Forecasting business cycles using deviations from long-run economic relationships

Clive W.J. Granger, Ruey Yau, Neville Francis

研究成果: 雜誌貢獻期刊論文同行評審

摘要

We introduce a new index that explores the linkage between business-cycle fluctuations and deviations from long-run economic relationships. This index is virtually a measure of the distance between an attractor, a space spanned by the associated cointegrating vectors, and a point in the n-dimensional Euclidean space. The index is applied to U.S. quarterly data to demonstrate its association with an economy's vulnerability state. We find that the average of the index during expansions negatively correlates with the average contraction in output during recessions. A nonlinear error correction model based on a revised version of the index reveals a forecasting gain as compared to the linear error correction model.

原文???core.languages.en_GB???
頁(從 - 到)734-758
頁數25
期刊Macroeconomic Dynamics
7
發行號5
DOIs
出版狀態已出版 - 11月 2003

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