CGBCR Business Cycle Forecast Updates May 2009
The Centre for Growth and Business Cycle Research has published a number of papers on forecasting business cycles utilising logistic regression models (see the list at the end of this page). These models have now been updated with data to April 2009 and all countries are currently forecasting recession. The UK classical business cycle forecasts includes a model that predicts twelve months-ahead, this is forecasting recession for 2009 but is indicating that the UK will emerge from this in 2010.
Our models deliver forecast probabilities of expansion, rather than the actual value of GDP. When this probability falls below 0.5 then the model forecasts that a recession is more likely to occur than not; this is interpreted as a recession warning signal.
The models utilise a range of leading indicator data including stock market indices, interest rates (or spread), real money, index of production, employment, sales, income and leading indicator indices.
For more details on the coefficients of the models and the recession probability charts please download the corresponding file below:
- US one and three months ahead CLI model
- US one and three months ahead financial variable models
- UK domestic and international models
- German domestic and international models
- French domestic and international models
- Italian domestic and international models
Download the data details in this PDF file
Publications
Osborn, D. R., Sensier, M. and van Dijk, D. (2003). 'Predicting Growth Cycle Regimes for European Countries', The euro area business cycle: stylized facts and measurement issues, CEPR book edited by Lucrezia Reichlin. Also Centre for Growth and Business Cycle Research Discussion Paper Series, University of Manchester, No. 39.
Osborn, D.R. and Sensier, M. (2002). 'The Prediction of Business Cycle Phases: Financial Variables and International Linkages', National Institute Economic Review, October 2002, no. 182, pp. 96-105. Also Centre for Growth and Business Cycle Research Discussion Paper Series, University of Manchester, No. 15.
Sensier, M., Artis, M., Birchenhall, C.R., and Osborn, D.R. (2002). 'Domestic and International Influences on Business Cycle Regimes in Europe', International Journal of Forecasting, 2004, vol. 20, pp. 343-357. Also Centre for Growth and Business Cycle Research Discussion Paper Series, University of Manchester, No. 11.
Birchenhall, C.R., Osborn, D.R. and Sensier, M. (2000). 'Predicting UK Business Cycle Regimes', Scottish Journal of Political Economy, 2001, vol. 48(2), pp. 179-195. Also Centre for Growth and Business Cycle Research Discussion Paper Series, University of Manchester, No. 2.
Birchenhall, C R., Jessen, H., Osborn, D.R. and Simpson, P.W. (1999). 'Predicting US Business Cycle Regimes', Journal of Business and Economic Statistics, vol 17, pp. 313-323