The Prediction of Business Cycle Phases: Financial Variables and International Linkages
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.
Volume (Year): 182 (2002)
Issue (Month): 1 (October)
|Contact details of provider:|| Postal: 2 Dean Trench Street, Smith Square, London SW1P 3HE|
Phone: +44 (020) 7222 7665
Fax: +44 (020) 7654 1900
Web page: http://www.niesr.ac.uk
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Maximo Camacho & Gabriel Perez-Quiros, 2000.
"This Is What The Leading Indicators Lead,"
Computing in Economics and Finance 2000
132, Society for Computational Economics.
- C R Birchenhall & D R Osborn & M Sensier, 2000.
"Predicting UK Business Cycle Regimes,"
Centre for Growth and Business Cycle Research Discussion Paper Series
02, Economics, The Univeristy of Manchester.
- Chris Birchenhall & Marianne Sensier, 2000. "Predicting UK Business Cycle Regimes," Econometric Society World Congress 2000 Contributed Papers 0953, Econometric Society.
- Chris R. Birchenhall & Marianne Sensier & Denise R. Osborn, 2000. "Predicting Uk Business Cycle Regimes," Computing in Economics and Finance 2000 134, Society for Computational Economics.
- Artis, Michael J & Kontolemis, Zenon G & Osborn, Denise R, 1997. "Business Cycles for G7 and European Countries," The Journal of Business, University of Chicago Press, vol. 70(2), pages 249-79, April.
- Artis, Michael J & Zhang, Wenda, 1999. "Further Evidence on the International Business Cycle and the ERM: Is There a European Business Cycle?," Oxford Economic Papers, Oxford University Press, vol. 51(1), pages 120-32, January.
- Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001. "Modelling Business Cycle Movements in the UK Economy," Economica, London School of Economics and Political Science, vol. 68(270), pages 243-67, May.
- Birchenhall, Chris R, et al, 1999. "Predicting U.S. Business-Cycle Regimes," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 313-23, July.
- Artis, Michael J & Zhang, W, 1997.
"International Business Cycles and the ERM: Is There a European Business Cycle?,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 2(1), pages 1-16, January.
- Artis, Michael J & Zhang, Wenda, 1995. "International Business Cycles and the ERM: Is there a European Business Cycle?," CEPR Discussion Papers 1191, C.E.P.R. Discussion Papers.
- Andrew J. Filardo, 1993.
"Business cycle phases and their transitional dynamics,"
Research Working Paper
93-14, Federal Reserve Bank of Kansas City.
- Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 299-308, July.
- Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001.
"Forecasting UK Industrial Production over the Business Cycle,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 20(6), pages 405-24, September.
- Denise R. Osborn & Paul W. Simpson, 2000. "Forecasting UK Industrial Production Over the Business Cycle," Econometric Society World Congress 2000 Contributed Papers 1059, Econometric Society.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, 07.
When requesting a correction, please mention this item's handle: RePEc:sae:niesru:v:182:y:2002:i:1:p:96-105. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (SAGE Publishing)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.