An Assessment of OECD and UK Leading Indicators

1996 ◽  
Vol 156 ◽  
pp. 63-71 ◽  
Author(s):  
Martin Weale
Keyword(s):  
Business Cycle ◽  
Standard Error ◽  
Turning Points ◽  
Leading Indicators ◽  
Var Models ◽  
National Statistics ◽  
Good Ability ◽  
The Business Cycle ◽  
The Uk

Leading indicators are produced by both the OECD and the UK Office of National Statistics as tools for predicting turning points of the business cycle. An assessment on the basis of performance at turning points is frustrated by their scarcity. It is found that the indicators generally have significant (but not good) ability to predict changes in the direction of the variable they are intended to lead. When they are included in VAR models the standard error of quarter on quarter changes is generally lower than when pure autoregressions are used. However, the forecasting power of such equations is poor, and the general conclusion is that such indicators are not good forecasting tools.

scholarly journals Forecasting Macedonian Business Cycle Turning Points Using Qual Var Model

2016 ◽  
Vol 5 (3) ◽  
pp. 61-78
Author(s):  
Magdalena Petrovska ◽  
Aneta Krstevska ◽  
Nikola Naumovski
Keyword(s):  
Business Cycle ◽  
Predictive Power ◽  
Turning Points ◽  
Probit Model ◽  
Economic Conditions ◽  
Var Model ◽  
Leading Indicators ◽  
Out Of Sample ◽  
The Business Cycle

Abstract This paper aims at assessing the usefulness of leading indicators in business cycle research and forecast. Initially we test the predictive power of the economic sentiment indicator (ESI) within a static probit model as a leading indicator, commonly perceived to be able to provide a reliable summary of the current economic conditions. We further proceed analyzing how well an extended set of indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker (2005). In continuation, we evaluate the quality of the selected indicators in pseudo-out-of-sample context. The results show that the use of survey-based indicators as a complement to macroeconomic data work satisfactory well in capturing the business cycle developments in Macedonia.

Judging the stance of the business cycle

2021 ◽  
pp. 222-240
Author(s):  
Jesper Rangvid
Keyword(s):  
Business Cycle ◽  
Turning Point ◽  
Turning Points ◽  
Leading Indicators ◽  
Economic Variables ◽  
Near Term ◽  
The Business Cycle

This chapter describes if and how we can detect business-cycle turning points. What variables should we study if we want to say something about the likelihood that the business cycle will change? The chapter discusses business-cycle ‘indicators’. It distinguishes between lagging, coincident, and leading indicators. Lagging indicators refer to economic variables that react to a change in the business cycle, i.e. variables that react after a business-cycle turning point. Coincident indicators tell us something about where we are right now in the business cycle. Leading indicators, which are probably the most important ones, tell us about the near-term outlook for the business cycle, i.e. forecast the business cycle. The chapter emphasizes that business-cycle turning points are hard to predict, but also that some indicators are more informative than others.

Predicting Turning Points of the Business Cycle: Do Financial Sector Variables Help?

2013 ◽  
pp. 63-81 ◽  
Author(s):  
A. Pestova
Keyword(s):  
Business Cycle ◽  
Predictive Power ◽  
Choice Model ◽  
Turning Points ◽  
Financial Sector ◽  
Leading Indicators ◽  
Macroeconomic Dynamics ◽  
Wide Range ◽  
The Business Cycle ◽  
Binary Choice Model

The objective of this study is to develop a system of leading indicators of the business cycle turning points for a wide range of countries, including Russia, over a period of more than thirty years. We use a binary choice model with the dependent variable of the state of economy: the recession, there is no recession. These models allow us to assess how likely is the change of macroeconomic dynamics from positive to negative and vice versa. Empirical analysis suggests that the inclusion of financial sector variables into equation can significantly improve the predictive power of the models of the turning points of business cycles. At the same time, models with financial and real sector variables obtained in the paper outperform the "naive" models based only on the leading indicator of GDP in the OECD methodology due to either a lower level of noise (recession model) or a higher predictive power (model of the recovery from recession).

Business Cycles and Turning Points: A Survey of Statistical Techniques

2003 ◽  
Vol 183 ◽  
pp. 90-106 ◽  
Author(s):  
Michael Massmann ◽  
James Mitchell ◽  
Martin Weale
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Turning Points ◽  
Statistical Techniques ◽  
The Business Cycle ◽  
The Uk

The business cycle has an importance in the popular debate which can tend to run ahead of the problems in measuring it. This paper provides a survey of the main statistical techniques that are used to measure the cycle. An application to the UK illustrates that the choice of what measure, or measures, to use is more than a dry academic issue. Inference about the business cycle is potentially sensitive to measurement. Fortunately, however, there is an element of consensus.

A Long View of the UK Business Cycle

2002 ◽  
Vol 182 ◽  
pp. 72-89 ◽  
Author(s):  
Jagjit S. Chadha ◽  
Charles Nolan
Keyword(s):  
Business Cycle ◽  
Interest Rates ◽  
Dominant Role ◽  
Real Wages ◽  
Long Run ◽  
Nominal Interest Rates ◽  
Short Run ◽  
The Business Cycle ◽  
The Uk ◽  
External Sector

We outline a number of ‘stylised’ facts on the UK business cycle obtained from analysis of the long-run UK annual dataset. The findings are to some extent standard. Consumption and investment are pro-cyclical, with productivity playing a dominant role in explaining business cycle fluctuations at all horizons. Money neutrality obtains over the long run but there is clear evidence of non-neutrality over the short run, particularly at the business cycle frequencies. Business cycle relationships with the external sector via the real exchange rate and current account are notable. Postwar, the price level is counter-cyclical and real wages are pro-cyclical, as are nominal interest rates. Modern general equilibrium macroeconomic models capture many of these patterns.

scholarly journals UNDERSTANDING REGIONAL ECONOMIC PERFORMANCE AND RESILIENCE IN THE UK: TRENDS SINCE THE GLOBAL FINANCIAL CRISIS

2020 ◽  
Vol 253 ◽  
pp. R18-R28
Author(s):  
Marianne Sensier ◽  
Fiona Devine
Keyword(s):  
Financial Crisis ◽  
Business Cycle ◽  
Global Financial Crisis ◽  
Peak Level ◽  
Economic Resilience ◽  
Employment Level ◽  
The Business Cycle ◽  
Regional Economic Performance ◽  
The Global Financial Crisis ◽  
The Uk

We investigate economic resilience of UK regions before, during and after the 2007/8 global financial crisis. We date business cycle turning points in real output, employment and productivity to assess the resilience dimensions of resistance, recovery and renewal and rank the economic resilience of regions in a resilience scorecard. Our empirical results reveal that the business cycle in productivity has not returned to its pre-recession peak level for Yorkshire and the Humber and the employment level has not recovered in Scotland. The resilience scorecard ranks the South East as the most resilient region with Northern Ireland the least resilient.

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

2002 ◽  
Vol 182 ◽  
pp. 96-105 ◽  
Author(s):  
Denise R. Osborn ◽  
Marianne Sensier
Keyword(s):  
Stock Market ◽  
Business Cycle ◽  
European Countries ◽  
Financial Variables ◽  
The Third ◽  
The Us ◽  
International Linkages ◽  
The Business Cycle ◽  
The Uk

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.

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