Business Cycles - Durations, Dynamics, and Forecasting

This is the most sophisticated and up-to-date econometric analysis of business cycles now available. Francis Diebold and Glenn Rudebusch have long been acknowledged as leading experts on business cycles. And here they present a highly integrative collection of their most important essays on the subject, along with a detailed introduction that draws together the book's principal themes and findings.

Diebold and Rudebusch use the latest quantitative methods to address five principal questions about the measurement, modeling, and forecasting of business cycles. They ask whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower. They consider whether economic expansions and contractions tend to die of "old age." Contrary to popular wisdom, they find little evidence that expansions become more fragile the longer they last, although they do find that contractions are increasingly likely to end as they age. The authors discuss the defining characteristics of business cycles, focusing on how economic variables move together and on the timing of the slow alternation between expansions and contractions. They explore the difficulties of distinguishing between long-term trends in the economy and cyclical fluctuations. And they examine how business cycles can be forecast, looking in particular at how to predict turning points in cycles, rather than merely the level of future economic activity. They show here that the index of leading economic indicators is a poor predictor of future economic activity, and consider what we can learn from other indicators, such as financial variables. Throughout, the authors make use of a variety of advanced econometric techniques, including nonparametric analysis, fractional integration, and regime-switching models. Business Cycles is crucial reading for policymakers, bankers, and business executives.

List of contents

	Preface
	Acknowledgments
Pt. I	Introduction
1	Questions about Business Cycles	5
Pt. II	Business Cycle Durations
2	Have Postwar Economic Fluctuations Been Stabilized?	35
3	Shorter Recessions and Longer Expansions	54
4	A Nonparametric Investigation of Duration Dependence in the American Business Cycle	64
5	Further Evidence on Business Cycle Duration Dependence	87
6	Measuring Business Cycles: A Modern Perspective	117
7	Regime Switching with Time-Varying Transition Probabilities	144
Pt. III	Business Cycle Dynamics
8	Trends and Random Walks in Macroeconomic Time Series: A Reexamination	169
9	The Uncertain Unit Root in Real GNP	194
10	The Uncertain Unit Root in Real GNP: Comment	207
11	Long Memory and Persistence in Aggregate Output	219
12	Is Consumption Too Smooth? Long Memory and the Deaton Paradox	241
13	On the Power of Dickey-Fuller Tests against Fractional Alternatives	258
Pt. IV	Business Cycle Forecasting
14	The Past, Present, and Future of Macroeconomic Forecasting	267
15	Scoring the Leading Indicators	290
16	Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis	316
17	Forecasting Output with the Composite Leading Index: A Real-Time Analysis	342
18	New and Old Models of Business Investment: A Comparison of Forecasting Performance	361
19	Comparing Predictive Accuracy	387
	Name Index	413
	Subject Index	419

About the author

Francis X. Diebold & Glenn D. Rudebusch

Summary

This is the most sophisticated and up-to-date econometric analysis of business cycles now available. Francis Diebold and Glenn Rudebusch have long been acknowledged as leading experts on business cycles. And here they present a highly integrative collection of their most important essays on the subject, along with a detailed introduction that draws together the book's principal themes and findings.

Diebold and Rudebusch use the latest quantitative methods to address five principal questions about the measurement, modeling, and forecasting of business cycles. They ask whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower. They consider whether economic expansions and contractions tend to die of "old age." Contrary to popular wisdom, they find little evidence that expansions become more fragile the longer they last, although they do find that contractions are increasingly likely to end as they age. The authors discuss the defining characteristics of business cycles, focusing on how economic variables move together and on the timing of the slow alternation between expansions and contractions. They explore the difficulties of distinguishing between long-term trends in the economy and cyclical fluctuations. And they examine how business cycles can be forecast, looking in particular at how to predict turning points in cycles, rather than merely the level of future economic activity. They show here that the index of leading economic indicators is a poor predictor of future economic activity, and consider what we can learn from other indicators, such as financial variables. Throughout, the authors make use of a variety of advanced econometric techniques, including nonparametric analysis, fractional integration, and regime-switching models. Business Cycles is crucial reading for policymakers, bankers, and business executives.

Additional text

"This book is an invaluable resource for anyone interested in empirical macroeconomics or in advanced techniques of time series analysis. It clearly shows how the adoption of new econometric techniques leads to new and better answers to existing questions, as well as to new questions, too."—Peter Lindner, Vice-President, Lehman Brothers Inc.

Product details

• Authors: Francis Diebold, Francis X. Diebold, Glenn Rudebusch, Glenn D. Rudebusch, Rudebusch Glenn D.
• Publisher: University Presses
• Languages: English
• Product format: Hardback
• Released: 12.04.1999
• EAN: 9780691012186
• ISBN: 978-0-691-01218-6
• No. of pages: 432
• Weight: 794 g
• Illustrations: 83 tables 44 line illus.
• Subjects: Social sciences, law, business > Business > Economics; BUSINESS & ECONOMICS / Forecasting, BUSINESS & ECONOMICS / Economics / Microeconomics, BUSINESS & ECONOMICS / Econometrics, Microeconomics, Econometrics, economic forecasting, Econometrics and economic statistics