Its Official: Recession Ended June 2009

From the B.I.G.

The NBER has officially dated the end of the Great Recession June 2009:

The Business Cycle Dating Committee of the National Bureau of Economic Research met yesterday by conference call. At its meeting, the committee determined that a trough in business activity occurred in the U.S. economy in June 2009. The trough marks the end of the recession that began in December 2007 and the beginning of an expansion. The recession lasted 18 months, which makes it the longest of any recession since World War II. Previously the longest postwar recessions were those of 1973-75 and 1981-82, both of which lasted 16 months.

In determining that a trough occurred in June 2009, the committee did not conclude that economic conditions since that month have been favorable or that the economy has returned to operating at normal capacity. Rather, the committee determined only that the recession ended and a recovery began in that month. A recession is a period of falling economic activity spread across the economy, lasting more than a few months, normally visible in real GDP, real income, employment, industrial production, and wholesale-retail sales. The trough marks the end of the declining phase and the start of the rising phase of the business cycle. Economic activity is typically below normal in the early stages of an expansion, and it sometimes remains so well into the expansion.


The committee decided that any future downturn of the economy would be a new recession and not a continuation of the recession that began in December 2007. The basis for this decision was the length and strength of the recovery to date. .......(This report is also available as a PDF file)

Real GDP

Industrial Production

Real Income

Retail sales

Employment (NFP)

Note the last chart — NFP — it goes back to 2000 instead of 2004. The NBER may have jumped the gun when they declared the recession over in November 2001; Employment did not bottom for another 2 full years!


The charts are from the nice folk at Economagic, who need to adjust their recession dating.

Source:

NBER Business Cycle Dating Committee Announces Trough Date
Business Cycle Dating Committee
National Bureau of Economic Research, September 20, 2010
http://www.nber.org/cycles/sept2010.html

Wachovia - Recession probability drops again

From wachovia - Recession probability drops again :

In a clear sign that the economic winds have shifted, our recession model puts the latest probability of recession two quarters from now at 37 percent—down significantly from the 80 percent readings earlier this year. Confirmation of economic recovery has been seen in the recent improvement of the leading indicators and sales.

Economic recovery prospects have improved. The probability of recession two quarters from now has downshifted sharply over the previous quarter. As evidenced in the graph, the latest probability calculation from our model is consistent with prior economic recoveries. Our model takes a look at a very broad set of variables, and the results suggest economic recovery is likely in six months. The original model estimates were published in “Forecasting U.S. Recessions with Probit Stepwise Regression Models,” Business Economics, January 2008. Economic improvement began to show up in our model in recent months in the regional Chicago manufacturing survey. While the official recovery call will come from the National Bureau of Economic Research, our outlook is that the recovery will begin in the third quarter of this year.

A Tale of Two Depressions

上一篇馬汀沃爾夫專欄(全球經濟能否躲過大蕭條)文中所提到由Eichengreen 和 O’RourkeHow 所寫的-A Tale of Two Depressions;1930年代大蕭條與2008衰退/蕭條的描述. 該篇清楚的透過圖形比較在這二段期間內包含:全球工業生產、貿易、股票市場的走勢, 及政府政策的反應. 此外, 不儘談論美國

資料顯示, 全球工業生產.貿易.和股票市場較1929-30期間快速下滑, 但幸好, 至目前為止政策上能有較好的應對.

此外, 文中同時寫到, 因為一般總是只以美國來看大蕭條與此次的衰退, 而認為此次不似1930年代的嚴重,但這是有偏頗的, 這一次更國際化, 也使得不同國家將會有不同的影響. 故比較上不能只用美國作為代表. 因而作者文中亦比較了幾個國家, 如:法.德.義.英.加等等.

主要發現:

• 全球工業生產下跌趨勢與1930s相近,就此指標觀察並無"綠芽".
• 自3月來的全球股市稍微回升,貿易則趨穩,只是仍遠低於大蕭條時的路徑.
• 若就各別國家的工業產出來看, 則有不同的樣貎.歐盟的四個較大經濟體中德國和英國下跌的路徑與30年代接近,而義大利和法國則糟得多.
• 北美(美.加)的工業產出仍持續的呈現與1929危機時期相當的下跌. 且還看不到反轉的訊號.
• 2月份時,日本的工業產出較大蕭條時期下跌25%.但幸好在3月份有急劇的反彈.

*至2009/6, 全球工業產出的跌幅幾乎與1929大蕭條一致.

World Industrial Output, Now vs Then

**股市與世界貿易下滑速度都較1929年時快速

World Stock Markets, Now vs Then

The Volume of World Trade, Now vs Then

***央行利率遠低於上次的蕭條時期,也顯現政策上的使用

Central Bank Discount Rates, Now vs Then(7 country average)

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.

------------

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.

IMF下調今年全球經濟成長至負1.3%

國際貨幣基金組織(International Monetary Fund, 簡稱IMF)週三指出﹐全球經濟衰退正在加深﹐在國際金融體系現有問題得到解決之前﹐全球經濟不會出現復甦。

IMF在四月份《世界經濟展望》(World Economic Outlook)中稱﹐受大規模的金融危機和信心的急劇喪失影響﹐全球經濟已陷入了嚴重衰退。預計2009年全球經濟將出現第二次世界大戰以來最為嚴重的下滑。IMF預計﹐全球經濟2009年將萎縮1.3%﹐遠遠低其1月份做出的增長0.5%的預期﹐也低於3月份做出的下滑0.5%-1%的預期。IMF還指出﹐全球經濟的萎縮幅度應於當前季度開始放緩﹐2010年初將開始逐漸復甦﹔但是2010年1.9%的預期經濟增幅可能表明復甦較為脆弱﹐仍將面臨較大的下滑風險。該機構1月份預計2010年的全球經濟增長3%。

先進國家明年零成長：IMF 將先進國今年成長率， 由1月份的-2%下調至-3.8%， 其中以日本調降幅度最大，預測值由-3.6%下降至-6.2%. 而美國與歐洲分別調降至-2.8%及-4.2%， 而先進國家中， 預測明年除了加拿大有1.2%的正成長外，其他仍多數出現零成長甚至小幅衰退的局面。

新興國家快速降溫： 過去快速成長的新興國家成長也再次遭到下修. 金磚四國中以巴西與俄羅斯下調幅度最大， 分別降至-1.3%與-6%，為近年來的新低水準，而中國成長率亦由6.8%調降至6.5%， 支撐全球景氣的動力已明顯減弱。

另一方面，台灣今年的經濟成長率再受到下修至-7.5%，明年也只有零成長， 顯示全球景氣復甦緩慢， 對於仰賴出口的台灣而言， 將是嚴重的衝擊。

整體而言， 由於本次景氣衰退是受到金融危機所引起， 再加上全球各國皆受到波及， 預期衰退的情況將為二次大戰以來最嚴重， 且恢復穩定的時間為緩慢且費時的。因此目前全球政府積極的作為， 將是各國走出衰退最重要力量， 除了需清理銀行資產負債表以恢復健全金融體系之外， 如何更有效且快速的實行財政與貨幣政策， 且延長所施行的時間， 才能使經濟出現較永續的成長。

Length Of US Recessions: Historical Chart

From Trader's Narrative :

Here’s a chart of all US recessions since 1900 and their length


At the start of the century there was a cluster of long recessions. These 5 recessions all happened before 1930 and were also the longest in length. The next 70+ years saw much shorter recessions.

...Here’s a chart showing the relationship between the unemployment rate and the stock market during the past few recessions. Notice how the “bad news” of a rising unemployment rate accompanies a rising stock market. In other words, the market discounts the future and starts to rally well ahead of the turning point in the economy.


Click on graph for larger image .

景氣循環之時間順序

Calculated Risk blog的這一篇--Business Cycle :Temporal Order, 其引用了2007 Professor Leamer: Housing and the Business Cycle 的文章，當中討論當經濟開始衰退或復甦時，其景氣循環時間順序為何？

在該篇文章,作者以二次戰後的10次衰退期檢視GDP各組成份子在衰退前及衰退中的貢獻度.並藉此歸結出各項對景氣的反應程度．

In that paper, Leamer outlined the temporal order of a typical business cycle:

The temporal ordering of the spending weakness is: residential ivestment,consumer durables, consumer nondurables and consumer services before the recession, and then, once the recession officially commences, business spending on the short-lived assets, equipment and software, and, last, business spending on the long-lived assets, offices and factories. The ordering in the recovery is exactly the same

blog作者將之整理為如下之圖形, 並加入了失業.



房市通常領先反應經濟的衰退, 相同的在經濟復甦時亦最先反應. 只是這次的循環中, 房市可能不能成為經濟復甦的引擎．依blog作者觀點, 若新屋銷售及開工在2009年見底, 整個房市的復甦也將相當緩慢.



因而另一個觀察的項目就是個人消費支出(Personal Consumption Expenditures ; PCE ) .只是當個人增加儲蓄率以增強個人資產負債表之際, 若經濟在下半年觸底, 但PCE可能無法很快的顯著增加..但至少從該文章中我們知道要觀察什麼了.

美大蕭條以來 歷次經濟衰退持續期間一覽表

圖載自money.udn.com

美國經濟正式陷入衰退 展望卻不悲觀

摘自鉅亨網12/3/08 原文

美國經濟研究局(NBER)終於確認了真實世界至少已知道了一年的大事：美國經濟已陷入戰後第十一次的衰退。

經濟研究局說，最近一次的商業週期高峰係於一年前達到，即2007年12月。相形之下，2001年3月高峰期係在八個月後公布，1990年7月高峰期則在九個月後決定。1981年7月高峰期是在六個月後確定，而1980年1月達到的高峰，僅花了五個月便告確認。

下一個問題是，誰在乎？答案是有興趣預測的人，即經濟學者，投資人，決策官員，及企業人士等。

在確定了經濟衰退的開始與終止時間後，投資人便可與前幾次的衰退做一比較，判斷經濟進一步下滑的機率。儘管不同的衰退期，有著不同的原因，但這類比較仍有其用處。

例如，戰後最短的衰退僅持續了六個月，而最長者則達16個月。平均而言，經濟衰退期為十個月。 在延續了十一個月後，目前的經濟衰退期已長過了平均期間，且快速接近二個最長的衰退期：1973至75年與1981至82年。

如果最近的衰退期間不長過這二次，那麼在4月底之前，便可能結束。然而，根據陸續公布的數據，及這次經濟下滑的原因，這似乎有點太過樂觀。 大多分析師預期，美國經濟仍將下滑，至少到2009年中。若如此，則這波經濟衰退將達18個月，創下戰後以來最長期間。

雖然目前這波衰退似乎與眾不同，但政府迅速推出的貨幣與財政政策，則更是特殊。

回想過去，聯邦準備理事會(Fed)係於2007年9月開始降息，亦即經濟衰退正式宣布之前三個月。隨後，無視預算赤字，華盛頓今年夏季進行了逾1500億美元的退稅。

這貨幣與財政兩種政策顯示，仍有進一步的振興經濟方案將會出爐，一如柏南克與鮑爾森的演說所稱。如果政府能讓房價止跌，則效率將會更佳。

分析師認為，這波經濟衰退最有可能的結果是，期間長度超過戰後記錄，但嚴重程度則甚至可能不及1981至82年的經濟衰退期。 那次的衰退中，美國失業率上升到了10.8%，創下自1940年以來最高水準。但這一次，沒有人預期會見到如此高的失業率，至少目前沒有。

NBER確認美國經濟從2007年12月起已陷入衰退

美國國家經濟研究局(NBER)11/28的會議, 確認此次的經濟衰退的起始點起自2007年12月. 亦是此次衰退前的經濟活動高峰, 此先前的經濟擴張起自2001年11月, 至2007年12月結束, 共歷時73個月, 相較先前1990s的擴張期為120個月. 經濟衰退的期間是指此波經濟活動的高峰為起點至谷底為其終點.

經濟衰退是指經濟活動的下滑, 並擴散至各整體, 且通常持續數月, 一般會透過生產、就業、實質所得及其它的指標呈現. 也因為經濟衰退對經濟的影響是全面性的, 故委員會在決定經濟衰退並非由任何單一數據而決定, 而是強調全面性的考量. 但主要仍以國內生產及就業情況為經濟活動的主要衡量.

source:NBER
related news : wsj.