Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov process. The procedure is applied to the series that make up the composite U.S. coincident indicator to obtain business cycle turning points. The business cycle chronology is closer to the NBER reference cycle than the turning points obtained from the individual series using a univariate model. The model is also used to forecast the series, with encouraging results.

Exports and Imports --- Macroeconomics --- Industries: General --- Economic Methodology --- Business Fluctuations --- Cycles --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Macroeconomics: Production --- International Investment --- Long-term Capital Movements --- Personal Income, Wealth, and Their Distributions --- Economic growth --- International economics --- Business cycles --- Industrial production --- Cyclical indicators --- International investment position --- Personal income --- Production --- External position --- National accounts --- Industries --- Investments, Foreign --- Income --- United States

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

The abruptness and virulence of the 1997 Asian crises have led many to claim that these crises are of a new breed and were thus unforecastable. This paper examines 102 financial crises in 20 countries and concludes that the Asian crises are not of a new variety. Overall, the 1997 Asian crises, as well as previous crises elsewhere, occur when economies are in distress, making the degree of fragility of the economy a useful indicator of future crises. Based on this idea, the paper proposes different composite leading indicators of crises, evaluated in terms of accuracy both in-sample and out-of-sample.

Banks and Banking --- Financial Risk Management --- Foreign Exchange --- Macroeconomics --- Financial Crises --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Economic & financial crises & disasters --- Banking --- Currency --- Foreign exchange --- Economic growth --- Currency crises --- Banking crises --- Financial crises --- Real exchange rates --- Cyclical indicators --- Banks and banking --- Business cycles --- Thailand

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Macroeconomic analysis in Lebanon presents a distinct challenge. For example, long delays in the publication of GDP data mean that our analysis often relies on proxy variables, and resembles an extended version of the “nowcasting” challenge familiar to many central banks. Addressing this problem—and mindful of the pitfalls of extracting information from a large number of correlated proxies—we explore some recent techniques from the machine learning literature. We focus on two popular techniques (Elastic Net regression and Random Forests) and provide an estimation procedure that is intuitively familiar and well suited to the challenging features of Lebanon’s data.

Macroeconomics --- Intelligence (AI) & Semantics --- Forecasting --- Simulation Methods --- Statistical Decision Theory --- Operations Research --- Model Evaluation and Selection --- Forecasting and Other Model Applications --- Computational Techniques --- Technological Change: Choices and Consequences --- Diffusion Processes --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Machine learning --- Economic growth --- Economic Forecasting --- Cyclical indicators --- Technology --- Economic forecasting --- Business cycles --- Lebanon

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This paper forecasts inflation in Sudan following two methodologies: the Autoregressive Moving Average (ARMA) model and by looking at the leading indicators of inflation. The estimated ARMA model remarkably tracks the actual inflation during the sample period. The Granger causality test suggests that private sector credit and world wheat prices are the leading indicators explaining inflation in Sudan. Inflation forecasts based on both approaches suggest that inflationary pressures for 2009 and 2010 will be modest and that inflation will remain in single-digits, assuming that prudent macroeconomic policies are maintained.

Finance --- Business & Economics --- Money --- Inflation (Finance) --- Economic forecasting --- Economics --- Forecasting --- Economic indicators --- Natural rate of unemployment --- Inflation --- Macroeconomics --- Money and Monetary Policy --- Price Level --- Deflation --- Forecasting and Other Model Applications --- Agriculture: Aggregate Supply and Demand Analysis --- Prices --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Monetary Policy, Central Banking, and the Supply of Money and Credit: General --- Economic Forecasting --- Economic growth --- Monetary economics --- Agricultural prices --- Cyclical indicators --- Monetary base --- Business cycles --- Money supply --- Sudan

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

We use the regime-switching econometric models in Hamilton (1989) and Filardo (1994) to study business cycles in Mexico. In particular, we characterize the ups and downs of economic activity in Mexico. As a proxy for economic activity, we use the Mexican quarterly industrial production index from the second quarter of 1972 to the third quarter of 1999. We allow the transition probabilities driving changes in economic activity to be a function of fiscal, financial, and external sector indicators. Our results show that recessions in Mexico are deeper and shorter than expansions.

Banks and Banking --- Foreign Exchange --- Macroeconomics --- Industries: General --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- Business Fluctuations --- Cycles --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Interest Rates: Determination, Term Structure, and Effects --- Macroeconomics: Production --- Economic growth --- Finance --- Currency --- Foreign exchange --- Business cycles --- Real interest rates --- Real exchange rates --- Cyclical indicators --- Industrial production --- Financial services --- Production --- Interest rates --- Industries --- Mexico