–16.3.0.CO;2-7>CrossRefGoogle Scholar
Artis, M.J. and Zhang, W. (1999), ‘Further evidence on the international business cycle and the ERM: is there a European business cycle?’, Oxford Economic Papers, 51, pp. 120–132.CrossRefGoogle Scholar
Birchenhall, C. R., Jessen, H., Osborn, D. R. and Simpson, P. (1999), ‘Predicting US business-cycle regimes’, Journal of Business and Economic Statistics, 17, pp. 313–323.Google Scholar
Birchenhall, C.R., Osborn, D.R. and Sensier, M. (2001), ‘Predicting UK business cycle regimes’, Scottish Journal of Political Economy, 48, pp. 179–198.CrossRefGoogle Scholar
Burns, A.F. and Mitchell, W.C. (1946), Measuring Business Cycles, New York, National Bureau of Economic Research.Google Scholar
Camacho, M. and Perez-Quiros, G. (2002), ‘This is what the leading indicators lead’, Journal of Applied Econometrics, 17, pp. 61–80.CrossRefGoogle Scholar
Camba-Mendez, G., Kapetanios, G., Smith, R.J., and Weale, M.R. (2001), ‘An automatic leading indicator of economic activity: forecasting GDP for European countries’, The Econometrics Journal, 4, pp. 56–90.CrossRefGoogle Scholar
Central Statistical Office (1975), ‘Cyclical indicators for the United Kingdom economy’, Economic Trends, 271, March, pp. 95–109.Google Scholar
Estrella, A. and Mishkin, F. S. (1998), ‘Predicting U.S. recessions: financial variables as leading indicators’, Review of Economics and Statistics, 80, pp. 45–61.CrossRefGoogle Scholar
Filardo, A.J. (1994), ‘Business cycle phases and their transitional dynamics’, Journal of Business and Economic Statistics, 12, pp. 299–308.Google Scholar
Green, G.R. and Beckman, M.A. (1993), ‘Business cycle indicators: upcoming revisions of composite leading indicators’, Survey of Current Business, 73, pp. 44–51.Google Scholar
Hall, R., Feldstein, M., Frankel, J.Gordon, R., Mankiw, N.G., Zarnowitz, V. (2002), ‘The NBER's business-cycle dating procedure’, 6 August, http://www.nber.org/cycles/recessions.html.Google Scholar
Hamilton, J.D. (1989), ‘A new approach to the economic analysis of nonstationary time series and the business cycle’, Econometrica, 57, pp. 357–384.CrossRefGoogle Scholar
O'Dea, D.J. (1975), Cyclical Indicators for the Postwar British Economy, Cambridge, Cambridge University Press.Google Scholar
Osborn, D.R., Sensier, M. and Simpson, P.W. (2001), ‘Forecasting and the UK business cycle’, chapter 7 in Hendry, D.F. and Ericsson, N.R. (eds), Understanding Economic Forecasts, Cambridge Massachusetts, MIT Press.Google Scholar
Nilsson, R. (1987), ‘OECD leading indicators’, OECD Economic Studies, 9, pp. 105–146.Google Scholar
Sensier, M., Artis, M.J., Osborn, D. R. and Birchenhall, C. R. (2002), ‘Domestic and international influences on business cycle regimes in Europe’, Centre for Growth and Business Cycle Research Discussion Paper Series, University of Manchester, No. 11; http://www.ses.man.ac.uk/cgbcr/discussi.htm.Google Scholar
Simpson, P.W., Osborn, D.R. and Sensier, M. (2001), ‘Modelling business cycle movements in the UK economy’, Economica, 68, pp. 243–267.CrossRefGoogle Scholar