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Regime-dependent recession forecasts and the 2001 recession

  • Michael J. Dueker

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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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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