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Causality Studies of Real GDP, Unemployment, and Leading Indicators

In: HANDBOOK OF APPLIED INVESTMENT RESEARCH

Author

Listed:
  • H. D. Vinod
  • John B. Guerard Jr.

Abstract

Conference Board’s leading economic index (LEI) is constructed to reveal common turning point patterns in economic data, indirectly guiding fiscal and monetary policy aimed at the dual objectives of increasing the real GDP and reducing the unemployment rate. We study new econometric tools to help identify the exogenous macroeconomic time series “causally” driving the dual objectives. We study components of LEI including oil prices, building permits, stock prices, leading credit index, interest-rate spreads, productivity, among others. Such identification allows policymakers to focus on providing incentives for guiding the actionable variables to achieve dual objectives.

Suggested Citation

  • H. D. Vinod & John B. Guerard Jr., 2020. "Causality Studies of Real GDP, Unemployment, and Leading Indicators," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 26, pages 691-724, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811222634_0026
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    More about this item

    Keywords

    Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G1 - Financial Economics - - General Financial Markets

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