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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

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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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File URL: http://www.chicagofed.org/publications/economicperspectives/2002/3qepart2.pdf
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Publisher 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;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  2. Jonas D. M. Fisher & Chin Te Liu & Ruilin Zhou, 2002. "When can we forecast inflation?," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 32-44. [Downloadable!]
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This page was last updated on 2009-11-18.

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