Do Leading Indicators Lead Peaks More Than Troughs?
领先指标对经济周期峰值的领先时间是否长于谷值？
We develop a novel Markov switching vector autoregressive model to investigate the possibility that leading indicators have different lead times at business cycle peaks and at troughs. In this model, coincident and leading indicators share a common Markov state process, but their cycles are nonsynchronous, with the nonsynchronicity varying across regimes. An application shows that on average the Conference Board’s Composite Leading Index leads the Composite Coincident Index…