Leading Economic Indicators: New Approaches and Forecasting Records

doi:10.1017/CBO9781139173735

Developed fifty years ago by the National Bureau of Economic Research, the analytic methods of business cycles and economic indicators enable economists to forecast economic trends by examining the repetitive sequences that occur in business cycles. The methodology has proven to be an inexpensive and useful tool that is now used extensively throughout the world. In recent years, however, significant new developments have emerged in the field of business cycles and economic indicators. This volume contains twenty-two articles by international experts who are working with new and innovative approaches to indicator research. They cover advances in three broad areas of research: the use of new developments in economic theory and time-series analysis to rationalise existing systems of indicators; more appropriate methods to evaluate the forecasting records of leading indicators, particularly of turning point probability; and the development of new indicators.

"The different chapters of this book provide a cross section of recent researches and developments in the field of business cycles and forecasting. The book is likely to be of interest for forecasters in government and business as well as for researchers in economics, business management, econometrics and statistics." R.K. Mathur, Journal of Educational Planning and Administration

"...an excellent review of the current state of research into leading indicators. While the evidence presented concerns the US economy (with the exception of a couple of papers on Australia), the message that surveys and patterns in data can help in forecasting, has a much wider application and needs to be taken seriously by economic modellers." Kenneth Holden, International Journal of Forecasting

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Contents

Frontmatter
pp i-iv
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Contents
pp v-x
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Preface
pp xi-xii
- By Kajal Lahiri, State University of New York, Geoffrey H. Moore, Columbia University
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List of contributors
pp xiii-xiv
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1 - Introduction
pp 1-12
- By Kajal Lahiri, State University of New York, Geoffrey H. Moore, Columbia University
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PART I - NEW CONCEPTS AND METHODS
pp 13-14
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2 - Toward a theory of leading indicators
pp 15-56
- By Frank de Leeuw, Bureau of Economic Analysis U.S. Department of Commerce 1401 K Street
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3 - A time-series framework for the study of leading indicators
pp 57-62
- By Salih N. Neftci, Department of Economics CUNY – Graduate Center
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4 - A probability model of the coincident economic indicators
pp 63-90
- By James H. Stock, Harvard University, Mark W. Warson, Northwestern University
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5 - An international application of Neftci's probability approach for signaling growth recessions and recoveries using turning point indicators
pp 91-108
- By Michael P. Niemira, Mitsubishi Bank Economics Research 225 Liberty Street Two World Financial Center
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6 - On predicting the stage of the business cycle
pp 109-128
- By Roy H. Webb, ederal Reserve Bank of Richmond
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7 - Bayesian methods for forecasting turning points in economic time-series: Sensitivity of forecasts to asymmetry of loss structures
pp 129-140
- By Arnold Zellner, University of Chicago, Chansik Hong, Department of Economics University of Windsor
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8 - New developments in leading indicators
pp 141-148
- By Geoffrey H. Moore, Columbia University
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PART II - FORECASTING RECORDS AND METHODS OF EVALUATION
pp 149-150
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9 - Forecasting cyclical turning points: The record in the past three recessions
pp 151-168
- By Stephen K. McNees, Department of Business Administration
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10 - Turning point predictions, errors, and forecasting procedures
pp 169-182
- By H. O. Stekler, National Defense University
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11 - Forecasting peaks and troughs in the business cycle: On the choice and use of appropriate leading indicator series
pp 183-196
- By Stephen J. Silver, Department of Business Administration
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12 - Using a consensus of leading economic indicators to find the right ball park for real GNP forecasts
pp 197-210
- By Edward F. Renshaw, State University of New York
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13 - Some Australian experience with leading economic indicators
pp 211-230
- By Allan P. Layton, University of Queensland
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14 - Turning point prediction with the composite leading index: An ex ante analysis
pp 231-256
- By Francis X. Diebold, University of Pennsylvania, Glenn D. Rudebusch, Division of Research and Statistics Board of Governors
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15 - Forecasting recessions under the Gramm-Rudman-Hollings law
pp 257-274
- By Victor Zarnowitz, University of Chicago, Geoffrey H. Moore, Columbia University
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16 - Leading indicators of inflation
pp 275-302
- By Howard L. Roth, Security Pacific National Bank
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PART III - NEW ECONOMIC INDICATORS
pp 303-304
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17 - Commodity prices as a leading indicator of inflation
pp 305-338
- By James M. Boughton, International Monetary, William H. Branson, Princeton University
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18 - A leading indicator of inflation based on interest rates
pp 339-354
- By Susmita Dasgupta, State University of New York, Kajal Lahiri, State University of New York
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19 - Using composite leading indicators of consumption to forecast sales and to signal turning points in the stock market
pp 355-372
- By Michael P. Niemira, Economics Research
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20 - Economic indicators for Australia's service sector
pp 373-402
- By Ernst A. Boehm, University of Melbourne
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21 - Purchasing management survey data: Their value as leading indicators
pp 403-428
- By Philip A. Klein, Pennsylvania State University, Geoffrey H. Moore, Columbia University
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22 - An agenda for inventories input to the leading composite index
pp 429-460
- By Feliks Tamm, Economic Consultant
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Index
pp 461-464
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Leading Economic Indicators

New Approaches and Forecasting Records

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