Relationship between macroeconomic indicators and economic cycles in U.S.
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Date
2020-05-21
Authors
Iyetomi, Hiroshi
Aoyama, Hideaki
Fujiwara, Yoshi
Souma, Wataru
Vodenska, Irena
Yoshikawa, Hiroshi
Version
Published version
OA Version
Citation
H. Iyetomi, H. Aoyama, Y. Fujiwara, W. Souma, I. Vodenska, H. Yoshikawa. 2020. "Relationship between Macroeconomic Indicators and Economic Cycles in U.S.." Sci Rep, Volume 10, Issue 1, pp. 8420 - ?. https://doi.org/10.1038/s41598-020-65002-3
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 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.
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© The Author(s) 2020. Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons license and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/.