Dating the end of the recession

St.Louis Fed - Dating the End of the Recession:Evaluating the Economic Indicators

This commentary focuses on the latter by examining eight indicators(data series) with reasonably good track records of signaling a business cycle trough. Of these eight series, seven indicated a trough in economic activity either in late 2008 or early 2009. However, the one indicator that appears to stand out—the index of coincident indicators—has yet tosignal a trough.
A less-sophisticated method of dating troughs is to identify economic series with distinct business cycle characteristics. Here are eight:

i. the Index of Coincident Indicators (ICI);（經濟同時指標）
ii. the Institute for Supply Management’s Purchasing Managers Index (PMI);（PMI指數）
iii. the monthly average of weekly initial claims for state unemployment insurance benefits (CLAIMS);
（首次申領失業給付月平均）
iv. the 3-month moving average of the Chicago Fed’s National Activity Index (CFNAI);
（芝加哥Fed景氣指數3個月平均）
v. the 3-month moving average of the Aruoba-Diebold-Scotti Business Conditions Index (ADS);
（費城Fed商業狀況指數3 個月平均）
vi. the S&P 500 stock price index (SP500);（S&P500股價指數）
vii. the yield on long-term Treasury securities (LTG); （長天期債券殖利率）
viii. the 3-month moving average of retail automobile sales (domestic plus imported) (AUTOS).
（汽車零售銷售3個月平均）

Analysts should consider watching the one indicator that stands out for its accuracy (smallest mean and median)and its consistency (smallest SD) across episodes: ICI. Its accuracy as a predictor of business cycle troughs is perhaps not surprising because the NBER regularly uses its components to date peaks and troughs. According to the latest data, PMI and LTG show that economic activity hit a trough in December 2008; CFNAI and ADS indicate the trough was in January 2009; CLAIMS, SP500, and AUTOs indicate March 2009.

However, the ICI has yet to reach a trough (data through April 2009). This evidence seems consistent with the view of most forecasters, who see the recession ending sometime during the third quarter of 2009.

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Dating the End of the Recession這篇主要是談到用以追蹤景氣循環之方法.

方法I:模型中包含四個序列-就業狀況、工業生產、製造業及零售業銷售和個人所得扣除移轉性支付, 其所追蹤之指數部份與NBER在判斷景氣狀況時所使用之參考指數相同.依其資料會計算出衰退發生之機率.（只是因為使用之數據出來的時間不一,故該指數會有2-3個月的落後）

方法II:包含了上列之8種經濟數列, 就歷史預測資料( table )與NBER所公佈之時間來比較, 各指標在預測之時間上各有領先/落後, 但仍具有其參考價值. 就其目前資料顯示, PMI和LTG呈現經濟已在2008/12月觸底；CFNAI 和ADS 顯示谷底是在2009/1月; CLAIMS, SP500, 和 AUTOs 則指向2009/3月. 但是ICI至2009/4月之資料, 則尚未見觸底. ~就以上各指標綜合來看, 預測此次衰退結束時間點應為2009Q3, 與大多預測指向一致.