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Citations for "A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience"

by James H. Stock & Mark W. Watson

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  1. Issler, J.V. & Vahid, F., 2001. "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Monash Econometrics and Business Statistics Working Papers 9/01, Monash University, Department of Econometrics and Business Statistics.
  2. Camacho, Maximo & Pérez Quirós, Gabriel, 2000. "This is what the US leading indicators lead," Working Paper Series 0027, European Central Bank.
  3. Francisco J. Goerlich-Gisbert, 1999. "Shocks agregados versus shocks sectoriales. Un análisis factorial dinámico," Investigaciones Economicas, Fundación SEPI, vol. 23(1), pages 27-53, January.
  4. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
  5. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005.
  6. Fabio Canova & Matteo Ciccarelli, 1999. "Forecasting and turning point predictions in a Bayesian panel VAR model," Economics Working Papers 443, Department of Economics and Business, Universitat Pompeu Fabra.
  7. Gregory R. Duffee & Stephen Prowse, 1996. "What's good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment," Working Papers 9610, Federal Reserve Bank of Dallas.
  8. Vincent, BODART & Konstantin, KHOLODILIN & Fati, SHADMAN-MEHTA, 2005. "Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models," Discussion Papers (ECON - Département des Sciences Economiques) 2005006, Université catholique de Louvain, Département des Sciences Economiques.
  9. Neely, Christopher J. & Rapach, David E., 2011. "International comovements in inflation rates and country characteristics," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1471-1490.
  10. Valerie Cerra & Sweta Chaman Saxena, 2003. "Did Output Recover From the Asian Crisis?," IMF Working Papers 03/48, International Monetary Fund.
  11. Hamilton, James D., 2011. "Calling recessions in real time," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1006-1026, October.
  12. Domian, Dale L. & Louton, David A., 1995. "Business cycle asymmetry and the stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(4), pages 451-466.
  13. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 78, University of Oxford, Department of Economics.
  14. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
  15. Valerie Cerra & Sweta C. Saxena, 2005. "Eurosclerosis or Financial Collapse: Why Did Swedish Incomes Fall Behind?," Macroeconomics 0508007, EconWPA.
  16. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January.
  17. Fabio ALESSANDRINI, 2003. "Do Financial Variables Provide Information about the Swiss Business Cycle ?," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.02, Université de Lausanne, Faculté des HEC, DEEP.
  18. Michael Funke & Harm Bandholz, 2003. "In search of leading indicators of economic activity in Germany," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 277-297.
  19. Fintzen, David & Stekler, H. O., 1999. "Why did forecasters fail to predict the 1990 recession?," International Journal of Forecasting, Elsevier, vol. 15(3), pages 309-323, July.
  20. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, 04.
  21. Grace H.Y. Lee & M. Azali, 2009. "A Bayesian Approach to Optimum Currency Areas in East Asia," Development Research Unit Working Paper Series 18-09, Monash University, Department of Economics.
  22. Joannes Mongardini & Tahsin Saadi-Sedik, 2003. "Estimating Indexes of Coincident and Leading Indicators," IMF Working Papers 03/170, International Monetary Fund.
  23. Jörg Polzehl & Vladimir Spokoiny & Catalin Starica, 2006. "When did the 2001 recession really start?," SFB 649 Discussion Papers SFB649DP2006-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  24. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
  25. Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary, University of London, School of Economics and Finance.
  26. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
  27. Issler, João Victor & Notini, Hilton Hostalacio & Rodrigues, Claudia Fontoura, 2012. "Constructing Coincident and Leading Indices of Economic Activity for the Brazilian Economy," Economics Working Papers (Ensaios Economicos da EPGE) 730, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  28. Se Kyu Choi-Ha & Luis Felipe Lagos, 2003. "El Dinero como Indicador Líder," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(120), pages 259-283.
  29. Lee, Grace H.Y. & Azali, M., 2012. "Is East Asia an optimum currency area?," Economic Modelling, Elsevier, vol. 29(2), pages 87-95.
  30. Jeffrey A. Frankel, 1993. "The Internationalization of Equity Markets," NBER Working Papers 4590, National Bureau of Economic Research, Inc.
  31. Antonio Mele, 2009. "Financial Volatility and Economic Activity," FMG Discussion Papers dp642, Financial Markets Group.
  32. Kajal Lahiri & J. George Wang, 2007. "The value of probability forecasts as predictors of cyclical downturns," Applied Economics Letters, Taylor & Francis Journals, vol. 14(1), pages 11-14.
  33. Albu, Lucian Liviu, 2008. "A Model to Estimate the Composite Index of Economic Activity in Romania – IEF-RO," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(2), pages 44-50, June.
  34. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas.
  35. Daniel Detzer & Christian R. Proaño & Katja Rietzler & Sven Schreiber & Thomas Theobald & Sabine Stephan, 2012. "Verfahren der konjunkturellen Wendepunktbestimmung unter Berücksichtigung der Echtzeit-Problematik," IMK Studies 27-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  36. Cotrie, Gladys & Craigwell, Roland & Maurin, Alain, 2009. "A review of leading composite indicators: making a case for their use in Caribbean economies," MPRA Paper 33390, University Library of Munich, Germany, revised 2009.
  37. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
  38. Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye, 2013. "Macro Shocks And House Prices In South Africa," Working Papers 201302, University of Pretoria, Department of Economics.
  39. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
  40. Chris Birchenhall & Marianne Sensier, 2000. "Predicting UK Business Cycle Regimes," Econometric Society World Congress 2000 Contributed Papers 0953, Econometric Society.
  41. Guerron-Quintana, Pablo A., 2013. "Common and idiosyncratic disturbances in developed small open economies," Journal of International Economics, Elsevier, vol. 90(1), pages 33-49.
  42. Joao Victor Issler & Hilton Notini & Claudia Rodrigues & Ana Flávia Soares, 2013. "Constructing coincident indices of economic activity for the Latin American economy," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(1), pages 67-96, April.
  43. Curran, Declan & Funke, Michael, 2006. "Taking the temperature – forecasting GDP growth for mainland China," BOFIT Discussion Papers 6/2006, Bank of Finland, Institute for Economies in Transition.
  44. Maximo Camacho & Gabriel Perez-Quiros, 2002. "This is what the leading indicators lead," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(1), pages 61-80.
  45. Sensier, Marianne & Artis, Michael & Osborn, Denise R. & Birchenhall, Chris, 2004. "Domestic and international influences on business cycle regimes in Europe," International Journal of Forecasting, Elsevier, vol. 20(2), pages 343-357.
  46. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, pages 29-41.
  47. Bodart, Vincent & Candelon, Bertrand, 1999. "Appréhender la conjoncture à l'aide de la méthode de Stock-Watson : une application à l'économie belge," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  48. Croce, Roberto M. & Haurin, Donald R., 2009. "Predicting turning points in the housing market," Journal of Housing Economics, Elsevier, vol. 18(4), pages 281-293, December.
  49. E. Andersson, 2002. "Monitoring cyclical processes. A non-parametric approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(7), pages 973-990.
  50. Pauwels, Laurent & Vasnev, Andrey, 2014. "Forecast combination for U.S. recessions with real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 138-148.
  51. Harm Bandholz, 2005. "New Composite Leading Indicators for Hungary and Poland," Ifo Working Paper Series Ifo Working Paper No. 3, Ifo Institute for Economic Research at the University of Munich.
  52. Alain Hecq, 2005. "Should we really care about building business cycle coincident indexes!," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 141-144.
  53. Estrella, Arturo, 2004. "The cyclical behavior of optimal bank capital," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1469-1498, June.
  54. Christopher J. Neely & David E. Rapach, 2008. "Is inflation an international phenomenon?," Working Papers 2008-025, Federal Reserve Bank of St. Louis.
  55. Herman Kamil & Jose David Pulido & Jose Luis Torres, . "El "IMACO": un índice mensual líder de la actividad económica en Colombia," Borradores de Economia 609, Banco de la Republica de Colombia.
  56. Rolando Pelàez, 2007. "Ex ante forecasts of business-cycle turning points," Empirical Economics, Springer, vol. 32(1), pages 239-246, April.
  57. Jonathan H. Wright, 2006. "The yield curve and predicting recessions," Finance and Economics Discussion Series 2006-07, Board of Governors of the Federal Reserve System (U.S.).
  58. Christopher J. Neely & David E. Rapach, 2009. "Common fluctuations in OECD budget balances," Working Papers 2009-055, Federal Reserve Bank of St. Louis.
  59. Cubadda, Gianluca & Hecq, Alain, 2003. "The Role of Common Cyclical Features for Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp03002, University of Molise, Dept. EGSeI.
  60. Christopher Otrok & Charles H. Whiteman, 1996. "Baynesian Leading Indicators: Measuring and Predicting Economic Conditions," Macroeconomics 9610002, EconWPA.
  61. Valerie Cerra & Sweta Chaman Saxena, 2005. "Eurosclerosis or Financial Collapse," IMF Working Papers 05/29, International Monetary Fund.