Marcelle Chauvet
01/2003
Figure 1 – Smoothed Probabilities of Recession from the Multivariate Model (DFMS) and NBER-Dated
Recessions (Shaded Area)
1 .0
0 .8
0 .6
0 .4
0 .2
0 .0
6 0
6 5
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7 0
7 5
8 0
8 5
9 0
9 5
CREFC - Center for Research on Economic and Financial Cycles. All rights reserved worldwide.
0 0
Marcelle Chauvet
01/2003
Figure 2 – Probabilities of Recessions Using Different Data Vintages
Filtered Probabilities of Recessions
1 .0
0 .8
J a n u a ry
0 .6
N ovember
O c to b er
0 .4
0 .2
0 .0
0 0 :0 1
0 0 :0 7
0 1 :0 1
0 1 :0 7
0 2 :0 1
0 2 :0 7
0 3 :0 1
Smoothed Probabilities of Recessions
1 .0
0 .8
J a n u a ry
0 .6
N ovember
O c to b er
0 .4
0 .2
0 .0
0 0 :0 1
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0 0 :0 7
0 1 :0 1
0 1 :0 7
0 2 :0 1
0 2 :0 7
0 3 :0 1
CREFC - Center for Research on Economic and Financial Cycles. All rights reserved worldwide.
Marcelle Chauvet
01/2003
Figure 3 – Smoothed and Filtered Probabilities of Recessions as of January
2003, Using Data up to October 2002
1 .0
S m o oth ed
0 .8
0 .6
F iltere d
0 .4
0 .2
0 .0
0 0 :0 1
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0 0 :0 7
0 1 :0 1
0 1 :0 7
0 2 :0 1
0 2 :0 7
0 3 :0 1
CREFC - Center for Research on Economic and Financial Cycles. All rights reserved worldwide.
Marcelle Chauvet
01/2003
Figure 4 – Monthly Series Used in the Dynamic Factor With Markov Switching Model (DFMS): Sales,
Employment, Industrial Production, and Personal Income: 2001-2002 Recession
870000
133000
P
860000
P
P
132000
850000
131000
840000
830000
130000
820000
129000
810000
128000
800000
790000
127000
1999
2000
2001
2002
1999
2000
S a le s
2001
2002
E m p lo y m e n t
7000
118
P
6900
P
116
6800
114
6700
112
6600
110
6500
108
6400
6300
106
1999
2000
2001
In c o m e
Copyright © 2003
2002
1999
2000
2001
In d u s t r i a l P r o d u c t i o n
CREFC - Center for Research on Economic and Financial Cycles. All rights reserved worldwide.
2002
Marcelle Chauvet
01/2003
Figure 5 – Monthly Series Used in the Dynamic Factor With Markov Switching Model (DFMS): Sales,
Employment, Industrial Production, and Personal Income: 1990-1991 Recession
640000
111000
630000
110000
P
P
620000
109000
610000
P
P
600000
108000
590000
107000
580000
570000
106000
1989
1990
1991
1992
1989
1990
S a le s
81
5120
80
P
1992
E m p lo y m e n t
5160
5080
1991
P
79
P
P
78
5040
77
5000
76
4960
75
74
4920
1989
1990
1991
P e r s o n a l In c o m e
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1992
1989
1990
1991
In d u s t r i a l P r o d u c t i o n
CREFC - Center for Research on Economic and Financial Cycles. All rights reserved worldwide.
1992
Marcelle Chauvet
01/2003
Figure 6 - Probabilities from DFMS – Comparison with Past Recessions
2001-2002 Recession
1 .0
0 .8
0 .6
0 .4
0 .2
0 .0
1999
2000
2001
2002
2003
1969-70 Recession
1973-75 Recession
1 .0
1 .0
0 .8
0 .8
0 .6
0 .6
0 .4
0 .4
0 .2
0 .2
0 .0
1968
1969
1970
1971
1972
0 .0
1972
1981 and 1981-1982 Recessions
1973
1974
1975
1976
1990-1991 Recession
1 .0
1 .0
0 .8
0 .8
0 .6
0 .6
0 .4
0 .4
0 .2
0 .2
0 .0
1978
1979
1980
1981
1982
1983
0 .0
1989
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1990
1991
1992
CREFC - Center for Research on Economic and Financial Cycles. All rights reserved worldwide.
Marcelle Chauvet
01/2003
Figure 7 – Smoothed Probabilities of Recession from the MS Applied to Real GDP Growth and
NBER-Dated Recessions (Shaded Area)
1 .0
0 .8
0 .6
0 .4
0 .2
0 .0
1950
1960
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1970
1980
1990
CREFC - Center for Research on Economic and Financial Cycles. All rights reserved worldwide.
2000
Marcelle Chauvet
01/2003
Figure 8 – Probabilities of Recessions Using Different Data Vintages of Real
GDP Growth
Filtered Probabilities of Recessions
.9
.8
.7
.6
.5
.4
.3
N ovem ber
.2
A ug u st
.1
.0
1999
2000
2001
2002
J a n u a ry
2003
Smoothed Probabilities of Recessions
.9
.8
.7
.6
.5
.4
.3
N ovem ber
.2
A u gu st
J a n u a ry
.1
.0
1999
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2000
2001
2002
2003
CREFC - Center for Research on Economic and Financial Cycles. All rights reserved worldwide.
Marcelle Chauvet
01/2003
Figure 9 - Probabilities from MS Applied to Real GDP Growth –
Comparison with Past Recessions
2001-2002 Recession
1 .0
0 .8
0 .6
0 .4
0 .2
0 .0
1999
2000
2001
2002
2003
1969-70 Recession
1973-75 Recession
1 .0
1 .0
0 .8
0 .8
0 .6
0 .6
0 .4
0 .4
0 .2
0 .2
0 .0
1968
1969
1970
1971
1972
0 .0
1972
1973
1973
1981 and 1981-1982 Recessions
1 .0
0 .8
0 .8
0 .6
0 .6
0 .4
0 .4
0 .2
0 .2
0 .0
1980
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1981
1982
1983
1975
1976
1990-1991 Recession
1 .0
1979
1974
1984
0 .0
1989
1990
1991
1992
1993
CREFC - Center for Research on Economic and Financial Cycles. All rights reserved worldwide.
1977