Predicting UK Business Cycle Regimes

Birchenhall, Chris; Osborn, Denise R.; Sensier, Marianne

doi:10.1111/1467-9485.00193

Cited by 57 publications

(47 citation statements)

References 41 publications

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“…To identify peaks and troughs in house prices, Cook (2012) drew upon the work of Birchenhall et al (2001) and Cook and Thomas (2003). The rules employed to derive turning points under this approach are provided in given the quarterly nature of the data considered, peaks (troughs) are periods which are relatively high (low) over a two year period.…”

Section: Business Cycle Datingmentioning

confidence: 99%

A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices

Cook

Watson

2016

Urban Studies

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An alternative perspective is provided on the existence of a ripple effect in the UK housing market. In contrast to previous studies, the analysis involves consideration of information on the changes in house prices to which the hypothesis of house price diffusion posited by the ripple effect relates, rather than their levels. In an examination of changes in house prices in London relative to other regions of the UK, directional forecasting methods are employed to establish the extent of the relationship between geographical proximity and comovement across the three month window provided by quarterly data. Consequently, the analysis provides a direct examination of the ripple effect which refers to changes in prices rather than the convergence of levels which has become a feature of the empirical literature. The literature is extended further by both the application of dating techniques to perform the analysis across cycles and phases of cycles (recovery and recessionary periods) in the UK housing market, and the use of data from two alternative house price index providers. Striking results in support of the presence of a ripple effect are noted, particularly for the less commonly considered Halifax price index where the most significant results for comovement with London are exhibited by its contiguous regions. In addition, the cyclical subsamples considered indicate comovement to be greater during upturns, rather than downturns in the market. This is consistent with previous research showing London to correct, i.e. exhibit differing behaviour to other regions, during downturns.

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Section: Business Cycle Datingmentioning

confidence: 99%

A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices

Cook

Watson

2016

Urban Studies

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“…To do this, the approach of Cook and Thomas (2003) is employed. Drawing upon the techniques of Birchenhall et al (2001), Cook and Thomas (2003) identify peaks as periods with values: greater than or equal to values observed in the previous two years; strictly greater than values in the following six months; and, greater than or equal to values observed between six months and two years ahead. Conversely, troughs are defined as periods with values (i) less than or equal to values observed in the previous two years, (ii) strictly less than values in the following six months and (iii) less than or equal to values observed between six months and two years ahead.…”

Section: β-Convergence and Cycles In Regional House Pricesmentioning

confidence: 99%

β-convergence and the Cyclical Dynamics of UK Regional House Prices

Cook¹

2011

Urban Studies

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The potential convergence of regional house prices in the UK is examined. In contrast to the existing literature which focuses upon stochastic convergence, the present paper considers alternative forms of convergence. Using a method based upon conditional probabilities of high and low growth rates, tests are employed to detect β-convergence in UK regional house prices. Importantly, given the suggested differences in regional house price dynamics over the course of the cycle in the housing market, β-convergence is considered not only over the full sample of observations available, but over cyclical sub-samples also. Interestingly, while convergence is not detected over the whole sample available, it is observed over the housing market cycle, with overwhelming evidence of convergence detected particularly during the downturn. These findings, supported by results for σ-convergence, show that failure to detect convergence may be due to its episodic nature being masked when arbitrarily defined sample periods are considered. market, whereby changes in UK house prices are observed first in London and the South East of England before being transmitted to other regions. A clear implication of this hypothesis is that, while house prices may move apart over the short run before changes are felt by all regions, a tendency towards convergence exists over the long run as changes are transmitted nationally.To explore the possibility of the existence of a ripple effect, investigators have employed various empirical methods including the

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“…Johansen (1988) for tests within the VAR framework, and the specification in (13) used as a basis to construct model based CLIs that take also cointegration into proper account. 9 To illustrate the empirical implementation of the techniques described so far, we now consider forecasting the (one month symmetric percentage change in the) NMB CCI, using six alternative linear specifications. A bivariate VAR for the NMB CCI and the NMB CLI A univariate AR for the NMB CCI.…”

Section: Linear Methodsmentioning

confidence: 99%

“…For example, let us consider the model in (9) and assume that the parameters are known and the errors are normally distributed. Then, drawing random numbers from the joint distribution of the errors for period t + 1, ..., t + n and solving the model forward, it is possible to get a set of simulated values for (CCI t+1 , ∆x t+1 ), ..., (CCI t+n , ∆x t+n ).…”

Section: Markov Switching Modelsmentioning

confidence: 99%

A comparison of methods for the construction of composite coincident and leading indexes for the UK

Carriero

Marcellino

2007

International Journal of Forecasting

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In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of factor based models and Markov switching specifications for the construction of coincident and leading indexes. For the leading indexes we also evaluate the performance of probit models and pooling.The results indicate that alternative methods produce similar coincident indexes, while there are more marked differences in the leading indexes.

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Predicting UK Business Cycle Regimes

Cited by 57 publications

References 41 publications

A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices

A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices

β-convergence and the Cyclical Dynamics of UK Regional House Prices

A comparison of methods for the construction of composite coincident and leading indexes for the UK

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