With today’s spending and income release, we have this picture of key indicators followed by the NBER Business Cycle Dating Committee (consumption, income, sales), along with monthly GDP. Atlanta Fed has also released a new nowcast of GDP.
Category Archives: recession
“The Predictive Power of the Yield Curve, Factors and Foreign Interest Rates for Economic Activity across Countries”
Presentation of paper by coauthor Laurent Ferrara and myself, today at International Symposium on Forecasting 2023…
Recession Probabilities based on Multiple Financial Measures
Assume no recession in US through February 2023. What do term and credit spreads, financial conditions index, debt-service ratios predict at the 12 month horizon?
Two Data Sets and Some Papers
For use in ISF 2023 course on “Modeling & Forecasting the International Dimensions”.
The Term Spread, 1970-2023M06
For reference:
Business Cycle Indicators, Mid-June
With industrial production coming in, we have the following picture of some key business cycle indicators followed by the NBER BCDC. Also included is GDPNow as of today.
Term Spread Inversion and Non-Inversions
The 10yr-3mo term spread is remarkably synchronized for some large advanced economies.
FT-Booth School June Survey of Macroeconomists: Recession Start in 2024
2023 q4/q4 growth relatively unchanged. Modal guess for recession start date moved to 2024Q1-Q2 (survey results here; FT article).
Almost Three Quarters of a Century of the Plain Vanilla Term Spread Recession Model
If you were interested.
Plain Vanilla Term Spread Model Based Recession Probabilities
Here is a picture of recession probabilities from probit regressions on 10yr-3mo and 10yr-2yr term spreads, in light of Cam Harvey’s updated views.