This is what the US leading indicators lead

Maximo Camacho () and Perez-Quiros, Gabriel
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Perez-Quiros, Gabriel: Government of the Kingdom of Spain, Economic Bureau of the President, 28071 Madrid, Spain., http://www.government.es/
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 27, Working Paper Series from European Central Bank

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. JEL Classification: C32; C53.

Keywords: Leading indicators; turning points; optimal forecasting rule. (search for similar items in EconPapers)
Date: Written 2000-08
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