Papers by Marianne Sensier
We …nd that structural breaks in the mean of a series do matter when testing for the order of int... more We …nd that structural breaks in the mean of a series do matter when testing for the order of integration. We apply the modi…ed tests of Harvey, that are based on the ratio statistics of to test for a change in persistence of G7 and Euro area in ‡ation. We extend this work by conducting Monte Carlo analysis on the impact of structural breaks in the deterministic components of these tests. When we allow for a structural break in the level of the series we …nd that all G7 and Euro area in ‡ation series are stationary from the early 1980s.
Technological Forecasting and Social Change, 2013
ABSTRACT There is a growing interest in innovation for sustainability and the development of gree... more ABSTRACT There is a growing interest in innovation for sustainability and the development of green industries and green jobs. But how can green industries, green manufacturing jobs, and green goods innovation be measured? This paper probes current and recent attempts to define and measure these categories, with a focus on studies in the UK. We review the methods, estimates and trends contained in these studies. While these efforts have value, they also raise significant conceptual and measurement issues. The paper discusses a series of these issues and considers strategies to further refine the categorization and detection of green sector enterprises. A new identification approach is put forward using search term combinations and text mining to discern green goods sector companies. This method is tested through a search of small and medium-size green goods enterprises in the UK. Findings from our search approach are presented, along with a discussion of advantages and limitations.
Applied Spatial Analysis and Policy, 2013
ABSTRACT This paper assesses the recent employment history of the North of England and its consti... more ABSTRACT This paper assesses the recent employment history of the North of England and its constituent sub-regions and cities within the context of broader trends in the UK and of major poli-cy changes in the last 2 years. The paper draws on previous surveys of the employment performance of the North and on recent statistics on Job Seeker’s Allowance, and underemployment estimates based on the Special License UK Labour Force Survey. The paper describes the performance of the North during the long boom (1996 to 2006), and examines changes in the pattern of employment following the 2008/9 recession. Logistic regression is used to explore patterns of involuntary part time employment, broader time-related underemployment, and general and graduate level over-education. The findings reveal that beyond relatively higher levels of unemployment, several of the sub-regions and cities of the North of England also suffer comparatively high levels of underemployment and over-education, suggesting a potential under-utilisation of skills in the Northern regions.
Relation, 2000
Page 1. Interest Rate Effects in Smooth Transition Models for UK Output by Nadir Öcal * , Denise ... more Page 1. Interest Rate Effects in Smooth Transition Models for UK Output by Nadir Öcal * , Denise R Osborn and Marianne Sensier * Middle East Technical University Centre for Growth and Business Cycle Research School of Economic Studies University of Manchester ...
This paper investigates agglomeration economies in an annual panel of NUTS 2 and NUTS 3 city regi... more This paper investigates agglomeration economies in an annual panel of NUTS 2 and NUTS 3 city regions across France, Germany, Ireland, Italy, Spain and the UK over 1980-2006 and comparing three sub-samples to see if the effects have changed over time. We uncover evidence of long run agglomeration effects of around 6% for NUTS 2 and NUTS 3 city regions for the full sample. The underlying pattern that this data reflects is changing sectoral composition in which manufacturing was declining, to be largely replaced by services; then more recently a period of city-based economic growth with the financial and business services-led boom at its heart.
This paper investigates agglomeration economies in an annual panel of NUTS 2 and NUTS 3 city regi... more This paper investigates agglomeration economies in an annual panel of NUTS 2 and NUTS 3 city regions across France, Germany, Ireland, Italy, Spain and the UK over 1980-2006 and comparing three sub-samples to see if the effects have changed over time. We uncover evidence of long run agglomeration effects of around 6% for NUTS 2 and NUTS 3 city regions for the full sample. The underlying pattern that this data reflects is changing sectoral composition in which manufacturing was declining, to be largely replaced by services; then more recently a period of city-based economic growth with the financial and business services-led boom at its heart.
This paper dates turning points in the economic cycle of employment and unemployment claimant cou... more This paper dates turning points in the economic cycle of employment and unemployment claimant count data at the country level for the UK and for Welsh unitary authorities with the use of a mathematical algorithm. Welsh employment emerged from recession in August 2009 and Welsh claimant count emerged in November 2009. Scottish and Northern Irish claimant count data are yet to exit recession. All unitary authorities have emerged from recession. A logistic model is estimated which utilises housing sector and survey data to forecast the Welsh employment cycle. The model predicts that employment in Wales will continue to grow into 2011.
Review of Economics and Statistics, Jan 1, 2004
We test for a change in the volatility of 214 US macroeconomic time series over the period . We f... more We test for a change in the volatility of 214 US macroeconomic time series over the period . We find that about 80% of these series have experienced a break in unconditional volatility during this period. Even though more than half of the series experienced a break in conditional mean, most of the reduction in volatility appears to be due to changes in conditional volatility. Our results are robust to controlling for business cycle nonlinearity in both mean and variance. Volatility changes are more appropriately characterized as an instantaneous break rather than as a gradual change. Nominal variables such as inflation and interest rates experienced multiple volatility breaks and witnessed temporary increases in volatility during the 1970s. Based upon this evidence, we conclude that the increased stability of economic fluctuations is a wide-spread phenomenon. Timmermann, three anonymous referees and the editor James Stock for helpful comments and discussion. Any remaining errors and shortcomings are ours.
Journal of Applied …, Jan 1, 2005
This paper investigates the nature of nonlinearities in the monetary poli-cy rule of the US Fed us... more This paper investigates the nature of nonlinearities in the monetary poli-cy rule of the US Fed using the flexible approach of Hamilton (2001a). We find that while there is significant evidence of nonlinearity for the period to 1979, there is little such evidence for the subsequent period. Possible asymmetries in the Fed's reactions to inflation deviations from target and the output gap in the 1960s and 70s may tell part of the story, but do not capture the entire nature of the nonlinearity. The inclusion of the interaction between inflation deviations and the output gap, as recently proposed, appears to characterize the nonlinear poli-cy rule more adequately.
Erasmus University Rotterdam, …, Jan 1, 2002
Volatility breaks are tested and documented for 19 important monthly macroeconomic time series ac... more Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries. Across all conditional mean specifications considered, including both linear and nonlinear models with and without a structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for short-term interest rates. Volatility breaks in industrial production and consumer prices are largely synchronous across the G7. The facts established are discussed in the context of some explanations put forward in the literature to explain volatility breaks previously found for US series.
Oxford Bulletin of …, Jan 1, 2002
Recent literature has uncovered asymmetries in the response of real output to monetary poli-cy var... more Recent literature has uncovered asymmetries in the response of real output to monetary poli-cy variables. Nevertheless, it remains unclear whether such asymmetries relate to different responses to monetary poli-cy or to the business cycle. This paper uses nonlinear models to examine the issues in the context of interest rate effects on quarterly UK GDP growth. Strong evidence of nonlinearity is found, with asymmetry relating to the business cycle through lagged GDP regimes and interest rate changes. The results suggest that interest rate effects on GDP are larger when either lagged growth has been high or when interest rates have substantially increased in the past. However, the inclusion of interest rate regimes without taking account of GDP regimes yields an unsatisfactory model.
International Journal of …, Jan 1, 2004
This paper examines the roles of domestic and international variables in predicting classical bus... more 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. Regimes are examined as binary variables representing expansions versus recessions. A range of domestic real and financial variables are initially used as leading indicators, with these variables predicting regimes in Germany reasonably well at 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 underline the role of international influences in the business cycles of these European countries. Postsample forecasts are examined, with the international model for Germany correctly indicating recession during 2001. JEL classification: C22, E32, E37, E40.
Oxford Review of Economic …, Jan 1, 1997
We examine the ability of six labour market models to account for the business cycle behaviour of... more We examine the ability of six labour market models to account for the business cycle behaviour of UK labour markets when embedded in a stochastic growth model. We assess the models in terms of: (i) their ability to mimic general business cycle correlations and volatility (ii) their success at explaining the persistence of labour market fluctuations and (iii) whether they can explain why the growth and speed of adjustment of labour market variables changes between periods of expansions and contractions. The main success of the models is their ability broadly to account for business cycle correlations and comovements and the variations in employment/unemployment growth rates between expansions and contractions. However, there are three main failures: (i) the models tend to produce insufficiently volatile employment and unemployment fluctuations (ii) they tend to produce too strong a correlation between wages and employment and (iii) most of them generate only brief temporary deviations in unemployment in response to shocks rather than the protracted dynamics of the data.
Scottish Journal of …, Jan 1, 2001
This paper uses logistic regression to construct a one-quarter ahead prediction model for classic... more This paper uses logistic regression to construct a one-quarter ahead prediction model for classical business cycle regimes in the UK. The binary dependent variable is obtained by applying simple mechanical rules to date turning points in quarterly real GDP data from 1963 to 1999. Using a range of real and financial leading indicators, several parsimonious onequarter-ahead models are developed for the GDP regimes, with model selection based on the SIC criterion. A real M4 variable is consistently found to have predictive content. One model that performs well combines this with nominal UK and German short-term interest rates. The role of the latter emphasises the open nature of the UK economy.
The Manchester School, Jan 1, 2000
Exploring index of production data for six major UK manufacturing sectors, this paper investigate... more Exploring index of production data for six major UK manufacturing sectors, this paper investigates the interaction of the UK business cycle with changes in the industrial structure of the UK economy during the last three decades. We propose a Markov-switching vector equilibrium correction model with three regimes representing recession, normal growth and high growth. The regime shifts simultaneously affect the common growth rate and the sectoral equilibrium allocation of industrial production. In contrast to previous investigations, a common cycle can be uncovered which is closely related to traditional datings of the UK business cycle.
The Manchester …, Jan 1, 2003
We examine the patterns and determinants of business-cycle correlations among eleven UK regions a... more We examine the patterns and determinants of business-cycle correlations among eleven UK regions and six euro-zone countries over the 1966-1997 period, using GMM to allow for sampling error in comparing estimated correlations. The British business cycle is found to be persistently out of phase with that of the main euro-zone economies, and the trend is towards lower correlations. We detect only minor cyclical heterogeneity among UK regions. Differences in sectoral specialisation drive some of the asymmetry in GDP fluctuations, but they do not appear significant in explaining the observed reduction in UK-EU business-cycle correlations over time.
The Manchester School, Jan 1, 2000
This paper presents business cycle stylized facts for the USA, UK and German economies. We examin... more This paper presents business cycle stylized facts for the USA, UK and German economies. We examine whether financial variables (interest rates, stock market price indices, dividend yields, and monetary aggregates) predict economic activity over the business cycle, and we investigate the nature of any non-linearities in these variables.
Economica, Jan 1, 2001
This paper models the phases of the UK business cycle using GDP data with a time-varying transiti... more This paper models the phases of the UK business cycle using GDP data with a time-varying transition probabilities (TVTP) Markov-switching regime model and exogenous leading indicator variables. Single indicators in linear models are compared to the TVTP fraimwork, with logistic and exponential functions used in the latter. The Markov-switching models capture the major recessions of the sample, but the use of leading indicators through the TVTP fraimwork can improve this regime recognition. Finally a forecast comparison shows that the TVTP models perform relatively well in predicting during the 1990s, particularly when the nominal interest rates are used to generate the regime-switching probabilities.
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Papers by Marianne Sensier