Domestic and International Influences on Business Cycle Regimes in Europe
Marianne Sensier (),
C R Birchenhall and
Denise Osborn ()
Centre for Growth and Business Cycle Research Discussion Paper Series from Economics, The University of Manchester
This paper examines the roles of domestic and international variables in predicting classical business cycle regimes in Germany, France, Italy and the UK over the period 1970 to 2001. A range of real and financial variables are used as leading indicators in domestic models, with these variables predicting regimes in Germany relatively well during the in-sample period to 1996, followed (in order) by the UK, Italy and France. Consideration of foreign variables leads to important roles for the composite leading indicators and interest rates of the US and Germany. The relative importance of these variables differs over countries, but overall they confirm the importance of international influences in the business cycles of these European countries. Three-months ahead post-sample forecasts are examined, with the international model for Germany correctly indicating recession during 2001.
Keywords: business cycle dating; financial variables; leading indicators; logistic classification models; regime prediction; business cycle linkages (search for similar items in EconPapers)
Pages: 40 pages
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Journal Article: Domestic and international influences on business cycle regimes in Europe (2004)
Working Paper: Domestic and International Influences on Business Cycle Regimes in Europe (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:man:cgbcrp:11
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