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Forecasting UK Industrial Production over the Business Cycle

Paul W Simpson, Denise Osborn () and Marianne Sensier ()

Journal of Forecasting, 2001, vol. 20, issue 6, 405-24

Abstract: This paper examines the information available through leading indicators for modelling and forecasting the UK quarterly index of production. Both linear and non-linear specifications are examined, with the latter being of the Markov-switching type as used in many recent business cycle applications. The Markov-switching models perform relatively poorly in forecasting the 1990s production recession, but a three-indicator linear specification does well. The leading indicator variables in this latter model include a short-term interest rate, the stock market dividend yield and the optimism balance from the quarterly CBI survey. Copyright © 2001 by John Wiley & Sons, Ltd.

Date: 2001
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Handle: RePEc:jof:jforec:v:20:y:2001:i:6:p:405-24