We evaluate the directional accuracy of Institute for Supply Management (ISM) indices in predicting the direction of the U.S. economy direction; to do so, we make use of a method developed by Pesaran and Timmermann (2009). By illustrating an application of the new market-timing test and...

The Purchasing Managers' Index (PMI) is one of the key variables to which economists pay considerable attention for assessing US economic activities, particularly, business conditions in the manufacturing sector. Although the PMI has been used to assess the US economy, there is hardly any...

Although many studies on the directional accuracy of forecasts by international organizations and professional forecasters have been scrutinized, little attention has been paid to forecasts by business leaders. In order to address this gap, we use directional tests to investigate whether...

We evaluate the directional accuracy of Institute for Supply Management (ISM) indices in predicting the direction of the US economy direction; to do so, we make use of a method developed by Pesaran and Timmermann (2009). By illustrating an application of the new market-timing test and extending...

Most research focused on deficit, revenue and outlay in budget forecasts has addressed these issues separately. In this study, we investigate changes in budget forecasts from the Congressional Budget Office, applying a recently developed market-timing test. We find that the combined forecasts of...

We investigate whether long-term co-movements among the prices of precious metals commodity futures contracts can be observed. The past literature on agricultural commodity futures prices obtains the mixed results. We find that there is no long-term interdependence among the prices of the four...