Business Cycles: Durations, Dynamics, and Forecasting

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Overview

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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Editorial Reviews

Booknews
Presents a collection of essays on econometric analysis of business cycles, using the latest quantitative methods to address five principal questions about the measurement, modeling, and forecasting of business cycles. Asks whether business cycles have become more moderate in the postwar period, and discusses the defining characteristics of business cycles, focusing on how economic variables move together and on the timing of alternations between expansions and contractions. Examines how business cycles can be forecast, looking in particular at how to predict turning points in cycles. Annotation c. Book News, Inc., Portland, OR (booknew.com)
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Product Details

  • ISBN-13: 9780691012186
  • Publisher: Princeton University Press
  • Publication date: 3/23/1999
  • Edition description: New Edition
  • Pages: 432
  • Product dimensions: 6.10 (w) x 9.30 (h) x 1.40 (d)

Table of Contents

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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Recipe

"This book is an invaluable resource for anyone interested in empirical macroeconomics or in advanced techniques of time series analysis. It clearly shows how the adoption of new econometric techniques leads to new and better answers to existing questions, as well as to new questions, too."—Peter Lindner, Vice-President, Lehman Brothers Inc.

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