The Impact of GDP Data Revisions on Identifying and Predicting UK Recessions

Ana Beatriz Galvão () and Amit Kara
Authors registered in the RePEc Author Service: Ana Beatriz Galvão

Economic Statistics Centre of Excellence (ESCoE) Discussion Papers from Economic Statistics Centre of Excellence (ESCoE)

Abstract: Statistical offices revise GDP values to improve earlier GDP estimates. Revisions are led by updates on data availability and methodological changes, including those required for international comparability. In this paper, we apply the Bry-Boschan Quarterly (BBQ) algorithm for dating turning points on a set of UK real GDP data vintages to assess the impact of GDP data revisions on dating UK business cycles. A peak identified in 2011Q3 suggesting a recession in late 2011/early 2012 vanishes as data revisions are incorporated to previous estimates of real GDP. We also evaluate the impact of turning point revisions on the choice of indicators to provide accurate predictions of recession probabilities. In real-time, the GFK consumer confidence index is the best, but alternative indicators such as CBI retail orders and construction indices are more accurate if recession periods are identified with the latest vintage of real GDP.

Keywords: turning point algorithms; UK business cycles; probit models; recession probabilities; real-time data (search for similar items in EconPapers)
JEL-codes: C35 E32 (search for similar items in EconPapers)
Date: 2020-07
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (1)

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