Dating NBER Recessions with Philadelphia Fed State Coincident Economic Indices (Redux) Aug ’79 to Sept ‘11

4 Pages Posted: 1 Nov 2011 Last revised: 2 Nov 2011

Date Written: October 30, 2011

Abstract

We extrapolate Novak’s diffusion-based recession dating model to include the 2008 great recession to gauge its “out of sample” effectiveness. We then explore an alternative method to diffusion in using state coincident indices that produces a superior recession dating model, and an optimised US national coincident economic indicator (CEI). We examine 12 US states that are the most sensitive to recession starts and ends - our “canaries in the coal mine.”

Keywords: reccession, nber, coincident indices

Suggested Citation

van Vuuren, Dwaine, Dating NBER Recessions with Philadelphia Fed State Coincident Economic Indices (Redux) Aug ’79 to Sept ‘11 (October 30, 2011). Available at SSRN: https://ssrn.com/abstract=1951417 or http://dx.doi.org/10.2139/ssrn.1951417

Dwaine Van Vuuren (Contact Author)

PowerStocks Equity Research ( email )

Cape Town, Western Cape 7806
South Africa
+27217940194 (Phone)

HOME PAGE: http://www.powerstocks.co.za

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