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The 2001 recession and the Chicago Fed National Index: identifying business cycle turning points

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Author Info

  • Charles L. Evans
  • Chin Te Liu
  • Genevieve Pham-Kanter

Abstract

The initial release of the Chicago Fed National Activity Index (CFNAI) in early 2001 pointed to the very real possibility that the U.S. economy was teetering on the brink of recession. This article quantifies the statistical ability of the CFNAI to act as an early warning indicator of economic recessions. In simulation experiments, the CFNAI performed virtually as well as the statistical model's ideal measure of the business cycle.

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Bibliographic Info

Article provided by Federal Reserve Bank of Chicago in its journal Economic Perspectives.

Volume (Year): (2002)
Issue (Month): Q III ()
Pages: 26-43

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Handle: RePEc:fip:fedhep:y:2002:i:qiii:p:26-43:n:v.26no.3

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Related research

Keywords: Recessions ; Economic indicators ; Index numbers (Economics) ; Business cycles;

References

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  1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  2. Jonas D. M. Fisher & Chin Te Liu & Ruilin Zhou, 2002. "When can we forecast inflation?," Economic Perspectives, Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago, issue Q I, pages 32-44.
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Citations

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Cited by:
  1. David Lang & Kevin J. Lansing, 2010. "Forecasting growth over the next year with a business cycle index," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sep27.
  2. Spencer D. Krane, 2011. "Professional Forecasters' View of Permanent and Transitory Shocks to GDP," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(1), pages 184-211, January.
  3. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010. "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE 1042, CIRPEE.
  4. Heij, C., 2007. "Improved forecasting with leading indicators: the principal covariate index," Econometric Institute Research Papers EI 2007-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Brave, Scott & Butters, R. Andrew, 2014. "Nowcasting Using the Chicago Fed National Activity Index," Economic Perspectives, Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago, issue Q I, pages 19-37.
  6. Troy Davig, 2008. "Detecting recessions in the Great Moderation: a real-time analysis," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 5-33.

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