The Predictability of Macroeconomic Fluctuations: Methods and Empirical Analysis

关于美国经济的演变，人们所知道的大部分是 基于对个体行为的统计描述， 聚合时间序列或关键序列之间的关系。 这 该项目继续并扩大了以前关于量化 总体波动的来源。 它由三部分组成。 第一个主要是经验性的，重点是 人力资本积累（边干边学）作为一种机制 短期波动会产生永久性影响。 的 第二个也主要是经验性的， 经济衰退和扩张的可预测性（而不是简单地 增长率水平波动的影响）以及 经济理论的可预测性。 第三，主要是 理论计量经济学之一，并开发技术， 关于时间序列积分阶的推断 变量 该项目使重要的方法和实质性 对经济的贡献。 项目的第一部分 提供了最早的系统性实证研究之一 长期增长与传统上认为的冲击之间的联系 纯粹是暂时的，比如货币政策的暂时性变化 或偏好。 这对我们的 了解经济的来源和传递 波动 第二部分以最近的联合工作为基础， 制定一个修订的领先经济指标指数。 它可以更好地预测未来的衰退， 扩展。 第三部分产生了应用时间的新工具 经济问题的一系列方法。

Much of what is known about the evolution of the U.S. economy is based on statistical descriptions of the behavior of individual aggregate time series or of the relations among key series. This project continues and expands previous work on quantifying the sources of aggregate fluctuations. It consists of three parts. The first is primarily empirical, and focuses on the role of human capital accumulation (learning-by-doing) as a mechanism whereby short-run fluctuations have permanent effects. The second is also primarily empirical and concerns the predictability of recessions and expansions (as opposed simply to fluctuations in levels of growth rates) and the implications of this predictability for economic theory. The third is primarily one of theoretical econometrics and develops techniques for inference about orders of integration of time series variables. This project makes important methodological and substantive contributions to economics. The first part of the project provides one of the first systematic empirical investigations of the link between long-run growth and shocks traditionally viewed as purely temporary such as transitory shifts in monetary policy or in preferences. This has important implications for our understanding of the sources and the transmission of economic fluctuations. The second part builds on recent joint work aimed at developing a revised Index of Leading Economic Indicators. It could provide better predictions of future recessions and expansions. The third part yields new tools for applying time series methods to economic problems.