Special Report on
NY Fed Model
NY Fed Model - Trends
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Because volatile short-term movements in productivity growth obscure the underlying trend, shifts in this trend may go unrecognized for years�a lag that can lead to policy mistakes and hence economic instability. This study develops a model for tracking productivity that brings in additional variables to help reveal the trend. The model�s success is evident in its ability to detect changes in trend productivity within a year or two of their occurrence. Currently, ...
" with treasury yield data through May 2010, and the Fed's recession probability forecast through May 2011 (see top chart above). The NY Fed's model uses the spread between the yields on 10-year Treasury notes (3.42% in May) and 3-month Treasury bills (0.16% in May) to calculate the probability of a U.S. recession up to twelve months ahead ( see details here ). The Fed's model ( ) shows that the recession probability peaked during the October 2007 to April 2008 period at around 35-40%, and has been declining since then in almost every month. ... Read More
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