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Regime-dependent recession forecasts and the 2001 recession

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  • Michael J. Dueker

Abstract

Business recessions are notoriously hard to predict accurately, hence the quip that economists have predicted eight of the last five recessions. This article derives a six-month-ahead recession signal that reduces the number of false signals outside of recession, without impairing the ability to signal the recessions that occur. In terms of predicting the 1990-91 and 2001 recessions out of sample, the new recession signal, like other signals, largely misses the 1990-91 recession with its six-month-ahead forecasts. In contrast, a recession onset in April or May 2001 was predicted six months ahead of the 2001 recession, which is close to the actual turning point of March 2001.

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Bibliographic Info

Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (2002)
Issue (Month): Nov ()
Pages: 29-36

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Handle: RePEc:fip:fedlrv:y:2002:i:nov:p:29-36:n:v.84no.6

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Related research

Keywords: Recessions ; Business cycles ; Forecasting;

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Cited by:
  1. Bell├ęgo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
  2. Shyh-Wei Chen, 2006. "Enhanced reliability of the leading indicator in identifying turning points in Taiwan? an evaluation," Economics Bulletin, AccessEcon, vol. 5(10), pages 1-17.
  3. George Monokroussos, 2013. "A Classical MCMC Approach to the Estimation of Limited Dependent Variable Models of Time Series," Computational Economics, Society for Computational Economics, vol. 42(1), pages 71-105, June.
  4. Lazzarini, S. G. & Madalozzo, R. C & Artes, R. & Siqueira, J. O., 2004. "Measuring trust: An experiment in Brazil," Insper Working Papers wpe_42, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  5. repec:ebl:ecbull:v:5:y:2006:i:10:p:1-17 is not listed on IDEAS
  6. Sergey Smirnov, 2011. "Those Unpredictable Recessions," HSE Working papers WP BRP 02/EC/2011, National Research University Higher School of Economics.

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