Michael Kiley (FRB) has recently circulated a working paper showing that various indicators have greater predictive power at different horizons. Other papers have shown this for different term spreads, for credit spreads, foreign term spreads; in this case, Kiley shows unemployment and inflation have more predictive power at long horizons than short.
Author Archives: Menzie Chinn
China GDP and Forecasts
Chinese GDP for q4 was released a couple weeks ago, show a resumption of growth. The IMF has upped its growth forecast (WEO), relative to October’s, by nearly a percentage point (y/y). Nonetheless, the level of GDP will match roughly what was expected back in April’s report.
IMF WEO on US GDP
The IMF’s World Economic Outlook January update is out, with some slight upward revisions to world output projection growth for 2023, and more so to US and China. Here’s the US projection.
Term Spread Recession Forecasts for January 2024
Plain vanilla probit models indicate a high probability of recession, especially using the 10yr-3mo spread:
Data Sources: A Compendium [Updated]
For students in my courses, some useful data links.
The Cyclically Adjusted Federal Budget Balance
Just a reminder – the budget balance is endogenous (as long as one believes in a fiscal multiplier).
Personal Consumption Expenditures and Inflation – Services vs. Goods
In this Marketplace piece (with Justin Ho), one of the main points is the disjuncture between the evolution of consumption and inflation rate for services vs. all else. Here’re some pictures.
Instantaneous PCE Inflation and Competitors
Based upon the working paper by Jan Eeckhout (UPF Barcelona), here’s the PCE inflation rate up to December:
GDP, GDP+, and GDO(?) for Q4
According to some aggregate measure, there was a slowdown in 2022H1, but GDP+ says not.
Five Measures of Private Employment
Various observers have argued private employment stagnated in Q2 and after (see debate here), perhaps signalling a recession in Q2. With Wednesday’s Business Employment Dynamics release, we have the following measures of cumulative changes since 2021M09: