Joint research unit 7235

Forecasting U.S. Recessions and Economic Activity

Dalibor Stevanovic, Rachidi Kotchoni

This paper proposes a framework to produce real time multi-horizon forecasts of business cycle turning points, average forecasts of economic activity as well as conditional forecasts that depend on whether the horizon of interest belongs to a recession episode or not. Our forecasting models take the form of an autoregression of order one that is augmented with either a probability of recession or an inverse Mills ratio. Our empirical results suggest that a static Probit model that uses only the Term Spread as regressor provides comparable fit to the data as more sophisticated non-static Probit models. We also find that the dynamic patterns of the Term Structure of recession probabilities are quite informative about business cycle turning points. Our most parsimonious augmented autoregressive model delivers better out-of-sample forecasts of GDP growth than the benchmark models considered. We construct several Term Structures of recession probabilities since the last official NBER turning point. The results suggest that there has been no harbinger of a recession for the US economy since 2010Q4 and that there is none to fear at least until 2018Q1. GDP growth is expected to rise steadily between 2016Q3 and 2018Q1 in the range [2.5%,3.5%].

AGENDA

Monday 23 May 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

Monday 23 May 2022

Law, Institutions and Economics in Nanterre (LINK)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

Monday 30 May 2022

Law, Institutions and Economics in Nanterre (LIEN)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

Monday 30 May 2022

Law, Institutions and Economics in Nanterre (LINK)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

Tuesday 31 May 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

Tuesday 31 May 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

Thursday 9 June 2022

Lunch

Rémi Generoso

TBA

Thursday 9 June 2022

Lunch

Rémi Generoso

TBA

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