Business Cycles (eBook)

Durations, Dynamics, and Forecasting

Francis X. Diebold, Glenn D. Rudebusch (Autoren)

eBook Download: PDF

2020
432 Seiten
Princeton University Press (Verlag)
978-0-691-21958-5 (ISBN)

Infos

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 "e;old age."e; 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.

Produkt-Details

• Erscheint lt. Verlag: 6.10.2020
• Zusatzinfo: 83 tables 44 line illus.
• Sprache: englisch
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Mikroökonomie
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: Accuracy and precision • Andrews, Donald W. K. • Asymptotic Distribution • autocorrelation • autocovariance • Autoregressive fractionally integrated moving average • Autoregressive model • Autoregressive–moving-average model • Balke, Nathan S. • Bayesian • Bayesian information criterion • Bias of an estimator • Big O notation • Blanchard, Olivier J. • Brier, G. W. • Burns, Arthur F. • Business Cycle • business cycle: causes of • business cycle indicators • Calculation • Campbell, John Y. • Ceteris paribus • Comparative Advantage • Confidence interval • consumption • Coordination failure (economics) • Cumulant • Deaton, Angus • Dickey–Fuller test • Diebold • Diebold, Francis X. • Dummy variable (statistics) • Dynamic factor • Dynamic Programming • Economic indicator • Economics • Eichenbaum, M. • Errors and residuals • estimation • Euler equations (fluid dynamics) • expectation–maximization algorithm • Externality • False Signal • F-distribution • Filardo, Andrew J. • Forecast Error • Forecasting • Free parameter • Generalized method of moments • Gibbs Sampling • Gordon, Robert J. • Granger-Sims causality • Hamilton, James D. • hazard function • income • incomplete markets • inference • Information asymmetry • instrumental variable • John Haltiwanger • Kalman Filter • Keynesian revolution • Kim, Chang-Jin • Lag operator • Large-scale macroeconometric model • Likelihood Function • Likelihood-ratio test • linear models • Log probability • Long run and short run • Loss Function • Lucas critique • Macroeconomic factor • Macroeconomics • Mankiw, N. Gregory • Marginal product • Markov Chain • Markov model • Markov process • Mean squared prediction error • mean-unbiased estimation • Minimum mean square error • Mitchell, Wesley C. • Nelson, Charles R. • Normal distribution • null hypothesis • Observational error • Ordinary Least Squares • Parameter • Partial autocorrelation function • permanent income hypothesis • Plosser, Charles I. • Point Estimation • posterior probability • Precautionary Savings • Prediction • Probability • p-value • Random Walk • Rate of Convergence • Real interest rate • Real versus nominal value (economics) • Recession • Recognition Lag • Regression toward the mean • Rudebusch, Glenn D. • Savin, N. Eugene • Sensitivity Analysis • sequential probability rule (SPR) • Shapiro-Wilk test • Stagflation • standard deviation • standard error • Statistic • Student's t-test • Survival Analysis • test statistic • threshold model • Time Series • trends and unit roots • Unemployment • unit root • Unit root test • Unit Root Tests • Variable (mathematics) • vector autoregression • volatility: analysis • Watson, Mark W. • Weighted arithmetic mean • Wilcoxon signed-rank test • Wilcoxon test • Z-Test
• ISBN-10: 0-691-21958-3 / 0691219583
• ISBN-13: 978-0-691-21958-5 / 9780691219585