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GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries

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  • Huh, Hyeon-seung

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  • Huh, Hyeon-seung, 2002. "GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries," Economics Letters, Elsevier, vol. 77(1), pages 93-99, September.
    • Handle: RePEc:eee:ecolet:v:77:y:2002:i:1:p:93-99
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    1. Clive W. Granger & Timo Terasvirta & Heather M. Anderson, 1993. "Modeling Nonlinearity over the Business Cycle," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 311-326, National Bureau of Economic Research, Inc.
    2. Maximo Camacho & Gabriel Perez-Quiros, 2002. "This is what the leading indicators lead," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(1), pages 61-80.
    3. Hamilton, James D & Perez-Quiros, Gabriel, 1996. "What Do the Leading Indicators Lead?," The Journal of Business, University of Chicago Press, vol. 69(1), pages 27-49, January.
    4. Hiemstra, Craig & Jones, Jonathan D, 1994. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
    5. O. F. Hamouda & J. C.R. Rowley (ed.), 1997. "Time Series Models, Causality and Exogeneity," Books, Edward Elgar Publishing, number 1274.
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    Cited by:

    1. Zhuo Qiao & Keith Lam, 2011. "Granger causal relations among Greater China stock markets: a nonlinear perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1437-1450.
    2. Qiao, Zhuo & Chu, Patrick Kuok-Kun, 2014. "Does fine wine price contain useful information to forecast GDP? Evidence from major developed countries," Economic Modelling, Elsevier, vol. 38(C), pages 75-79.
    3. Kumar, Satish, 2019. "Asymmetric impact of oil prices on exchange rate and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 41-51.
    4. Prasad Bal, Debi & Narayan Rath, Badri, 2015. "Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India," Energy Economics, Elsevier, vol. 51(C), pages 149-156.
    5. Li, Yushu & Shukur, Ghazi, 2010. "Linear and Non-linear Causality Test in a LSTAR model - wavelet decomposition in a non-linear environment," Working Paper Series in Economics and Institutions of Innovation 227, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    6. Cook, Steven, 2008. "Further analysis of spurious causality," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 647-651.
    7. Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 173-196.
    8. Kumar, Satish, 2017. "On the nonlinear relation between crude oil and gold," Resources Policy, Elsevier, vol. 51(C), pages 219-224.
    9. Moradi, Alireza, 2016. "Modeling Business Cycle Fluctuations through Markov Switching VAR:An Application to Iran," MPRA Paper 73608, University Library of Munich, Germany.
    10. Qiao, Zhuo & McAleer, Michael & Wong, Wing-Keung, 2009. "Linear and nonlinear causality between changes in consumption and consumer attitudes," Economics Letters, Elsevier, vol. 102(3), pages 161-164, March.
    11. Wang, Gang-Jin & Chen, Yan & Zhu, You & Xie, Chi, 2024. "Systemic risk prediction using machine learning: Does network connectedness help prediction?," International Review of Financial Analysis, Elsevier, vol. 93(C).
    12. Thomas C. Chiang & Zhuo Qiao & Wing-Keung Wong, 2010. "New evidence on the relation between return volatility and trading volume," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(5), pages 502-515.

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