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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. Hendry, David F. & Clements, Michael P., 2001. "Economic forecasting: some lessons from recent research," Working Paper Series 0082, European Central Bank.
  2. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
  3. 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.
  4. Joannes Mongardini & Tahsin Saadi-Sedik, 2003. "Estimating Indexes of Coincident and Leading Indicators; An Application to Jordan," IMF Working Papers 03/170, International Monetary Fund.
  5. Pauwels, Laurent & Vasnev, Andrey, 2013. "Forecast combination for U.S. recessions with real-time data," Working Papers 02/2013, University of Sydney Business School, Discipline of Business Analytics.
  6. Valerie Cerra & Sweta Chaman Saxena, 2005. "Eurosclerosis or Financial Collapse; Why Did Swedish Incomes Fall Behind?," IMF Working Papers 05/29, International Monetary Fund.
  7. Petra Posedel Simovic & Marina Tkalec & Maruska Vizek, 2015. "Time-varying integration in European post-transition sovereign bond market," Working Papers 1501, The Institute of Economics, Zagreb.
  8. 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.
  9. Issler, João Victor & Notini, Hilton Hostalácio, 2015. "Estimating Brazilian monthly GDP: a state-space approach," Economics Working Papers (Ensaios Economicos da EPGE) 774, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  10. Issler, Joao Victor & Notini, Hilton & Rodrigues, Claudia & Soares, Ana Flávia, 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), February.
  11. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005.
  12. C R Birchenhall & D R Osborn & M Sensier, 2000. "Predicting UK Business Cycle Regimes," Centre for Growth and Business Cycle Research Discussion Paper Series 02, Economics, The Univeristy of Manchester.
  13. Françoise Charpin & Hervé Péléraux, 2000. "L'indicateur avancé de l'OFCE," Revue de l'OFCE, Programme National Persée, vol. 72(1), pages 133-155.
  14. M Sensier & M Artis & C R Birchenhall & D R Osborn, 2002. "Domestic and International Influences on Business Cycle Regimes in Europe," Centre for Growth and Business Cycle Research Discussion Paper Series 11, Economics, The Univeristy of Manchester.
  15. Robin L. Lumsdaine & Eswar S Prasad, 1999. "Identifying the Common Component in International Economic Fluctuations; A New Approach," IMF Working Papers 99/154, International Monetary Fund.
  16. Canova, Fabio & Ciccarelli, Matteo, 2001. "Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model," CEPR Discussion Papers 2961, C.E.P.R. Discussion Papers.
  17. Anna Pestova, 2015. "Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia," HSE Working papers WP BRP 94/EC/2015, National Research University Higher School of Economics.
  18. 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.
  19. Estrella, Arturo, 2004. "The cyclical behavior of optimal bank capital," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1469-1498, June.
  20. Lee, Grace H.Y. & Azali, M., 2012. "Is East Asia an optimum currency area?," Economic Modelling, Elsevier, vol. 29(2), pages 87-95.
  21. 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.
  22. 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).
  23. Gregory R. Duffee & Stephen D. Prowse, "undated". "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 1996-38, Board of Governors of the Federal Reserve System (U.S.).
  24. Christopher J. Neely & David E. Rapach, 2008. "Is inflation an international phenomenon?," Working Papers 2008-025, Federal Reserve Bank of St. Louis.
  25. Issler, João Victor & Notini, Hilton Hostalácio & Rodrigues, Claudia Oliveira da Fontoura, 2011. "Constructing coincident and leading indices of economic activity for the brazilian economy," Economics Working Papers (Ensaios Economicos da EPGE) 714, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  26. Maximo Camacho & Gabriel Perez-Quiros, 2000. "This Is What The Leading Indicators Lead," Computing in Economics and Finance 2000 132, Society for Computational Economics.
  27. Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Books, National Bureau of Economic Research, Inc, number fran94-1.
  28. Schreiber, Sven, 2014. "Anticipating business-cycle turning points in real time using density forecasts from a VAR," Discussion Papers 2014/2, Free University Berlin, School of Business & Economics.
  29. Grace H.Y. Lee & M. Azali, 2009. "A Bayesian Approach to Optimum Currency Areas in East Asia," Monash Economics Working Papers 18-09, Monash University, Department of Economics.
  30. 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.
  31. Fornari Fabio & Mele Antonio, 2013. "Financial Volatility and Economic Activity," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 155-198, December.
  32. Gregory R. Duffee & Stephen 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 96-38, Board of Governors of the Federal Reserve System (U.S.).
  33. 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.
  34. 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.
  35. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, pages 29-41.
  36. 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.
  37. 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.
  38. 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.
  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. Franck Sédillot, 2001. "La pente des taux contient-elle de l'information sur l'activité économique future ?," Economie & Prévision, La Documentation Française, vol. 147(1), pages 141-157.
  41. Herman Kamil & José David Pulido & José Luis Torres, 2010. "El IMACO": un índice mensual líder de la actividad económica en Colombia"," BORRADORES DE ECONOMIA 007129, BANCO DE LA REPÚBLICA.
  42. 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.
  43. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
  44. Harm Bandholz & Michael Funke, 2001. "In Search of Leading Indicators of Economic Activity in Germany," CESifo Working Paper Series 571, CESifo Group Munich.
  45. repec:fgv:epgrbe:v:67:n:1:a:4 is not listed on IDEAS
  46. Curran, Declan & Funke, Michael, 2006. "Taking the temperature : forecasting GDP growth for mainland in China," BOFIT Discussion Papers 6/2006, Bank of Finland, Institute for Economies in Transition.
  47. E. Andersson, 2002. "Monitoring cyclical processes. A non-parametric approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(7), pages 973-990.
  48. 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.
  49. Camacho, Maximo & Pérez Quirós, Gabriel, 2000. "This is what the US leading indicators lead," Working Paper Series 0027, European Central Bank.
  50. Cubadda, Gianluca, 2004. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp04022, University of Molise, Dept. EGSeI.
  51. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas.
  52. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, Elsevier.
  53. Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Chapters, in: The Internationalization of Equity Markets, pages 23-58 National Bureau of Economic Research, Inc.
  54. Pablo Guerron-Quintana, 2012. "Common and idiosyncratic disturbances in developed small open economies," Working Papers 12-3, Federal Reserve Bank of Philadelphia.
  55. 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.
  56. Jeffrey A. Frankel, 1994. "Introduction to "The Internationalization of Equity Markets "," NBER Chapters, in: The Internationalization of Equity Markets, pages 1-20 National Bureau of Economic Research, Inc.
  57. 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.
  58. Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
  59. Hamilton, James D., 2011. "Calling recessions in real time," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1006-1026, October.
  60. Issler, João Victor & Vahid, Farshid, 2002. "The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity," Economics Working Papers (Ensaios Economicos da EPGE) 450, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  61. Valerie Cerra & Sweta Chaman Saxena, 2003. "Did Output Recover From the Asian Crisis?," IMF Working Papers 03/48, International Monetary Fund.
  62. 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.
  63. 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.
  64. Christopher J. Neely & David E. Rapach, 2009. "Common fluctuations in OECD budget balances," Working Papers 2009-055, Federal Reserve Bank of St. Louis.
  65. Posedel Šimović, Petra & Tkalec, Marina & Vizek, Maruška & Lee, Junsoo, 2016. "Time-varying integration of the sovereign bond markets in European post-transition economies," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 30-40.
  66. 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.
  67. 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.).
  68. Harm Bandholz, 2005. "New Composite Leading Indicators for Hungary and Poland," Ifo Working Paper Series Ifo Working Paper No. 3, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  69. De Pace, Pierangelo & Weber, Kyle D., 2016. "The time-varying leading properties of the high yield spread in the United States," International Journal of Forecasting, Elsevier, vol. 32(1), pages 203-230.
  70. Rolando Pelàez, 2007. "Ex ante forecasts of business-cycle turning points," Empirical Economics, Springer, vol. 32(1), pages 239-246, April.
  71. 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.
  72. Jean-François Loué, 1996. "L'influence de la politique monétaire sur les taux d'intérêt," Revue de l'OFCE, Programme National Persée, vol. 59(1), pages 101-133.
  73. Sergey V. Smirnov & Nikolai V. Kondrashov & Anna V. Petronevich, 2016. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," HSE Working papers WP BRP 122/EC/2016, National Research University Higher School of Economics.
  74. 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.
  75. Benoît Bellone, 2006. "Une lecture probabiliste du cycle d’affaires américain," Économie et Prévision, Programme National Persée, vol. 172(1), pages 63-81.
  76. Konstantin A. Kholodilin & Erik Klär, 2007. "Dem Konjunkturzyklus auf der Spur: zur Prognose konjunktureller Wendepunkte in Deutschland," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 76(4), pages 8-20.
  77. Papastamos, Dimitrios & Matysiak, George & Stevenson, Simon, 2015. "Assessing the accuracy and dispersion of real estate investment forecasts," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 141-152.
  78. 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.
  79. 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.
  80. Christopher Otrok & Charles H. Whiteman, 1996. "Baynesian Leading Indicators: Measuring and Predicting Economic Conditions," Macroeconomics 9610002, EconWPA.
  81. Andrew J. Filardo, 1999. "How reliable are recession prediction models?," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 35-55.
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