Offers an econometric analysis of business cycles. This book addresses five principal questions about the measurement, modeling, and forecasting of business cycles. It asks whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower.

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.

<
TABLE>

<
TR>

<
TD>

<
TD>

Preface
<
TD>

Questions about Business Cycles
<
TR>

<
TD>

Pt. II <
TD>

Business Cycle Durations
<
TD>

Have Postwar Economic Fluctuations Been Stabilized?
<
TR>

<
TD>

3 <
TD>

Shorter Recessions and Longer Expansions
<
TR>

<
TD>

4 <
TD>

A Nonparametric Investigation of Duration Dependence in the American Business Cycle
<
TR>

<
TD>

5 <
TD>

Further Evidence on Business Cycle Duration Dependence
<
TR>

<
TD>

6 <
TD>

Measuring Business Cycles: A Modern Perspective
<
TR>

<
TD>

7 <
TD>

Regime Switching with Time-Varying Transition Probabilities
<
TR>

<
TD>

Pt. III <
TD>

Business Cycle Dynamics
<
TD>

Trends and Random Walks in Macroeconomic Time Series: A Reexamination
<
TR>

<
TD>

9 <
TD>

The Uncertain Unit Root in Real GNP
<
TR>

<
TD>

10 <
TD>

The Uncertain Unit Root in Real GNP: Comment
<
TR>

<
TD>

11 <
TD>

Long Memory and Persistence in Aggregate Output
<
TR>

<
TD>

12 <
TD>

Is Consumption Too Smooth? Long Memory and the Deaton Paradox
<
TR>

<
TD>

13 <
TD>

On the Power of Dickey-Fuller Tests against Fractional Alternatives
<
TR>

<
TD>

Pt. IV <
TD>

Business Cycle Forecasting
<
TD>

The Past, Present, and Future of Macroeconomic Forecasting
<
TR>

<
TD>

15 <
TD>

Scoring the Leading Indicators
<
TR>

<
TD>

16 <
TD>

Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis
<
TR>

<
TD>

17 <
TD>

Forecasting Output with the Composite Leading Index: A Real-Time Analysis
<
TR>

<
TD>

18 <
TD>

New and Old Models of Business Investment: A Comparison of Forecasting Performance
<
TR>

<
TD>

19 <
TD>

Comparing Predictive Accuracy
<
TR>

<
TD>

<
TD>

Name Index
<
TR>

<
TD>

<
TD>

Subject Index