Business Cycles: Durations, Dynamics, and Forecasting by Francis X. DieboldBusiness Cycles: Durations, Dynamics, and Forecasting by Francis X. Diebold

Business Cycles: Durations, Dynamics, and Forecasting

byFrancis X. Diebold

Hardcover | April 12, 1999

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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 Cyclesis crucial reading for policymakers, bankers, and business executives.

Francis X. Dieboldis Professor of Economics and of Statistics at the University of Pennsylvania and Faculty Research Fellow at the National Bureau of Economic Research. He is the author ofElements of ForecastingandEmpirical Models of Exchange Rate Dynamics.Glenn D. Rudebuschis a research officer at the Federal Reserve Bank of San Franc...
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Title:Business Cycles: Durations, Dynamics, and ForecastingFormat:HardcoverDimensions:432 pagesPublished:April 12, 1999Publisher:Princeton University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0691012180

ISBN - 13:9780691012186

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Table 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


Editorial Reviews

"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.