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 "old age." 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.
General
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