Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988

James H. Stock and Mark Watson

No 3376, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper catalogs the business cycle properties of 163 monthly U.S. economic time series over the three decades from 1959 through 1988. Two general sets of summary statistics are reported. The first set measures the comovement of each individual time series with a reference series representing real economic activity. These statistics focus on comovements at business cycle horizons. The second set of statistics examines the predictive content of each of the series for aggregate activity, relative to different sets of conditioning (or predictive) variables. These statistics are constructed and presented in a way that facilitates comparisons across series and across conditioning sets. They also provide new lists of leading indicators based on predictive content for overall economic activity. Some of the results confirm previously recognized empirical regularities, while others provide new or different insights into the business cycle properties of various series.

Date: 1990-06
Note: EFG
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