Related papers: Has the Recession Started?

This paper develops an algorithm for detecting US recessions in real time. The algorithm constructs hundreds of millions of recession classifiers by combining unemployment and vacancy data. Classifiers are then selected to avoid both false…

This study develops the E-Rule, a novel composite recession indicator that integrates financial market and labor market signals to improve the precision of recession forecasting. Combining the yield curve and the Sahm rule, the E-Rule…

Most representative decision tree ensemble methods have been used to examine the variable importance of Treasury term spreads to predict US economic recessions with a balance of generating rules for US economic recession detection. A…

We introduce a novel application of Support Vector Machines (SVM), an important Machine Learning algorithm, to determine the beginning and end of recessions in real time. Nowcasting, "forecasting" a condition about the present time because…

In the following paper, we use a topic modeling algorithm and sentiment scoring methods to construct a novel metric that serves as a leading indicator in recession prediction models. We hypothesize that the inclusion of such a sentiment…

Quantitative models are an important decision-making factor for policy makers and investors. Predicting an economic recession with high accuracy and reliability would be very beneficial for the society. This paper assesses machine learning…

Even at the beginning of 2008, the economic recession of 2008/09 was not being predicted. The failure to predict recessions is a persistent theme in economic forecasting. The Survey of Professional Forecasters (SPF) provides data on…

We investigate the effectiveness of different machine learning methodologies in predicting economic cycles. We identify the deep learning methodology of Bi-LSTM with Autoencoder as the most accurate model to forecast the beginning and end…

Entering and exiting the Pandemic Recession, I study the high-frequency real-activity signals provided by a leading nowcast, the ADS Index of Business Conditions produced and released in real time by the Federal Reserve Bank of…

Long short-term memory (LSTM) and gated recurrent unit (GRU) are used to model US recessions from 1967 to 2021. Their predictive performances are compared to those of the traditional linear models. The out-of-sample performance suggests the…

We have modeled the employment/population ratio in the largest developed countries. Our results show that the evolution of the employment rate since 1970 can be predicted with a high accuracy by a linear dependence on the logarithm of real…

A two-variable model is developed to forecast the probability of recession in the U.S. economy. Like many others, the model uses data a year or more old to explain movements of a dichotomous dependent variable for recession. The innovation…

This paper develops a sufficient-statistic formula for the unemployment gap -- the difference between the actual unemployment rate and the efficient unemployment rate. While lowering unemployment puts more people into work, it forces firms…

This paper uses standard and penalized logistic regression models to predict the Great Recession and the Covid-19 recession in the US in real time. It examines the predictability of various macroeconomic and financial indicators with…

In this research paper, I have applied various econometric time series and two machine learning models to forecast the daily data on the yield spread. First, I decomposed the yield curve into its principal components, then simulated various…

In this paper, I explored how a range of regression and machine learning techniques can be applied to monthly U.S. unemployment data to produce timely forecasts. I compared seven models: Linear Regression, SGDRegressor, Random Forest,…

Ten years ago we presented a modified version of Okun law for the biggest developed economies and reported its excellent predictive power. In this study, we revisit the original models using the estimates of real GDP per capita and…

In this work, the time chart of Dow Jones Industrial Average (DJIA) index is analyzed and approach of recession time term is predicted, which may be hallmark of a worldwide economic crisis. However, the methods used for the prediction will…

The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks engaged in expansionary monetary policy. This paper asks…

Studies of micro-level price datasets find more frequent small price increases than decreases, which can be explained by consumer inattention because time-constrained shoppers might ignore small price changes. Recent empirical studies of…