This is the most sophisticated and up-to-date econometric analysis of business cycles now available. Francis Diebold and Glenn Rudebusch have long been acknowledged as leading experts on business cycles. And here they present a highly integrative collection of their most important essays on the subject, along with a detailed introduction that draws together the book's principal themes and findings.
Diebold and Rudebusch use the latest quantitative methods to address five principal questions about the measurement, modeling, and forecasting of business cycles. They ask whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower. They consider whether economic expansions and contractions tend to die of "old age." Contrary to popular wisdom, they find little evidence that expansions become more fragile the longer they last, although they do find that contractions are increasingly likely to end as they age. The authors discuss the defining characteristics of business cycles, focusing on how economic variables move together and on the timing of the slow alternation between expansions and contractions. They explore the difficulties of distinguishing between long-term trends in the economy and cyclical fluctuations. And they examine how business cycles can be forecast, looking in particular at how to predict turning points in cycles, rather than merely the level of future economic activity. They show here that the index of leading economic indicators is a poor predictor of future economic activity, and consider what we can learn from other indicators, such as financial variables. Throughout, the authors make use of a variety of advanced econometric techniques, including nonparametric analysis, fractional integration, and regime-switching models. Business Cycles is crucial reading for policymakers, bankers, and business executives.
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Preface | ||
Acknowledgments | ||
Pt. I | Introduction | |
1 | Questions about Business Cycles | 5 |
Pt. II | Business Cycle Durations | |
2 | Have Postwar Economic Fluctuations Been Stabilized? | 35 |
3 | Shorter Recessions and Longer Expansions | 54 |
4 | A Nonparametric Investigation of Duration Dependence in the American Business Cycle | 64 |
5 | Further Evidence on Business Cycle Duration Dependence | 87 |
6 | Measuring Business Cycles: A Modern Perspective | 117 |
7 | Regime Switching with Time-Varying Transition Probabilities | 144 |
Pt. III | Business Cycle Dynamics | |
8 | Trends and Random Walks in Macroeconomic Time Series: A Reexamination | 169 |
9 | The Uncertain Unit Root in Real GNP | 194 |
10 | The Uncertain Unit Root in Real GNP: Comment | 207 |
11 | Long Memory and Persistence in Aggregate Output | 219 |
12 | Is Consumption Too Smooth? Long Memory and the Deaton Paradox | 241 |
13 | On the Power of Dickey-Fuller Tests against Fractional Alternatives | 258 |
Pt. IV | Business Cycle Forecasting | |
14 | The Past, Present, and Future of Macroeconomic Forecasting | 267 |
15 | Scoring the Leading Indicators | 290 |
16 | Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis | 316 |
17 | Forecasting Output with the Composite Leading Index: A Real-Time Analysis | 342 |
18 | New and Old Models of Business Investment: A Comparison of Forecasting Performance | 361 |
19 | Comparing Predictive Accuracy | 387 |
Name Index | 413 | |
Subject Index | 419 |
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Descrizione libro Condizione: New. Offers an econometric analysis of business cycles. This book addresses five principal questions about the measurement, modeling, and forecasting of business cycles. It asks whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower. Num Pages: 432 pages, 83 tables 44 line illus. BIC Classification: KCC; KCH; KCJ. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 236 x 163 x 36. Weight in Grams: 796. . 1999. Hardcover. . . . . Codice articolo V9780691012186
Descrizione libro HRD. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo WP-9780691012186
Descrizione libro Condizione: New. Codice articolo 402400-n
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