FORECASTING AND ANALYZING ECONOMIC-ACTIVITY WITH COINCIDENT AND LEADING INDEXES - THE CASE OF CONNECTICUT

We develop coincident and leading employment indexes for the Connectic ut economy. Four employment-related variables enter the coincident ind ex while five employment-related variables enter the leading index. Th e peaks and troughs in the leading index lead the peaks and troughs in the coincident index by an average of 3 and 9 months. Finally, we use the leading index in vector-autoregressive (VAR) and Bayesian vector- autoregressive (BVAR) models to forecast the coincident index, non-far m employment, and the unemployment rate.