Federal Reserve Bank of San Francisco - Recession Prediction on the Clock
The jobless unemployment rate is a reliable predictor of recessions, almost always showing a turning point shortly before recessions but not at other times. (…) it performs better for predicting recessions in the near term. (…) Currently, this data and related series analyzed using the same method are not signaling that a recession is imminent, although that may change in coming months.
JOBLESS UNEMPOLYMENT RATE는 위처럼 구할 수 있음. 단기실업자, 즉 일시적인 layoff를 당한 실업자는
으로 쓸 수 있음.
이 jobless unemployment rate를 이용해서 샌프란시스코 연은은 recession clock을 만듦. 그러나 이게 HP Filter를 이용하다보니, 최근 발표된 값에 의해 (아마도) HP Filter로 추출한 추세값1이, 최근과 가까울 수록 변하는 현상이 존재해서 엄밀하게는 미래의 ‘침체 가능성’에 대해서 엄청 믿을만하지는 못한 지표임. 그래서 위의 사이트에서도 “Currently, this data and related series analyzed using the same method are not signaling that a recession is imminent, although that may change in coming months.”라고 언급한 것.
Footnotes
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위 링크에 다음과 같이 적혀있음: “The figure also shows an estimate of the historical cyclical trend in the series obtained with the benefit of hindsight. This estimated historical trend is a smoothed version of the time series that averages over both past and future monthly values (green line). (…) The smoothed jobless unemployment rate exhibits a predictable pattern throughout the business cycle, typically rising sharply in recessions and gradually declining during expansions.” ↩