Cover image for Business cycles : durations, dynamics, and forecasting
Title:
Business cycles : durations, dynamics, and forecasting
Author:
Diebold, Francis X., 1959-
Personal Author:
Publication Information:
Princeton, N.J. : Princeton University Press, [1999]

©1999
Physical Description:
xiii, 420 pages : illustrations ; 25 cm
Language:
English
Electronic Access:
Table of contents http://lcweb.loc.gov/catdir/toc/98-34877.html
ISBN:
9780691012186
Format :
Book

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Central Library HB3711 .D54 1999 Adult Non-Fiction Central Closed Stacks
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Summary

Summary

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.


Author Notes

Francis X. Diebold is Professor of Economics and of Statistics at the University of Pennsylvania, and Faculty Research Fellow at the National Bureau of Economic Research. He is the author of Elements of Forecasting and Empirical Models of Exchange Rate Dynamics.
Glenn D. Rudebusch is a research officer at the Federal Reserve Bank of San Francisco. He has published widely in the fields of macroeconomics and econometrics.


Table of Contents

Francis X. Diebold and Glenn D. RudebuschFrancis X. Diebold and Glenn D. RudebuschFrancis X. Diebold and Glenn D. RudebuschFrancis X. Diebold and Glenn D. RudebuschFrancis X. Diebold and Glenn D. Rudebusch and Daniel E. SichelFrancis X. Diebold and Glenn D. RudebuschFrancis X. Diebold and Joon-Haeng Lee and Gretchen C. WeinbachGlenn D. RudebuschGlenn D. RudebuschFrancis X. Diebold and Abdelhak S. SenhadjiFrancis X. Diebold and Glenn D. RudebuschFrancis X. Diebold and Glenn D. RudebuschFrancis X. Diebold and Glenn D. RudebuschFrancis X. DieboldFrancis X. Diebold and Glenn D. RudebuschFrancis X. Diebold and Glenn D. RudebuschFrancis X. Diebold and Glenn D. RudebuschStephen D. Oliner and Glenn D. Rudebusch and Daniel E. SichelFrancis X. Diebold and Roberto S. Mariano
Prefacep. ix
Acknowledgmentsp. xi
Part I Introduction
1. Questions about Business Cyclesp. 5
Part II Business Cycle Durations
2. Have Postwar Economic Fluctuations Been Stabilized?p. 35
3. Shorter Recessions and Longer Expansionsp. 54
4. A Nonparametric Investigation of Duration Dependence in the American Business Cyclep. 64
5. Further Evidence on Business Cycle Duration Dependencep. 87
6. Measuring Business Cycles: A Modern Perspectivep. 117
7. Regime Switching with Time-Varying Transition Probabilitiesp. 144
Part III Business Cycle Dynamics
8. Trends and Random Walks in Macroeconomic Time Series: A Reexaminationp. 169
9. The Uncertain Unit Root in Real GNPp. 194
10. The Uncertain Unit Root in Real GNP: Commentp. 207
11. Long Memory and Persistence in Aggregate Outputp. 219
12. Is Consumption Too Smooth? Long Memory and the Deaton Paradoxp. 241
13. On the Power of Dickey-Fuller Tests against Fractional Alternativesp. 258
Part IV Business Cycle Forecasting
14. The Past, Present, and Future of Macroeconomic Forecastingp. 267
15. Scoring the Leading Indicatorsp. 290
16. Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysisp. 316
17. Forecasting Output with the Composite Leading Index: A Real-Time Analysisp. 342
18. New and Old Models of Business Investment: A Comparison of Forecasting Performancep. 361
19. Comparing Predictive Accuracyp. 387
Name Indexp. 413
Subject Indexp. 419

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