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Forecasting with the Index of Leading Indicators

Vaccara, Beatrice N. - 1978

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 …

Persistent link: https://www.econbiz.de/10012478899

Is GDP Becoming Obsolete? The "Beyond GDP" Debate

Hulten, Charles R.; Nakamura, Leonard Isamu - National Bureau of Economic Research - 2022

paper joins the Beyond GDP effort by extending the standard utility maximization model of economic theory, using an …

Persistent link: https://www.econbiz.de/10013334414

Predicting U.S. Recessions : Financial Variables as Leading Indicators

Estrella, Arturo - 1995

This article examines the performance of various financial variables as predictors of subsequent U.S. recessions. Series such as interest rates and spreads, stock prices, currencies, and monetary aggregates are evaluated singly and in comparison with other financial and non-financial indicators....

Persistent link: https://www.econbiz.de/10012473488

A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

Dumas, Bernard - 1994

Previous work by Dumas and Solnik (1993) has shown that a CAPM which incorporates foreign-exchange risk premia (a so-called 'international CAPM') is better capable empirically of explaining the structure of worldwide rates of return than does the classic CAPM. In the specification of that test,...

Persistent link: https://www.econbiz.de/10012474279

Measuring Uncertainty

Jurado, Kyle - 2013

This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...

Persistent link: https://www.econbiz.de/10012459206

Diffusion Indexes

Stock, James H. - 1998

predictors, using an approximate dynamic factor model. Estimation is discussed for balanced and unbalanced panels. The estimated …

Persistent link: https://www.econbiz.de/10012472111

Measuring the ''World'' Real Interest Rate

King, Mervyn - 2014

Over the past couple of decades, and especially since the financial crisis in 2008-09, real interest rates have collapsed. For much of the past two years they have been negative, but they have been trending down for some while. But how far have real rates fallen? This note computes a measure of...

Persistent link: https://www.econbiz.de/10012458777

Stock Returns and Expected Business Conditions : Half a Century of Direct Evidence

Campbell, Sean D. - 2005

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...

Persistent link: https://www.econbiz.de/10012466936

A Re-examination of the Predictability of Economic Activity Using the Yield Spread

Hamilton, James D. - 2000

This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution of the spread can be decomposed into the effect of expected future changes in short rates and the effect of the term premium. We find that both factors are relevant for...

Persistent link: https://www.econbiz.de/10012470782

Distributional National Accounts : Methods and Estimates for the United States

Piketty, Thomas - 2016

This paper combines tax, survey, and national accounts data to estimate the distribution of national income in the United States since 1913. Our distributional national accounts capture 100% of national income, allowing us to compute growth rates for each quantile of the income distribution...

Persistent link: https://www.econbiz.de/10012455735

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