A major shortcoming of the U.S. leading index is that it does not use the most recent information for stock prices and … yield spreads. The index methodology ignores these data in favor of a time-consistent set of components (i.e., all of the … forecasts and create an index with a complete set of most recent components. This study uses tests of ex-ante predictive ability …

The composite index of leading indicators is found to be a valuable tool for predicting not only the direction but also … index as a predictor of (1) business cycle turning points as dated by the National Bureau of Economic Research and (2 …) quantitative changes in real GNP and the composite index of coincident indicators. Specific smoothing rules are identified which …

An indexed unit of account is a unit of measurement defined using an index such as a consumer price index so that … increase the frequency of index computation when the price level becomes more volatile …

Much of the opposition to indexation as a means of adapting to on going inflation arises from the view that indexation … deficits are in part financed through the printing of money. It is shown that all aspects of indexing -- wage indexation, bond … indexation, and tax indexation -- tend to increase the impact on the price level of any inflationary shock. However, this …

to decompose short-run index autocorrelation into three components: bid-ask bounce, nontrading effects, and …

The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional …

No cross-sectional consumer price index is currently available by state, and the BLS's cross-sectional "family budget …" index for metropolitan areas is not well-suited for cross-state analyses. In this paper we propose an algorithm for … constructing a state-specific Laspeyres price index using conveniently available information from the Census of Business and the …

In this paper we derive the standard error of a price index when both prices and tastes or technology are treated as … stochastic. Changing tastes or technology are a reason for the weights in the price index to be treated as stochastic, which can … function (with Sato-Vartia price index), and also the translog function (with Törnqvist price index), which proves to be more …

-series data calculated from the PSID. The results indicate that the Consumer Price Index does a reasonably accurate job …