Leading Indicator (leading + indicator)

Distribution by Scientific Domains


Selected Abstracts


A leading indicator approach to predicting short-term shifts in demand for business travel by air to and from the UK

JOURNAL OF FORECASTING, Issue 6 2005
Nenad Njegovan
Abstract This paper uses the probit model to examine whether leading indicator information could be used for the purpose of predicting short-term shifts in demand for business travel by air to and from the UK. Leading indicators considered include measures of business expectations, availability of funds for corporate travel and some well-known macroeconomic indicators. The model performance is evaluated on in- and out-of-sample basis, as well as against a linear leading indicator model, which is used to mimic the current forecasting practice in the air transport industry. The estimated probit model is shown to provide timely predictions of the early 1980s and 1990s industry recessions and is shown to be more accurate than the benchmark linear model. Copyright 2005 John Wiley & Sons, Ltd. [source]


Leading indicators for Arabian Gulf oil tanker rates

OPEC ENERGY REVIEW, Issue 2 2008
Eric Tham
In this paper, price drivers for the Arabian Gulf oil tanker rates were derived from the Bayesian logistic regression to form a leading indicator. A universe of price drivers was filtered based on statistical criteria and speculative backtest results. Results showed that refining margins in Asia, crude production in the Arabian Gulf, the vessel utilisation rate and Brent,Dubai spreads were the most significant price drivers of TD3. A time series of these drivers indicates that Arabian Gulf production has a declining importance relative to the Brent,Dubai spreads since 2004. A vector error correction mechanism analysis of the TD1 and TD3 benchmarks indicates that TD1 returns lag behind TD3 rates. [source]


What does Monetary Policy Reveal about a Central Bank's Preferences?

ECONOMIC NOTES, Issue 3 2003
Efrem Castelnuovo
The design of monetary policy depends on the targeting strategy adopted by the central bank. This strategy describes a set of policy preferences, which are actually the structural parameters to analyse monetary policy making. Accordingly, we develop a calibration method to estimate a central bank's preferences from the estimates of an optimal Taylor,type rule. The empirical analysis on US data shows that output stabilization has not been an independent argument in the Fed's objective function during the Greenspan's era. This suggests that the output gap has entered the policy rule only as leading indicator for future inflation, therefore being only instrumental (to stabilize inflation) rather than important per se. (J.E.L.: C61, E52, E58). [source]


Separated by a Common Language?

ENTREPRENEURSHIP THEORY AND PRACTICE, Issue 2 2008
Entrepreneurship Research Across the Atlantic
While recent inventories and assessments of the entrepreneurship field examine the focus, purpose, and methods, one area receiving less attention is the outcome or dependent variable. The outcome variable is of critical importance in scholarship, as it is a leading indicator of the cumulative nature of the scholarship in our field. This paper reviews 389 articles published over the past 3 years in four top entrepreneurship journals; two published in the United States and two published in Europe. It classifies the scholarship by theoretical underpinnings, independent variables, dependent variables, and then looks at the variation in these by origin of the journal. Results indicate that entrepreneurship researchers are using a wide variety of dependent variables, that the most popular unit of analysis is the firm, and that performance, broadly defined, is the most popular dependent variable. Implications for future research are discussed. [source]


Downloads and citations in Intelligent Systems in Accounting, Finance and Management

INTELLIGENT SYSTEMS IN ACCOUNTING, FINANCE & MANAGEMENT, Issue 1-2 2009
Daniel E. O'Leary
This paper summarizes the papers downloaded most from the years 2000,2002 and traces the number of citations from Google Scholar (beta) for those papers at the beginning of 2008. It is found that the number of downloads and citations are highly correlated, suggesting that downloads is a leading indicator of citations, even years into the future. In addition, this paper assesses which of the papers from the journal have been cited most over the history of the journal, using both ISI,Social Science Citation Index and Google Scholar. It is found that the numbers of citations using both approaches are highly correlated. Copyright 2009 John Wiley & Sons, Inc. [source]


Indexing, cointegration and equity market regimes

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2005
Carol Alexander
Abstract This paper examines, from a market efficiency perspective, the performance of a simple dynamic equity indexing strategy based on cointegration. A consistent ,abnormal' return in excess of the benchmark is demonstrated over different time horizons and in different real world and simulated stock markets. A measure of stock price dispersion is shown to be a leading indicator for the abnormal return and their relationship is modelled as a Markov switching process of two market regimes. We find that the entire abnormal return is associated with the high volatility regime as the indexing model implicitly adopts a strategic position that pays off during market crashes, whilst effectively tracking the benchmark in normal market circumstances. Therefore we find no evidence of market inefficiency. Nevertheless our results have implications for equity fund managers: we show how, without any stock selection, solely through a smart optimization that has an implicit element of market timing, the benchmark performance can be significantly enhanced. Copyright 2005 John Wiley & Sons, Ltd. [source]


Price relationships in the Queensland barley market

AGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 2 2002
V. Jyothi Gali
Barley can be differentiated into feed and malting barley based on its end-use markets. Substitutability both in supply and in demand complicates analysis of price information in the barley market. This article examines the price linkages between feed and malting barley in the Queensland barley market using cointegration and error correction models. Malting barley prices respond to restore equilibrium relationships with corresponding feed barley prices in the long run, but not vice versa. Thus feed barley prices appear to be a leading indicator of malting barley prices. [JEL codes: L100, C22, N57.] 2002 Wiley Periodicals, Inc. [source]


Leading indicators for Arabian Gulf oil tanker rates

OPEC ENERGY REVIEW, Issue 2 2008
Eric Tham
In this paper, price drivers for the Arabian Gulf oil tanker rates were derived from the Bayesian logistic regression to form a leading indicator. A universe of price drivers was filtered based on statistical criteria and speculative backtest results. Results showed that refining margins in Asia, crude production in the Arabian Gulf, the vessel utilisation rate and Brent,Dubai spreads were the most significant price drivers of TD3. A time series of these drivers indicates that Arabian Gulf production has a declining importance relative to the Brent,Dubai spreads since 2004. A vector error correction mechanism analysis of the TD1 and TD3 benchmarks indicates that TD1 returns lag behind TD3 rates. [source]


The use of the Pareto shape parameter as a leading indicator of process safety performance

PROCESS SAFETY PROGRESS, Issue 3 2009
Fred Henselwood
Abstract Metrics addressing process safety incident performance typically focus on frequency and severity statistics. Often, these lagging metrics are not overly sensitive to actual performance, making trending and forecasting difficult. This article presents the results from a statistical study of a large incident dataset where changes in the Pareto shape parameter were observed as a function of time. This approach has been found to give far better insight into process safety performance than traditional incident metrics and readily relates back to concepts such as the "incident triangle" and "layers of protection." Through the application of this approach, trends within process safety incident performance have been observed earlier, and more accurate forecasting has allowed for the identification of anomalies. In turn, these critical observations have allowed for the better structuring and targeting of process safety programs. Although incident data are generally considered as a lagging indicator, this approach has clearly reduced the lag time associated with this type of data and has given valuable insight into the current status of process safety performance. 2009 American Institute of Chemical Engineers Process Saf Prog 2009 [source]


Using measured performance as a process safety leading indicator

PROCESS SAFETY PROGRESS, Issue 2 2009
Kenneth H. Harrington
Abstract Periodic demands on layers of protection (i.e., prealarms, safety instrumented functions, relief devices, emergency response systems, etc.) are precursors to more serious incidents. The failure of one or more layers of protection is always part of an accident sequence. When they occur documenting these demands and the associated consequences in a way to facilitate analysis, provides a means to measure process safety management performance. Although process safety metrics are still in their adolescence, this article reviews experiences of development and implementation of a "Challenges to Safety Systems" process safety performance indicator. This article includes a discussion of automating significant portions of the data collection process based on the technical work documented by the CCPS PERD (Process Equipment Reliability Database) initiative. The article also recommends various metrics that can be calculated and describes how the initial foundation developed to support improved process safety can be leveraged to achieve other benefits, such as design improvements and improvements in the reliability, operation, and maintenance of the facility. 2009 American Institute of Chemical Engineers Process Saf Prog, 2009 [source]


A Comparison of the Statistical Properties of Financial Variables in the USA, UK and Germany over the Business Cycle

THE MANCHESTER SCHOOL, Issue 4 2000
Elena Andreou
This paper presents business cycle stylized facts for the US, UK and German economies. We examine whether financial variables (interest rates, stock market price indices, dividend yields and monetary aggregates) predict economic activity over the business cycle, and we investigate the nature of any non-linearities in these variables. Leading indicator properties are examined using cross-correlations for both the values of the variables and their volatilities. Our results imply that the most reliable leading indicator across the three countries is the interest rate term structure, although other variables also appear to be useful for specific countries. The volatilities of financial variables may also contain predictive information for production growth as well as production volatility. Non-linearities are uncovered for all financial series, especially in terms of autoregressive conditional heteroscedasticity effects. Strong evidence of mean non-linearity is also found for many financial series and this can be associated with business cycle asymmetries in the mean. This is the case for a number of American and British financial variables, especially interest rates, but the corresponding evidence for Germany is confined largely to the real long-term rate of interest. [source]


Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators

JOURNAL OF FORECASTING, Issue 1-2 2010
Ataman Ozyildirim
Abstract Clusters of cyclical turning points in the coincident indicators help us identify and date euro area recessions and recoveries in the past several decades. In the USA and some other countries, composite indexes of coincident indicators (CEI) are used to date classical business cycle turning points; also indexes of leading indicators (LEI) are used to help in the difficult task of predicting these turning points. This paper reviews a selection of the available data for monthly and quarterly euro area coincident and leading indicators. From these data, we develop composite indexes using methods analogous to those tested in the US CEI and LEI published by The Conference Board. We compare the resulting business cycle chronology with the existing alternatives and evaluate our selection of leading indicators in the context of how well they predict current economic activity and its major fluctuations for the euro area. Copyright 2009 John Wiley & Sons, Ltd. [source]


Forecasting with leading indicators revisited

JOURNAL OF FORECASTING, Issue 8 2003
Ruey S. Tsay
Abstract Transfer function or distributed lag models are commonly used in forecasting. The stability of a constant-coefficient transfer function model, however, may become an issue for many economic variables due in part to the recent advance in technology and improvement in efficiency in data collection and processing. In this paper, we propose a simple functional-coefficient transfer function model that can accommodate the changing environment. A likelihood ratio statistic is used to test the stability of a traditional transfer function model. We investigate the performance of the test statistic in the finite sample case via simulation. Using some well-known examples, we demonstrate clearly that the proposed functional-coefficient model can substantially improve the accuracy of out-of-sample forecasts. In particular, our simple modification results in a 25% reduction in the mean squared errors of out-of-sample one-step-ahead forecasts for the gas-furnace data of Box and Jenkins. Copyright 2003 John Wiley & Sons, Ltd. [source]


Forecasting UK industrial production over the business cycle

JOURNAL OF FORECASTING, Issue 6 2001
Paul W. Simpson
Abstract This paper examines the information available through leading indicators for modelling and forecasting the UK quarterly index of production. Both linear and non-linear specifications are examined, with the latter being of the Markov-switching type as used in many recent business cycle applications. The Markov-switching models perform relatively poorly in forecasting the 1990s production recession, but a three-indicator linear specification does well. The leading indicator variables in this latter model include a short-term interest rate, the stock market dividend yield and the optimism balance from the quarterly CBI survey. Copyright 2001 John Wiley & Sons, Ltd. [source]


Monitoring and Forecasting Currency Crises

JOURNAL OF MONEY, CREDIT AND BANKING, Issue 2-3 2008
ATSUSHI INOUE
currency crises; forecasting; leading indicators; Diffusion Index; exchange rates Can we improve forecasts of currency crises by using a large number of predictors? Which predictors should we use? This paper evaluates the performance of traditional leading indicators and a new Diffusion Index (DI) method as Early Warning Systems to monitor the risk and forecast the likelihood of the recent currency crises in East Asia. We find that the DI performs quite well in real time. For most countries, the forecasted probabilities of a crisis increase substantially around the actual time of the crisis. The economic variables that help in forecasting future crises are output growth, interest rates and money growth. [source]


Probit model forecasts of national and state manufacturing and construction employment downturns*

PAPERS IN REGIONAL SCIENCE, Issue 4 2005
Gary L. Shoesmith
Probit modeling; business cycles; leading indicators; yield spreads Abstract., This study extends Shoesmith (2003) by generating probit model forecasts of downturns in national and state manufacturing and construction employment, using average weekly hours in manufacturing (HRS) and housing permits (HP), respectively, as explanatory variables. In each case the yield spread (SPREAD) is used as an alternative to HRS or HP. The expected result is that HRS and HP are more effective than SPREAD in forecasting downturns in related sectors of employment. However, the estimation and forecast results for the nation and 50 states show that SPREAD is in general more useful than HRS and HP, primarily because of the short lead times provided by the leading indicators. [source]