The latest buzz on the internet is a FRED chart published by the Federal Reserve of St. Louis of Chauvet and Piger’s dynamic factor Markov recession probability index. Its currently jumped from less than 1% to 18%. Inferences are being made that recessions have always been underway or occurred very shortly after a reading of […]
About RecessionALERT
Dwaine has a Bachelor of Science (BSc Hons) university degree majoring in computer science, math & statistics and is a full-time trader and investor. His passion for numbers and keen research & analytic ability has helped grow RecessionALERT into a company used by hundreds of hedge funds, brokerage firms and financial advisers around the world.On the brink of Global Recession
The Global Economy is on the brink of a recession with 58% of 29 OECD countries experiencing business cycle contractions. The chart below shows OECD defined global contractions (grey shaded areas) together with the percentage of 29 OECD member countries experiencing slowdowns. It is evident that whenever 50% or more of countries enter contraction (red […]
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Retail sales data not supportive of recession
The September RETAIL SALES component (RSAFS) of the NBER Recession Model was in today. It surprised to the upside as well as had an upward revision on the prior month. For the most part, this series has been revised downwards over time of late, but this does not necessarily equate to downward revisions to the […]
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Effects of Revisions on Recession Forecasting
Economic time series used in measuring business cycles and forecasting recessions are subject to revisions and re-benchmarking. Over time, more up-to-date and accurate data become available and time series are revised to reflect the updates. Some economic time series are subject to more drastic revisions than others. For example, the unemployment rate is subject to […]
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50 State Co-incident update : No Recession
A while back we published an interesting project (Predicting US Recessions with State co-incident data) to see if we could get some advance recession warning from the co-incident indices of the 50 US states. We built a composite economic index of 50 U.S states as published by the Philadelphia Federal Reserve, combined in a positively-weighted […]
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CFNAI- revisions and recessions
The latest CFNAI-MA3 reading came in at -0.47 from last weeks -0.26 (revised down from -0.21). This downward jump (and downward revision) naturally has everyone on edge. We are not yet concerned with this reading as it is not being corroborated by any leading indicators. However with the perma-bears now being forced to hang their […]
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Judging Recession Forecasting Accuracy
In August 2011, ECRI declared a recession was upon us. If you spend enough time examining their initial proclamations it was literally that a recession was imminent, saying “It’s either just begun, or it’s right in front of us.” Subsequently they revised their call, saying the recession would hit “by mid year” 2012. At that time an array […]
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The NBER co-incident Recession Model – “confirmation of last resort”
NOTE : AFTER READING THIS, ALSO TAKE A LOOK AT : “The effect of data revisions on the NBER recession model” and “Estimating Recession Probabilities using GDP/GDI” The National Buro for Economic Research (NBER) are the final arbiters of recession dating in the U.S. They take forever to proclaim specific starts and ends to expansions so […]
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Recession Forecasting Ensemble (RFE-6) & market timing
The Recession Forecasting Ensemble (RFE) is a collection of 6 powerful diversified recession forecasting methodologies that differ in data, mechanics, approach and theory to offer us an over-arching recession dating and forecasting methodology that is resilient to individual “model risk”. There is no “one size fits all” mathematical model that performs well in the past and is […]
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Here we go again…
WE DON’T SEE IMMINENT RECESSION & NEITHER SHOULD THE NBER We find ourselves in the 3rd “summer slowdown scare”, just like 2010 and in August 2011. During this time the perma-bears crank up the alarm bells and we are bombarded with a cacophony of ill tidings that spell the doom of the U.S economy. As […]
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The SP-500 Great Trough Detector Project
The SP-500 Great Trough Project is a technique where we deploy market breadth to determine favorable points in time for investors to “buy on the dips” on the U.S stock markets, more specifically the SP-500. We make reference to a “Great Trough” as rare, large correction reversals on the SP-500, normally spawning a new bull-market leg, or at least […]
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On standby for a Great Trough
13 June 2012 UPDATE: This Great Trough is not done yet, we may well re-test prior lows in the bottom-making process. The breadth- index head-faked and fell below 26% yesterday meaning the countdown timer will be reset. We now await for the index to rise above 26 again and attempt a second strike through 87 within 15 […]
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Can the U.S skirt global recession?
With many parts of the Euro-zone entering or already in recession, and the OECD recently putting Australia, Germany and Italy into recession, one has to wonder if the feeble U.S recovery can skirt a global recession. Many mainstream pundits have been pointing to countries around the globe slipping into recession as a reason why a U.S recession in […]
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ECRI WLI Growth Conundrum
More recently, ECRI has switched from the use of smoothed 6-month growth rates (as calculated by their WLIg growth metric) to annual (52-week) growth numbers of its Weekly Leading Index (WLI) to prop up a recession scenario. The reason cited is “…a widespread seasonal adjustment problem that economists have known about for some time.” Another native Capetonian, Prieur […]
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U.S economy almost back to par growth
The U.S Coincident SuperIndex, which estimates U.S economic current growth, is within a whisker of returning to the growth rate normally averaged by the economy after 33 months into an expansion, as shown by the chart on the left. However, cumulative growth since the start of the expansion still remains sub-par (right chart) due to 22 […]
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A Stylized Approach to Recession Forecasting
The traditional method for recession forecasting is to find an economic indicator or composite index that has a high correlation and adequately responds in advance to economic expansion or contraction. One then de-trends this indicator by taking a growth rate (straight or smoothed) over x-months and plotting that on a chart. When this growth rate […]
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A Recession Fear Indicator
An analysis of Google global search volume for the term “recession” reveals a promising new recession indicator that nailed the official NBER start of the 2008 great recession to within 2 week lag of its peak. It is also interesting to note the spike in mid-to-late August 2011 (around the time the SP-500 bottom that […]
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Recession: Just How Much Warning Is Useful Anyway?
At the end of September 2011, ECRI made a recession call which left the impression recession was imminent. With a track record like theirs there was very little challenging argument. Two days later, the S&P-500 bottomed and rose and incredible 22% since. In December 2011, ECRI “dialled down” their call to “within 9 months”. Just […]
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Further Improving the Use of the ECRI WLI (Part-II)
This article was co-authored with Georg Vrba and first appeared on the popular Advisor Perspectives web site on 17 January 2012 In our last article on using the ECRI WLI, we described how best to use the growth figure of the Economic Cycle Research Institute’s Weekly Leading Index (WLI) to predict recessions, but we also highlighted […]
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Using the ECRI WLI to Flag Recessions (Part-I)
In September 2011, the Economic Cycle Research Institute proclaimed a new U.S recession would begin sometime in the coming year. ECRI based its prediction on a host of its own internal long-leading indexes, together with its widely followed weekly leading index (WLI). I do not wish to debate the merits of ECRI’s recession call here […]
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