The “stylised facts” of the UK business cycle: a reappraisal

Reappraises the stylised facts of the contemporary UK business cycle and the robustness of associated sample moments to detrending under the Hodrick‐Prescott (HP) filter and an unobserved components (UC) model based on the structural time series mode of Harvey and advocated in this context by Harvey and Jaeger. For the majority of series considered, findings broadly confirm the earlier HP‐based results of Blackburn and Ravn, but important differences with previous results are reported for labour productivity, the real wage and the real interest rate. However, under neither detrending method are the anticipated cross‐correlations between output and the pivotal variables in standard real business cycle (RBC) models (labour productivity, real wages, the real interest rate and nominal variables) simultaneously confirmed. Indeed, on balance, these results may be interpreted as more suggestive of an orthodox demand‐led or policy‐induced cycle.