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Predicting a recession with ensemble forecasting: the Fisher Knight recession indicator

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  • Podshivalov, Georgii Gordon

Abstract

Using an ensemble forecasting technique, we created the rule-based indicator (FKRI, the Fisher Knight Recession Indicator) that accurately predicted all five economic recessions in the United States during the last 45 years. The indicator gave neither type I nor type II errors (no false alarms and no misses) and predicted recessions in no later than four months. Based on the yield curve inversion principle, FKRI is strictly empirical and can be easily replicated with publicly available market data. We expect the indicator to accurately predict future recessions as well.

Suggested Citation

  • Podshivalov, Georgii Gordon, 2022. "Predicting a recession with ensemble forecasting: the Fisher Knight recession indicator," MPRA Paper 115002, University Library of Munich, Germany, revised 16 Oct 2022.
    • Handle: RePEc:pra:mprapa:115002
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    File URL: https://mpra.ub.uni-muenchen.de/115002/1/MPRA_paper_115002.pdf
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    More about this item

    Keywords

    recession; GDP; treasury yield; yield curve; yield curve inversion; forecasting; indicator; predictor; ensemble; Fisher Knight recession indicator; FKRI;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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