US Economic Recession Indicator

We propose two real-time indicators that aim at replicating/anticipating US-recessions and expansions as declared by the National Bureau of Economic Research (NBER). The first indicator emphasizes reliability aspects and the second one emphasizes speed of detection.

Real-time probabilities of recessions are plotted in the main graphs. The shaded regions correspond to NBER-dates for the onset and end of US recessions. Histories of the time series are based on data vintages obtained from the Philadelphia and St-Louis Feds (ALFRED: Archival Federal Reserve Economic Data) and the filters used are one-sided designs. As a consequence, histories of the time series are never revised. Data includes total civilian employment, manufacturing and trade sales, employment on non-agricultural payroll as well as industrial production. The multivariate filters take into account both lead/lag relationships between these series, publication lags and, of course, end-of-sample effects. The real-time performances of both indicators are summarized in the following table.

 

 

Both indicators rely on construction principles that deviate in several fundamental aspects from seemingly similar published instruments. Technical and methodological details can be found in the working paper on the US Economic Recession indicator (PDF, 1.2 MB). In addition, we provide  a step-by-step instruction manual on the implementation of the (fast) filter (PDF, 83 KB) together with the associated EXCEL worksheet (XLS, 2.1 MB).

 

Please click on the image to enlarge.

 

Please click on the image to enlarge.

 

• Zoom into 70ies
• Zoom into 80ies
• Zoom into 90ies
• Zoom into after 2000
  
  

Please select one of the following graphs:

• MDFA-B: Filtered subseries
• MDFA-E: Filtered subseries
• MDFA-B: Amplitude functions
• MDFA-E: Amplitude functions
• MDFA-B/E: Output (whole history)

Explanation of the abbreviations used:

MDFA-B: Multivariate Direct Filter Approach, tuned to detect the begin of a recession
MDFA-E: Multivariate Direct Filter Approach, tuned to detect the end of a recession