CGBCR Business Cycle Forecast Updates November 2008
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). A selection of these models have now been updated with data up to October 2008 and the models for the US and Germany are currently forecasting recession. The UK growth cycle forecast (when output is below trend) suggests that the UK has been in a growth cycle recession since the end of 2007 but the classical business cycle forecasts for the UK still predict expansion. The models for France and Italy also forecast expansion. The next update for these models will appear here in February 2009.
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 growth cycle model
- 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