[New Indexes of Coincident and Leading Economic Indicators]: Comment

By Christopher A. Sims. 1989

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Citations in the corpus

Sufficient Forecasting Using Factor Models (2015, background): “Typical examples include forecasts of a macroeconomic output using a large number of employment and production variables (Stock and Watson, 1989; Bernanke et al., 2005), forecasts of the values of market prices and dividends using cross-sectional asset returns (Sharpe, 1964; Lintner, 1965), and…”
The Generalized Dynamic-Factor Model: Identification and Estimation (2000, positive): “Our approach is similar in spirit to Stock and Watson (1989), who define thereference cycleas an unobserved index, common to many macroeconomic variables.”
A Survey of Econometric Methods for Mixed-Frequency Data (2013, unknown): “Stock and Watson (1989) construct a coincident index by applying maximum likelihood (ML) factor analysis to the four monthly coincident indicators.”
Macro Factors in Bond Risk Premia (2005, unknown): “It is well known that the term spreads as a whole forecast real activity, particularly output growth (Stock and Watson (1989), Chen (1991), Estrella and Hardouvelis (1991)).”
The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (2015, unknown): “It therefore selects a normalization in which the covariance of predictor Stock and Watson (2002a) summarize this point (we have replaced their symbols with our notation): [B]ecause ΦF t = ΦRR −1F t for any nonsingular matrix R, a normalization is required to uniquely define the factors.”
Financial Conditions Indexes: A Fresh Look after the Financial Crisis (2010, unknown): “…by the commercial paper-Treasury bill spread, has also been used as a leading indicator of output since the late 1980s (Friedman and Kuttner 1992; Stock and Watson, 1989), and Gilchrist, Yankov, and Zakrajšek (2009) have recently proposed improved credit risk spreads with good forecasting…”
A Reexamination of the Predictability of Economic Activity Using the Yield Spread (2002, unknown): “Stock and Watson (1989) found that two interest rate spreads the difference between the 6-month commercial paper rate and 6-month Treasury bill rate, and the difference between the 10-year and 1-year Treasury bond rates were important to include in their newly constructed index of leading economic…”
Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment (2002, unknown): “It is well known that term spreads are potent forecasters of real activity, particularly output growth (Stock and Watson (1989); Chen (1991); Estrella and Hardouvelis (1991)), thus it is not surprising to find the term spread forecasts investment growth (row 4, Table 2).”
Testing for short- and long-run causality: A frequency-domain approach (2006, background): “Stock and Watson (1989, 1993) found that interest rate spreads are among the most promising leading variables from the perspective of business cycle forecasting for the US.”
Consistent Factor Estimation in Dynamic Factor Models with Structural Instability (2013, unknown): “The measures R2 F̂ ,F and S2 ŷ,ỹ were also used by Stock and Watson (2002).”