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

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  • Ana Beatriz Galvão
  • Amit Kara

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.

Suggested Citation

  • Ana Beatriz Galvão & Amit Kara, 2020. "The Impact of GDP Data Revisions on Identifying and Predicting UK Recessions," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-12, Economic Statistics Centre of Excellence (ESCoE).
    • Handle: RePEc:nsr:escoed:escoe-dp-2020-12
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    References listed on IDEAS

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    1. Karl Taylor & Robert McNabb, 2007. "Business Cycles and the Role of Confidence: Evidence for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 185-208, April.
    2. Arturo Estrella & Frederic S. Mishkin, 1998. "Predicting U.S. Recessions: Financial Variables As Leading Indicators," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 45-61, February.
    3. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, February.
    4. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters, in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1, National Bureau of Economic Research, Inc.
    5. Travis J. Berge & Òscar Jordà, 2011. "Evaluating the Classification of Economic Activity into Recessions and Expansions," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 246-277, April.
    6. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
    7. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, February.
    8. Anesti, Nikoleta & Hayes, Simon & Moreira, Andre & Tasker, James, 2017. "Peering into the present: the Bank’s approach to GDP nowcasting," Bank of England Quarterly Bulletin, Bank of England, vol. 57(2), pages 122-133.
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    Cited by:

    1. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    2. repec:wrk:wrkemf:35 is not listed on IDEAS

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    More about this item

    Keywords

    turning point algorithms; UK business cycles; probit models; recession probabilities; real-time data;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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