The Predictability of Macroeconomic Fluctuations: Methods and Empirical Analysis

我们对美国经济演变的了解，很大程度上是基于对单个累计时间序列的行为或关键序列之间关系的统计描述。本项目继续并扩展了以前关于对总波动来源进行量化的工作。它由三部分组成。第一种主要是经验性的，侧重于人力资本积累（在实践中学习）作为一种短期波动具有永久影响的机制的作用。第二部分也主要是经验性的，关注衰退和扩张的可预测性（而不仅仅是增长率水平的波动），以及这种可预测性对经济理论的影响。第三个主要是理论计量经济学之一，并发展了关于时间序列变量的积分阶的推断技术。这个项目对经济学做出了重要的方法论和实质性贡献。该项目的第一部分提供了对长期增长与传统上被视为纯粹暂时的冲击（如货币政策或偏好的短暂转变）之间联系的首批系统实证调查之一。这对我们理解经济波动的来源和传导具有重要意义。第二部分以最近的联合工作为基础，旨在制定经修订的领先经济指标指数。它可以更好地预测未来的衰退和扩张。第三部分提供了将时间序列方法应用于经济问题的新工具。

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.