Relationship between Macroeconomic Indicators and Economic Cycles in U.S

We analyze monthly time series of 57 US macroeconomic indicators (18 leading, 30 coincidental, and 9 lagging) and 5 other trade/money indexes. Using novel methods, we confirm statistically significant co-movements among these time series and identify noteworthy economic events. The methods we use are Complex Hilbert Principal Component Analysis (CHPCA) and Rotational Random Shuffling (RRS). We obtain significant complex correlations among the US economic indicators with leads/lags. We then use the Hodge decomposition to obtain the hierarchical order of each time series. The Hodge potential allows us to better understand the lead/lag relationships. Using both CHPCA and Hodge decomposition approaches, we obtain a new lead/lag order of the macroeconomic indicators and perform clustering analysis for positively serially correlated positive and negative changes of the analyzed indicators. We identify collective negative co-movements around the Dot.com bubble in 2001 as well as the Global Financial Crisis (GFC) in October 2008. We also identify important events such as the Hurricane Katrina in August 2005 and the Oil Price Crisis in July 2008. Additionally, we demonstrate that some coincidental and lagging indicators actually show leading indicator characteristics. This suggests that there is a room for existing indicators to be improved.

Errataetall:

ErratumIn: Sci Rep. 2020 Aug 4;10(1):13345. - PMID 32753625

Medienart:

E-Artikel

Erscheinungsjahr:

2020

Erschienen:

2020

Enthalten in:

Zur Gesamtaufnahme - volume:10

Enthalten in:

Scientific reports - 10(2020), 1 vom: 21. Mai, Seite 8420

Sprache:

Englisch

Beteiligte Personen:

Iyetomi, Hiroshi [VerfasserIn]
Aoyama, Hideaki [VerfasserIn]
Fujiwara, Yoshi [VerfasserIn]
Souma, Wataru [VerfasserIn]
Vodenska, Irena [VerfasserIn]
Yoshikawa, Hiroshi [VerfasserIn]

Links:

Volltext

Themen:

Journal Article
Research Support, Non-U.S. Gov't

Anmerkungen:

Date Completed 06.10.2020

Date Revised 21.05.2021

published: Electronic

ErratumIn: Sci Rep. 2020 Aug 4;10(1):13345. - PMID 32753625

Citation Status PubMed-not-MEDLINE

doi:

10.1038/s41598-020-65002-3

funding:

Förderinstitution / Projekttitel:

PPN (Katalog-ID):

NLM31022103X