Since most of my lecture notes have migrated behind a gate (software called Canvas, used on many campuses), I thought I would share some teaching material that some Econbrowser readers might find of interest.
Category Archives: recession
Survey of Professional Forecasters – February
From Friday’s SPF release for Q1, for GDP:
Where to Find Business Cycle Dates for Countries [updated]
Using (roughly) the Burns-Mitchell-NBER approach. Incomplete listing, focused on those updated over time, by agencies, firms, or other organizations. (update of post 12.6.2021)
Is Germany in a Recession? And if so, would we have predicted it?
In Chinn and Ferrara (2024), we find substantial explanatory power for the 10yr-3mo, the 3 month rate, and the debt service ratio for German recessions (our analysis we also covered Canada, France, Italy, Japan, Sweden, and UK). Our sample extended up to 2022M12 (using spreads up to 2021M12), as we were unsure about recession in 2023. With Germany in a possible slowdown, it’s of interest to consider what our model would have predicted.
Once and For All: The “Recession” of 2022H1
Using the Sahm rule:
Recession in 2022?
From reader JohnH in September 2022, who now states he “was not cheering a recession in mid-2022”.
Probability of Recession: Term Spread vs. Term Spread, DSR, Foreign Term Spread
In this post from Monday, I recounted the US results from Chinn-Ferrara (2024), using debt-service ratio data up to end-2022. The BIS has now released debt-service ratio data up to Q2. I use a regression of DSR growth rate on changes in AAA and 3 month Treasury yields, and 2 lags of DSR growth to forecast 2023Q3 DSR. I then obtain the following estimate of recession probability through 2024M09.
“The Predictive Power of the Term Spread and Financial Variables for Economic Activity across Countries”: The US
From a new paper, NBER WP No. 32084, by myself and Laurent Ferrara, out today.
Nowcasts and Alternative Output Measures
GDPNow and NY Fed nowcasts as of today:
Business Cycle Indicators at January’s End
On the back of yesterday’s GDP release (discussed by Jim), real personal consumption continues to rise, beating consensus (+0.5% m/m vs. +0.3% Bloomberg), while nominal personal income hits consensus at +0.3%. Here’s the picture of some key indicators followed by the NBER Business Cycle Dating Committee, plus monthly GDP.