IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-02c50002.html
   My bibliography  Save this article

Predicting the Cyclical Phases of the Post-War U.S. Leading and Coincident Indicators

Author

Listed:
  • Konstantin Kholodilin

    (Institut de recherches économiques et sociales)

Abstract

A bifactor model of the unobserved common leading and coincident indicators with Markov switching, introduced via the common factor intercept term, is examined. The model has four regimes and the lag between the leading and coincident factors is reflected in transition probabilities matrix. Three hypotheses concerning the relationship between the two factors are evaluated: (1) cyclical dynamics of the two factors are independent (2) cyclical dynamics are common for both factors (3) dynamics are interrelated, with coincident factor lagging behind the leading factor. The models are estimated using US monthly macroeconomic time series. The estimated recession probabilities reveal close correspondence to NBER business cycle dating. Moreover, model 3 shows that the leading factor is entering the recession 5 months and the expansions 9 months earlier than the coincident one. This permits timely forecasting of the future evolution of the coincident economic indicator.

Suggested Citation

  • Konstantin Kholodilin, 2002. "Predicting the Cyclical Phases of the Post-War U.S. Leading and Coincident Indicators," Economics Bulletin, AccessEcon, vol. 3(5), pages 1-15.
    • Handle: RePEc:ebl:ecbull:eb-02c50002
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/pubs/EB/2002/Volume3/EB-02C50002A.pdf
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-02c50002. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.