Leading Economic Indicators - New Approaches and Forecasting Records

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.Table of ContentPreface; 1. Editors' introduction; Part I. New Concepts and Methods: 2. Toward a theory of leading indicators Frank de Leeuw; 3. A time-series framework for the study of leading indicators Salih N. Neftci; 4. A probability model of the coincident economic indicators James H. Stock and Mark W. Watson; 5. An international application of Neftci's probability approach for signalling growth recessions and recoveries using turning point indicators Michael P. Niemira; 6. On predicting the stage of the business cycle Roy H. Webb; 7. Bayesian methods for forecasting turning points in economic time series: sensitivity of forecasts to asymmetry of loss structures Arnold Zellner and Chansik Hong; 8. New developments in leading economic indicators Geoffrey H. Moore; Part II. Forecasting Records and Methods of Evaluation: 9. Forecasting cyclical turning points: the record in the past three recessions Stephen K. McNees; 10. Turning point predictions, errors, and forecasting procedures Hermon O. Stekler; 11. Forecasting peaks and troughs in the business cycle: on the choice and use of appropriate leading indicator series Stephen J. Silver; 12. Using a consensus of leading economic indicators to find right ball park for real GNP forecasts Edward F. Renshaw; 13. Some Australian experience with leading economic indicators Allan P. Layton; 14. Turning point prediction with the composite leading index: an exante analysis Francis X. Diebold and Glenn D. Rudebusch; 15. Forecasting recessions under the Gramm-Rudman-Hollings law Victor Zarnowitz and Geoffrey H. Moore; 16. Leading indicators of inflation Howard L. Roth; Part III. New Economic Indicators: 17. Commodity prices as a leading indicator of inflation James M. Boughton and William H. Branson; 18. A leading indicator of inflation based on interest rates Susmita Dasgupta and Kajal Lahiri; 19. Using composite leading indicators of consumption to forecast sales and to signal turning points in stock market Michael P. Niemira; 20. Economic indicators for Australia's service sector Ernst A. Boehm; 21. Purchasing management survey data: their value as leading indicator Philip A. Klein and Geoffrey H. Moore; 22. An agenda for inventories input to leading composite index Feliks Tamm; Index.Review Quote"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 AdministrationReview Quote"...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 ForecastingTwenty-two articles by international experts on business cycles and economic indicators.