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Nonlinear autoregressive leading indicator models of output in G-7 countries

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Author Info
George Athanasopoulos (Department of Econometrics and Business Statistics, Monash University, Clayton, Australia)
Heather M. Anderson (School of Economics, Australian National University, Canberra, Australia)
Farshid Vahid (School of Economics, Australian National University, Canberra, Australia)

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Abstract

This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term interest rates as leading indicators for GDP. We examine data admissibility by determining whether these models have the ability to produce time series with classical cycles that resemble the observed classical cycles in the data, and then we ask whether this data admissibility lends itself to better predictions of the probability of recession. Copyright © 2007 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.935
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File URL: http://qed.econ.queensu.ca:80/jae/2007-v22.1/
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 22 (2007)
Issue (Month): 1 ()
Pages: 63-87
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Handle: RePEc:jae:japmet:v:22:y:2007:i:1:p:63-87

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  2. J. Bradford DeLong & Lawrence H. Summers, 1988. "How Does Macroeconomic Policy Affect Output?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(1988-2), pages 433-494. [Downloadable!]
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  5. Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1261-82, November. [Downloadable!] (restricted)
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  18. Gertler, Mark & Lown, Cara S, 1999. "The Information in the High-Yield Bond Spread for the Business Cycle: Evidence and Some Implications," Oxford Review of Economic Policy, Oxford University Press, vol. 15(3), pages 132-50, Autumn.
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  19. Choi, Woon Gyu, 1999. "Asymmetric Monetary Effects on Interest Rates across Monetary Policy Stances," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 386-416, August.
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  21. Anderson, H.M. & Vahid, F., 2000. "Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers 3/2000, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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