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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. Harm Bandholz & Michael Funke, 2003. "In Search of Leading Indicators of Economic Activity in Germany," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics 20307, Hamburg University, Department of Economics.
  2. Maximo Camacho & Gabriel Perez-Quiros, 2000. "This Is What The Leading Indicators Lead," Computing in Economics and Finance 2000, Society for Computational Economics 132, Society for Computational Economics.
  3. C R Birchenhall & D R Osborn & M Sensier, 2000. "Predicting UK Business Cycle Regimes," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester 02, Economics, The Univeristy of Manchester.
  4. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages, University of Pennsylvania _061, University of Pennsylvania.
  5. Franck Sédillot, 2001. "La pente des taux contient-elle de l’information sur l’activité économique future ?," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 147(1), pages 141-157.
  6. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers, University of Oxford, Department of Economics 78, University of Oxford, Department of Economics.
  7. Lumsdaine, Robin L. & Prasad, Eswar, 2002. "Identifying the Common Component of International Economic Fluctuations: A New Approach," IZA Discussion Papers 487, Institute for the Study of Labor (IZA).
  8. Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers, Queen Mary, University of London, School of Economics and Finance 590, Queen Mary, University of London, School of Economics and Finance.
  9. Grace H.Y. Lee & M. Azali, 2009. "A Bayesian Approach to Optimum Currency Areas in East Asia," Development Research Unit Working Paper Series, Monash University, Department of Economics 18-09, Monash University, Department of Economics.
  10. 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.
  11. Lee, Grace H.Y. & Azali, M., 2012. "Is East Asia an optimum currency area?," Economic Modelling, Elsevier, Elsevier, vol. 29(2), pages 87-95.
  12. Valerie Cerra & Sweta Chaman Saxena, 2005. "Eurosclerosis or Financial Collapse," IMF Working Papers, International Monetary Fund 05/29, International Monetary Fund.
  13. Christopher J. Neely & David E. Rapach, 2008. "Is inflation an international phenomenon?," Working Papers, Federal Reserve Bank of St. Louis 2008-025, Federal Reserve Bank of St. Louis.
  14. 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.
  15. Pauwels, Laurent & Vasnev, Andrey, 2014. "Forecast combination for U.S. recessions with real-time data," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 28(C), pages 138-148.
  16. Canova, Fabio & Ciccarelli, Matteo, 2001. "Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2961, C.E.P.R. Discussion Papers.
  17. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers, Federal Reserve Bank of Dallas 0707, Federal Reserve Bank of Dallas.
  18. Gregory R. Duffee & Steven D. Prowse, 1996. "What's good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 96-38, Board of Governors of the Federal Reserve System (U.S.).
  19. Declan Curran & Michael Funke, 2006. "Taking the Temperature - Forecasting GDP Growth for Mainland China," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics 20606, Hamburg University, Department of Economics.
  20. 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, Monash University, Department of Econometrics and Business Statistics 9/01, Monash University, Department of Econometrics and Business Statistics.
  21. Domian, Dale L. & Louton, David A., 1995. "Business cycle asymmetry and the stock market," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 35(4), pages 451-466.
  22. Herman Kamil & José David Pulido & José Luis Torres, 2010. "El IMACO": un índice mensual líder de la actividad económica en Colombia"," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 007129, BANCO DE LA REPÚBLICA.
  23. E. Andersson, 2002. "Monitoring cyclical processes. A non-parametric approach," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(7), pages 973-990.
  24. Neely, Christopher J. & Rapach, David E., 2011. "International comovements in inflation rates and country characteristics," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(7), pages 1471-1490.
  25. 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, Elsevier, vol. 20(2), pages 343-357.
  26. 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), Université de Lausanne, Faculté des HEC, DEEP 03.02, Université de Lausanne, Faculté des HEC, DEEP.
  27. Francisco J. Goerlich-Gisbert, 1999. "Shocks agregados versus shocks sectoriales. Un análisis factorial dinámico," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 23(1), pages 27-53, January.
  28. Fabio Fornari & Antonio Mele, 2009. "Financial volatility and economic activity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 29309, London School of Economics and Political Science, LSE Library.
  29. Benoît Bellone, 2006. "Une lecture probabiliste du cycle d’affaires américain," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 172(1), pages 63-81.
  30. Christopher Otrok & Charles H. Whiteman, 1996. "Baynesian Leading Indicators: Measuring and Predicting Economic Conditions," Macroeconomics, EconWPA 9610002, EconWPA.
  31. João Victor Issler & Hilton Hostalacio Notini & Claudia Fontoura Rodrigues, 2012. "Constructing coincident and leading indices of economic activity for the Brazilian economy," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, OECD Publishing,CIRET, vol. 2012(2), pages 43-65.
  32. Jonathan H. Wright, 2006. "The yield curve and predicting recessions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-07, Board of Governors of the Federal Reserve System (U.S.).
  33. Valerie Cerra & Sweta Chaman Saxena, 2003. "Did Output Recover From the Asian Crisis?," IMF Working Papers, International Monetary Fund 03/48, International Monetary Fund.
  34. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, Elsevier, vol. 75(1), pages 110-130, May.
  35. Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye, 2013. "Macro Shocks And House Prices In South Africa," Working Papers, University of Pretoria, Department of Economics 201302, University of Pretoria, Department of Economics.
  36. Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Books, National Bureau of Economic Research, Inc, National Bureau of Economic Research, Inc, number fran94-1.
  37. 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, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, 04.
  38. James D. Hamilton, 2010. "Calling Recessions in Real Time," NBER Working Papers 16162, National Bureau of Economic Research, Inc.
  39. Rolando Pelàez, 2007. "Ex ante forecasts of business-cycle turning points," Empirical Economics, Springer, Springer, vol. 32(1), pages 239-246, April.
  40. Camacho, Maximo & Pérez Quirós, Gabriel, 2000. "This is what the US leading indicators lead," Working Paper Series, European Central Bank 0027, European Central Bank.
  41. Estrella, Arturo, 2004. "The cyclical behavior of optimal bank capital," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(6), pages 1469-1498, June.
  42. 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, Cattaneo University (LIUC) 210, Cattaneo University (LIUC).
  43. Fintzen, David & Stekler, H. O., 1999. "Why did forecasters fail to predict the 1990 recession?," International Journal of Forecasting, Elsevier, Elsevier, vol. 15(3), pages 309-323, July.
  44. 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.
  45. 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), Université catholique de Louvain, Département des Sciences Economiques 2005006, Université catholique de Louvain, Département des Sciences Economiques.
  46. 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, Institute for Economic Forecasting, vol. 5(2), pages 44-50, June.
  47. Valerie Cerra & Sweta C. Saxena, 2005. "Eurosclerosis or Financial Collapse: Why Did Swedish Incomes Fall Behind?," Macroeconomics, EconWPA 0508007, EconWPA.
  48. Christopher J. Neely & David E. Rapach, 2009. "Common fluctuations in OECD budget balances," Working Papers, Federal Reserve Bank of St. Louis 2009-055, Federal Reserve Bank of St. Louis.
  49. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, pages 29-41.
  50. 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), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) 1999018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  51. 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., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(120), pages 259-283.
  52. 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, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute 27-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  53. Cubadda, Gianluca & Hecq, Alain, 2003. "The Role of Common Cyclical Features for Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI esdp03002, University of Molise, Dept. EGSeI.
  54. Joannes Mongardini & Tahsin Saadi-Sedik, 2003. "Estimating Indexes of Coincident and Leading Indicators," IMF Working Papers, International Monetary Fund 03/170, International Monetary Fund.
  55. Kajal Lahiri & J. George Wang, 2007. "The value of probability forecasts as predictors of cyclical downturns," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(1), pages 11-14.
  56. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics, EconWPA 0407002, EconWPA, revised 28 Mar 2005.
  57. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(2), pages 237-248.
  58. Croce, Roberto M. & Haurin, Donald R., 2009. "Predicting turning points in the housing market," Journal of Housing Economics, Elsevier, Elsevier, vol. 18(4), pages 281-293, December.
  59. 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.
  60. Alain Hecq, 2005. "Should we really care about building business cycle coincident indexes!," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(3), pages 141-144.
  61. 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, Taylor & Francis Journals, vol. 33(3), pages 257-278.
  62. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, Elsevier, vol. 132(2), pages 363-378, June.
  63. Guerron-Quintana, Pablo A., 2013. "Common and idiosyncratic disturbances in developed small open economies," Journal of International Economics, Elsevier, Elsevier, vol. 90(1), pages 33-49.