Relationship between Macroeconomic Indicators and Economic Cycles in U.S.

ABSTRACT: 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 analy

SUBMITTER: Iyetomi H 

PROVIDER: S-EPMC7242465 | biostudies-literature | 2020 May

REPOSITORIES: biostudies-literature