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1、ThisPDFisaselectionfromanout-of-printvolumefromtheNationalBureauofEconomicResearchVolumeTitle:NBERMacroeconomicsAnnual1989,Volume4VolumeAuthor/Editor:OlivierJeanBlanchardandStanleyFischer,editorsVolumePublisher:MITPressVolumeISBN:0-262-02296-6VolumeURL:http://www.nber.org/books/blan89-1Confere
2、nceDate:March10-11,1989PublicationDate:1989ChapterTitle:NewIndexesofCoincidentandLeadingEconomicIndicatorsChapterAuthor:JamesH.Stock,MarkW.WatsonChapterURL:http://www.nber.org/chapters/c10968Chapterpagesinbook:(p.351-409)JamesH.StockKENNEDYSCHOOLOFGOVERNMENTHARVARDUNIVERSITYCAMBRIDGE,MASSACHUS
3、ETTSMarkW.WatsonDEPARTMENTOFECONOMICSNORTHWESTERNUNIVERSITYEVANSTON,ILLINOISNewIndexesofCoincidentandLeadingEconomicIndicators1.IntroductionDuringsixweeksinlate1937,WesleyMitchell,ArthurBurns,andtheircolleaguesattheNationalBureauofEconomicResearchdevelopedalistofleading,coincident,andlaggingin
4、dicatorsofeconomicactivityintheUnitedStatesaspartoftheNBERresearchprogramonbusinesscycles.Sincetheirdevelopment,theseindicators,inparticulartheleadingandcoincidentindexesconstructedfromtheseindicators,haveplayedanimportantroleinsummarizingandforecastingthestateofmacro-economicactivity.Thispape
5、rreportstheresultsofaprojecttorevisetheindexesofleadingandcoincidenteconomicindicatorsusingthetoolsofmoderntimeserieseconometrics.Thisprojectaddressesthreecentralquestions.Thefirstisconceptual:isitpossibletodevelopaformalprobabilitymodelthatgivesrisetotheindexesofleadingandcoincidentvariables?
6、Suchamodelwouldprovideaconcretemathematicalframeworkwithinwhichalternativevariablesandindexescouldbeevaluated.Second,giventhisconceptualframework,whatarethebestvariablestouseascomponentsoftheleadingindex?Third,giventhesevariables,whatisthebestwaytocombinethemtoproduceusefulandreliableindexes?T
7、heresultsofthisprojectarethreeexperimentalmonthlyindexes:anindexofcoincidenteconomicindicators(CEI),anindexofleadingeco-352*STOCK&WATSONnomicindicators(LEI),andaRecessionIndex.TheexperimentalCEIcloselytracksthecoincidentindexcurrentlypr
