The Index of Leading Economic Indicators as a Source of Expectational Shocks
AbstractA recurrent theme in the literature on business cycle fluctuations is the importance of expectational shocks that change the beliefs of agents concerning the future level of aggregate activity, but that do not reflect real movements in the fundamentals. This paper employs the ASA-NBER Survey of Forecasts by Economic Statisticians to measure expectations and investigates whether the errors in the initial announcements of the index of leading economic indicators serve as a source of this type of expectational shock. Our analysis strongly supports the idea that these errors are both a statistically significant and economically significant source of such shocks.
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Bibliographic InfoArticle provided by Eastern Economic Association in its journal Eastern Economic Journal.
Volume (Year): 31 (2005)
Issue (Month): 1 (Winter)
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Business Cycle; Cycle; Economic Indicator; Fluctuation; Forecast;
Find related papers by JEL classification:
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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