Journal Article

Signaling NBER Turning Points: A Sequential Approach

Authors

  • Jens Boysen-Hogrefe
  • Vasyl Golosnoy
Publication Date

The dates of U.S. business cycle are reported by NBER with a considerable delay, so

an early notion of turning points is of particular interest. This paper proposes a novel

sequential approach designed for timely signaling these turning points using the time series

of coincident economic indicators. The approach exhibits a range of theoretical optimality

properties for early signaling, moreover, it is transparent and easy to implement. The

empirical study evaluates the signaling ability of the proposed methodology.

Kiel Institute Expert

Info

JEL Classification
C44, C50, E32

Key Words

  • CUSUM
  • Early signals
  • monitoring
  • multivariate control charts
  • NBER business cycle
  • sequential