Home About Latest Browse RSS Advanced Search

Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
Estimating probabilities of recession in real time using GDP and GDI
Jeremy J. Nalewaik
Abstract

This work estimates Markov switching models on real time data and shows that the growth rate of gross domestic income (GDI), deflated by the GDP deflator, has done a better job recognizing the start of recessions than has the growth rate of real GDP. This result suggests that placing an increased focus on GDI may be useful in assessing the current state of the economy. In addition, the paper shows that the definition of a low-growth phase in the Markov switching models has changed over the past couple of decades. The models increasingly define this phase as an extended period of around zero rather than negative growth, diverging somewhat from the traditional definition of a recession.


Download Full text
Download Full text
Cite this item
Jeremy J. Nalewaik, Estimating probabilities of recession in real time using GDP and GDI, Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series 2007-07, 2006.
More from this series
JEL Classification:
Subject headings:
Keywords: Gross domestic product ; Recessions ; Econometric models
For corrections, contact Ryan Wolfslayer ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal