[New Indexes of Coincident and Leading Economic Indicators]: Comment
نویسندگان
چکیده
منابع مشابه
Leading Economic Indexes for New York State and New Jersey
espite the unusual length of the current expansion, few economists are ready to repudiate the business cycle. In particular, imbalances in the U.S. economy may develop rather quickly and result in either a slowdown or actual contraction in economic activity. The pattern of recurrent transitions between periods of economic expansion and contraction is of practical interest to consumers, business...
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Issler and Vahid (2006) used canonical correlation analysis and the information content in the decisions of the Business Cycle Dating Committee of the National Bureau of Economic Research to construct a coincident and leading index of economic activity for the United States, the IVCI and IVLI, respectively. In their work there exists evidence that the linear combinations of the coincident and t...
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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 prob...
متن کاملCoincident and leading indicators of the stock market
In this paper we have two goals: first, we want to represent monthly stock market fluctuations by constructing a non-linear coincident financial indicator. The indicator is constructed as an unobservable factor whose first moment and conditional volatility are driven by a two-state Markov variable. It can be interpreted as the investors’ real-time belief about the state of financial conditions....
متن کاملA Reduced Rank Regression Approach to Coincident and Leading Indexes Building a Reduced Rank Regression Approach to Coincident and Leading Indexes Building
This paper proposes a reduced rank regression framework for constructing coincident and leading indexes. Based on a formal definition that requires that the first differences of the leading index are the best linear predictor of the first differences of the coincident index, it is shown that the notion of polynomial serial correlation common features can be used to build these composite variabl...
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ژورنال
عنوان ژورنال: NBER Macroeconomics Annual
سال: 1989
ISSN: 0889-3365,1537-2642
DOI: 10.1086/654120