Durations, Dynamics and Forecasting
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Business Cycles by Francis X. Diebold
Book DescriptionThis 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.
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Book DetailsISBN: 9780691012186
(229mm x 152mm x 37mm)
Imprint: Princeton University Press
Publisher: Princeton University Press
Publish Date: 23-Mar-1999
Country of Publication: United States
Books By Author Francis X. Diebold
Financial and Macroeconomic Connectedness, Paperback (April 2015)
In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions.
Yield Curve Modeling and Forecasting?, Hardback (December 2012)
Offers an understanding of the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, and valuing capital goods. This title contains essential tools for academics, central banks, and more.
Known, the Unknown, and the Unknowable in Financial Risk Management, Hardback (April 2010)» View all books by Francis X. Diebold
Introduces a more realistic and holistic framework called KuU - the Known, the unknown, and the Unknowable - that enables one to conceptualize the different kinds of financial risks and design effective strategies for managing them.
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