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Major Macroeconomic Variables and Leading Indexes: Some Estimates of Their Interrelations, 1886-1982

  • Victor Zarnowitz
  • Phillip Braun

We examine the interactions within sets of up to six variables representing output, alternative measures of money and fiscal operations, inflation, interest rate, and indexes of selected leading indicators. Quarterly series are used, each taken with four lags, for three periods: 1949-82. 1919-40, and 1886-1914. The series are in stationary form, as indicated by unit root tests. For the early years, the quality of the available data presents some serious problems. We find evidence of strong effects on output of the leading indexes and the short-term interest rate. The monetary effects are greatly reduced when these variables are included. Most variables depend more on their own lagged values than on any other factors, but this is not true of the rates of change in output and the composite leading indexes. Some interesting interperiod differences are noted and discussed.

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File URL: http://www.nber.org/papers/w2812.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2812.

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Date of creation: Jan 1989
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Publication status: published as "Major Macroeconomic Variables and Leading Indexes: Some Estimates of Their Interrelations." From Analyzing Business Cycles: Essays Honoring Geoffrey H. Moore, edited by Philip A. Klein, pp. 177-205. Armonk, NY: M.E. Sharpe, Inc., 1990.
Handle: RePEc:nbr:nberwo:2812
Note: EFG
Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Phone: 617-868-3900
Web page: http://www.nber.org
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  1. Mankiw, N. Gregory & Campbell, John, 1987. "Permanent and Transitory Components in Macroeconomic Fluctuations," Scholarly Articles 3207697, Harvard University Department of Economics.
  2. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  3. Olivier J. Blanchard & Mark W. Watson, 1987. "Are Business Cycles All Alike?," NBER Working Papers 1392, National Bureau of Economic Research, Inc.
  4. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
  5. Makin, John H, 1982. "Anticipated Money, Inflation Uncertainty and Real Economic Activity," The Review of Economics and Statistics, MIT Press, vol. 64(1), pages 126-34, February.
  6. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
  7. Nathan S. Balke & Robert J. Gordon, 1988. "The Estimation of Prewar GNP: Methodology and New Evidence," NBER Working Papers 2674, National Bureau of Economic Research, Inc.
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