Abstract
We offer an improved dating of U.S. business cycle turning points both retrospectively and in real time. This improvement is made possible by augmenting existing Markov-switching dynamic factor models with additional information on the stock return volatility. The model improves the prediction of the state of the economy using fully revised data significantly. Real-time identification can be made noticeably earlier than the NBER announcements, beating both the peak and trough announcements for recent recessions by several months.
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