Predicting a recession with ensemble forecasting: the Fisher Knight recession indicator

Georgii Podshivalov

MPRA Paper from University Library of Munich, Germany

Abstract: Using an ensemble forecasting technique, we created the rule-based indicator (FKRI, the Fisher Knight Recession Indicator) that accurately predicted all five economic recessions in the United States during the last 45 years. The indicator gave neither type I nor type II errors (no false alarms and no misses) and predicted recessions in no later than four months. Based on the yield curve inversion principle, FKRI is strictly empirical and can be easily replicated with publicly available market data. We expect the indicator to accurately predict future recessions as well.

Keywords: recession; GDP; treasury yield; yield curve; yield curve inversion; forecasting; indicator, predictor; ensemble; Fisher Knight recession indicator, FKRI (search for similar items in EconPapers)
JEL-codes: E32 E37 E43 E44 E47 G12 G17 (search for similar items in EconPapers)
Date: 2022-10-16, Revised 2022-10-16
New Economics Papers: this item is included in nep-fdg
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