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http://ssrn.com/abstract=355600
 
 

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This is What the US Leading Indicators Lead


Maximo Camacho


Autonomous University of Barcelona - Department of Economics; Universidad de Murcia - Departamento de Metodos Cuantitativos

Gabriel Perez-Quiros


Bank of Spain

August 2000

ECB Working Paper No. 27

Abstract:     
We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyze the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition regression and switching regimes, probit, nonparametric models and conclude that a combination of the switching regimes and nonparametric forecasts is the best strategy at predicting both the NBER business cycle schedule and GDP growth. This confirms the usefulness of CLI, even in a real-time analysis.

Number of Pages in PDF File: 38

Keywords: Leading Indicators, Turning Points, Optimal Forecasting Rule

JEL Classification: C32, C53

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Date posted: December 3, 2002  

Suggested Citation

Camacho, Maximo and Perez-Quiros, Gabriel, This is What the US Leading Indicators Lead (August 2000). ECB Working Paper No. 27. Available at SSRN: http://ssrn.com/abstract=355600

Contact Information

Maximo Camacho (Contact Author)
Autonomous University of Barcelona - Department of Economics ( email )
Avda. Diagonal 690
Barcelona, 08034
Spain
Universidad de Murcia - Departamento de Metodos Cuantitativos ( email )
Campus de Espinardo
30100 Murcia
Spain
+34 968 367 982 (Phone)
Gabriel Perez-Quiros
Bank of Spain ( email )
Madrid 28014
Spain
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