ツチヤ　ヨウイチ   TSUCHIYA YOICHI   土屋　陽一    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2014/01
形態種別	学術雑誌
査読	査読あり
標題	Purchasing and supply managers provide early clues on the direction of the US economy: An application of a new market-timing test
執筆形態	単著
掲載誌名	International Review of Economics & Finance
掲載区分	国外
出版社・発行元	ELSEVIER SCIENCE BV
巻・号・頁	29,pp.599-618
著者・共著者	Yoichi Tsuchiya
概要	We evaluate the directional accuracy of Institute for Supply Management (ISM) indices in predicting the direction of the US economy direction; to do so, we make use of a method developed by Pesaran and Timmermann (2009). By illustrating an application of the new market-timing test and extending it to a joint evaluation of increase/decrease and acceleration/deceleration, we show that while the ISM indices are useful predictors of industrial production and employment with regard to monthly economic activity and to business cycle expansion/recession, they are not useful predictors of real gross domestic product or hours worked. Our findings suggest that the ISM indices broadly provide early qualitative information on the US economy. Our findings also suggest that the importance of the nonmanufacturing sector becomes clear when examining business cycles in the U.S. (C) 2013 Elsevier Inc. All rights reserved.
DOI	10.1016/j.iref.2013.09.002
ISSN	1059-0560
PermalinkURL	http://www.scopus.com/inward/record.url?eid=2-s2.0-84888299356&partnerID=MN8TOARS
researchmap用URL	http://orcid.org/0000-0003-2485-3959