Journal of Economic and Social Measurement - Volume 25, issue 3-4

Authors: Woodward, Douglas P. | Renfro, Charles G. | Cabral, Ricardo | Cabral, Dolores

Article Type: Research Article

Abstract: This paper introduces a special issue of the Journal of Economic and Social Measurement on U.S. Regional Economic Indicator Models. It describes recent research on such models, both specifically and in the context of general research on economic indicators, and …provides some references. The six papers of this special issue represent a selection from the papers presented at a conference held in Braga, Portugal at the Universidad do Minho 7--10 June 1998, a purpose of which was to bring together scholars from Europe, North America, and South America to consider issues in the construction of indicator models. Show more

DOI: 10.3233/JEM-1999-0171

Citation: Journal of Economic and Social Measurement, vol. 25, no. 3-4, pp. 111-117, 1999

Authors: Boldin, Michael D.

Article Type: Research Article

Abstract: The leading index receives attention because this summary statistic of a particular set of popular economic indicators is touted as a forward-looking and objective measure of economic activity. A review of its history and methodology, however, leaves much to be …desired. It is well known that changes in the components have been responsible for substantial revisions in the leading index. Less known is the role of the methodology in these changes. This article critiques the methodology in this light and considers whether a consistent shying away from modern econometrics has produced excessive revisions in the leading index. The conclusion that the traditional composite index approach has serious, but correctable flaws should be of interest to those that want to improve the leading index or build similar economic statistics for subsectors of the US economy, US regions, or other countries. Show more

DOI: 10.3233/JEM-1999-0170

Citation: Journal of Economic and Social Measurement, vol. 25, no. 3-4, pp. 119-140, 1999

Authors: Phillips, Keith R.

Article Type: Research Article

Abstract: I compare the real-time recession predicting performance of the Conference Board Leading Index, the Stock and Watson Leading Index, and the yield curve in the period since 1988. I first calculate the real-time probability of recession for the yield curve …and Conference Board Leading Index using a simple non-linear regime-switching model. I then compare these estimates to the probability of recession published by Stock and Watson. The Conference Board Leading Index gave the strongest signal of recession in the six months prior to the 1990--1991 recession and gave no false signals in the 1990s. The Stock and Watson Leading Index failed to give recession signals in the first half of 1990 and the yield curve may have given a false signal in early 1999. The results show that the traditional leading index is still a useful tool for monitoring the ebb and flow of regional and national economies. Show more

DOI: 10.3233/JEM-1999-0169

Citation: Journal of Economic and Social Measurement, vol. 25, no. 3-4, pp. 141-162, 1999

Authors: Guha, Debashis | Banerji, Anirvan

Article Type: Research Article

Abstract: This paper presents a method for testing whether business cycle expansions and contractions at different levels of aggregation, such as regional and national cycles, occur at the same time. The procedure is to fit markov-switching models to the time-series and …then apply a bootstrap test of equality to the residuals. Applied to US employment data, the test shows significant differences between fluctuations in US national employment and those in some US states. Application to European data reveals significant differences between employment fluctuations at the aggregate EMU level and those in Germany and France. Show more

DOI: 10.3233/JEM-1999-0168

Citation: Journal of Economic and Social Measurement, vol. 25, no. 3-4, pp. 163-182, 1999

Authors: Clayton-Matthews, Alan | Stock, James H.

Article Type: Research Article

Abstract: The Stock/Watson index methodology is applied to the Massachusetts economy to estimate coincident and leading indexes for the state. A coincident index, calibrated to trend with gross state product, is estimated as a dynamic single factor, multiple indicator model, using …the Kalman filter and smoother on a set of coincident indicators. The leading index is a six-month ahead forecast of the coincident index, based on a regression on recent growth in the coincident index and a set of leading indicators. Filtering of noisy data and model selection in the context of a short historical span of data are two issues common to index construction at the state and regional levels that the authors address. Show more

Keywords: coincident index, leading index, Kalman filter, dynamic single factor model, predictive least squares, Stock/Watson model

DOI: 10.3233/JEM-1999-0172

Citation: Journal of Economic and Social Measurement, vol. 25, no. 3-4, pp. 183-233, 1999

Authors: Chauvet, Marcelle

Article Type: Research Article

Abstract: This paper explores the dynamic relationship between stock market fluctuations and the business cycle. Presumably, stock market movements reflect positions taken by market participants based on their assessment about the current state of the economy. Given the forward-looking behavior of …stock market investors, this paper explores the possibility of predicting business cycle turning points using promptly available financial variables. Stock market fluctuations and business cycles are represented by nonlinear dynamic factors at the monthly frequency. The proposed model generates predictions of business cycle turning points using the business cycle factor, and anticipation of these predicted turns using the stock market factor. The findings indicate that the extracted stock market factor is a leading indicator of the state of the business cycle and can be used to anticipate turning points in real time. Show more

Keywords: business cycle, stock market, dynamic factor, Markov switching

DOI: 10.3233/JEM-1999-0166

Citation: Journal of Economic and Social Measurement, vol. 25, no. 3-4, pp. 235-257, 1999

Authors: Crone, Theodore M.

Article Type: Research Article

Abstract: When studying the interaction of multi-state regions in the US, regional economists typically use the regional divisions developed by the Bureau of Economic Analysis (BEA). The BEA's grouping of the 50 states into eight regions is based primarily on cross-sectional …similarities in the states' socioeconomic characteristics. Since many economic studies of regions concentrate on similarities and differences in regional business cycles, it is also appropriate to group states into regions based on some common cyclical behavior. This paper groups states into regions based on common movements in state indexes of economic activity. Comparable indexes are estimated for the 48 contiguous states, and cluster analysis is applied to the monthly changes in these indexes to group the states into regions with similar business cycles.The cluster analysis identifies six distinct regions consisting of contiguous states with similar monthly changes in their economic activity indexes. These regions differ in varying degrees from the commonly used BEA regions. Show more

DOI: 10.3233/JEM-1999-0164

Citation: Journal of Economic and Social Measurement, vol. 25, no. 3-4, pp. 259-275, 1999