Accessible Version

A New Procedure for Generating the Stochastic Simulations in FRB/US Accessible Data

Figure 1: NBER Recession Periods and Proxy Recession Periods

NBER Recession Recession Proxy
1970:Q1 - 1970:Q4 1970:Q1 - 1971:Q1
1974:Q1 - 1975:Q1 1974:Q1 - 1975:Q2
1980:Q2 - 1980:Q3 1979:Q3 - 1980:Q3
1981:Q4 - 1982:Q4 1981:Q3 - 1982:Q4
1990:Q4 - 1991:Q1 1990:Q2 - 1992:Q3
2001:Q2 - 2001:Q4 2001:Q1 - 2002:Q2
2008:Q1 - 2009:Q2 2007:Q3 - 2009:Q4

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Figure 2: Distribution of peak-to-trough changes in the unemployment rate during proxy recessions under the standard bootstrap simulation method

Change in Unemployment Rate (pp) Absolute Frequency Relative Frequency
0.1 0 0
0.2 15 0.000148
0.3 93 0.000918
0.4 281 0.002773
0.5 604 0.00596
0.6 1048 0.010341
0.7 1687 0.016647
0.8 2434 0.024018
0.9 3130 0.030886
1 3626 0.03578
1.1 4249 0.041928
1.2 4848 0.047838
1.3 5239 0.051697
1.4 5210 0.051411
1.5 5222 0.051529
1.6 5372 0.053009
1.7 5079 0.050118
1.8 4869 0.048046
1.9 4720 0.046575
2 4350 0.042924
2.1 4048 0.039944
2.2 3774 0.037241
2.3 3398 0.03353
2.4 3099 0.03058
2.5 2770 0.027333
2.6 2466 0.024334
2.7 2248 0.022183
2.8 1960 0.019341
2.9 1804 0.017801
3 1550 0.015295
3.1 1362 0.01344
3.2 1263 0.012463
3.3 1115 0.011002
3.4 985 0.00972
3.5 897 0.008851
3.6 750 0.007401
3.7 662 0.006532
3.8 607 0.00599
3.9 538 0.005309
4 472 0.004658
4.1 447 0.004411
4.2 343 0.003385
4.3 319 0.003148
4.4 287 0.002832
4.5 265 0.002615
4.6 231 0.002279
4.7 211 0.002082
4.8 171 0.001687
4.9 180 0.001776
5 123 0.001214
5.1 115 0.001135
5.2 105 0.001036
5.3 88 0.000868
5.4 91 0.000898
5.5 64 0.000632
5.6 68 0.000671
5.7 61 0.000602
5.8 49 0.000484
5.9 41 0.000405
6 37 0.000365
6.1 29 0.000286
6.2 21 0.000207
6.3 23 0.000227
6.4 25 0.000247
6.5 22 0.000217
6.6 13 0.000128
6.7 9 8.88E-05
6.8 8 7.89E-05
6.9 6 5.92E-05
7 4 3.95E-05
7.1 10 9.87E-05
7.2 6 5.92E-05
7.3 8 7.89E-05
7.4 4 3.95E-05
7.5 4 3.95E-05
7.6 1 9.87E-06
7.7 2 1.97E-05
7.8 0 0
7.9 2 1.97E-05
8 0 0
More 4 3.95E-05

Light blue bars: Standard Procedure

Blue dashed line: Median, Standard Procedure: 1.8

Black line: Median, Data: 2.2

Black dots: Change in Unemployment Rate, Historical Proxy Recession

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Figure 3: Unemployment rate paths during proxy recessions under the standard bootstrap

Change in Unemployment Rate Since Proxy Recession Start (pp)

Quarters Since Proxy Recession Start Median Change in Unemployment 5th Percentile 15th Percentile 85th Percentile 95th Percentile 1970 Proxy Recession 1975 Proxy Recession 1980 Proxy Recession 1982 Proxy Recession 1991 Proxy Recession 2001 Proxy Recession 2009 Proxy Recession
0 0 0 0 0 0 0 0 0 0 0 0 0
1 0.251 0.024 0.073 0.552 0.885 0.575 0.314 0.155 0.017 0.037 0.311 0.164
2 0.566 0.155 0.270 1.032 1.367 1.162 0.391 0.227 0.843 0.384 0.491 0.308
3 0.891 0.337 0.502 1.445 1.824 1.581 0.810 0.584 1.446 0.811 0.898 0.500
4 1.222 0.541 0.753 1.853 2.273 2.215 1.784 1.612 2.029 1.272 1.617 0.840
5 1.512 0.737 0.984 2.209 2.687 2.329 3.447 1.971 2.546 1.521 1.785 1.529
6 1.819 0.944 1.220 2.575 3.095   4.055   3.282 1.549 1.923 2.398
7 2.129 1.157 1.470 2.951 3.508         1.793   3.827
8 2.456 1.391 1.730 3.338 3.928         2.072   4.822
9 2.768 1.631 2.000 3.700 4.327         2.288   5.144

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Figure 4: Distribution of peak-to-trough changes in the unemployment rate during proxy recessions under the modified Markov-switching simulation method

Frequency

Change in Unemployment Rate (pp) Proposed Procedure Standard Procedure Proposed Procedure
0.1 1 9.87E-06
0.2 11 0.000109
0.3 75 0.00074
0.4 221 0.002181
0.5 467 0.004608
0.6 918 0.009059
0.7 1448 0.014288
0.8 2109 0.020811
0.9 2758 0.027215
1 3241 0.031981
1.1 3785 0.037349
1.2 4174 0.041188
1.3 4581 0.045204
1.4 4723 0.046605
1.5 4840 0.04776
1.6 4779 0.047158
1.7 4574 0.045135
1.8 4497 0.044375
1.9 4229 0.04173
2 3946 0.038938
2.1 3756 0.037063
2.2 3524 0.034774
2.3 3338 0.032938
2.4 3143 0.031014
2.5 2921 0.028823
2.6 2749 0.027126
2.7 2621 0.025863
2.8 2400 0.023682
2.9 2321 0.022903
3 2128 0.020998
3.1 2020 0.019933
3.2 1920 0.018946
3.3 1947 0.019212
3.4 2010 0.019834
3.5 1882 0.018571
3.6 1897 0.018719
3.7 1816 0.01792
3.8 1678 0.016558
3.9 1559 0.015384
4 1302 0.012848
4.1 1185 0.011693
4.2 1090 0.010756
4.3 1047 0.010331
4.4 1028 0.010144
4.5 1011 0.009976
4.6 911 0.008989
4.7 864 0.008526
4.8 778 0.007677
4.9 738 0.007282
5 648 0.006394
5.1 598 0.005901
5.2 587 0.005792
5.3 498 0.004914
5.4 434 0.004283
5.5 415 0.004095
5.6 387 0.003819
5.7 344 0.003394
5.8 279 0.002753
5.9 244 0.002408
6 257 0.002536
6.1 205 0.002023
6.2 163 0.001608
6.3 159 0.001569
6.4 130 0.001283
6.5 127 0.001253
6.6 100 0.000987
6.7 115 0.001135
6.8 88 0.000868
6.9 76 0.00075
7 72 0.00071
7.1 61 0.000602
7.2 57 0.000562
7.3 40 0.000395
7.4 46 0.000454
7.5 32 0.000316
7.6 38 0.000375
7.7 32 0.000316
7.8 29 0.000286
7.9 18 0.000178
8 27 0.000266
More 159 0.001569

Light blue bars: Standard Procedure

Light pink bars: Proposed Procedure

Blue dashed line: Median, Standard Procedure: 1.8

Red dotted line: Median, Proposed Procedure: 2.1

Black solid line: Median, Data: 2.2

Black dots: Change in Unemployment Rate, Hisotrical Proxy Recession

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Figure 5: Unemployment rate paths during proxy recessions under the modified Markov-switching approach

Change in Unemployment Rate Since Proxy Recession Start (pp)

Quarters Since Proxy Recession Start Median Change in Unemployment 5th Percentile 15th Percentile 85th Percentile 95th Percentile 1970 Proxy Recession 1975 Proxy Recession 1980 Proxy Recession 1982 Proxy Recession 1991 Proxy Recession 2001 Proxy Recession 2009 Proxy Recession
0 0 0 0 0 0 0 0 0 0 0 0 0
1 0.232 0.026 0.075 0.460 0.584 0.575 0.314 0.155 0.017 0.037 0.311 0.164
2 0.582 0.166 0.286 1.012 1.333 1.162 0.391 0.227 0.843 0.384 0.491 0.308
3 0.936 0.357 0.530 1.806 2.452 1.581 0.810 0.584 1.446 0.811 0.898 0.500
4 1.329 0.569 0.796 2.461 3.477 2.215 1.784 1.612 2.029 1.272 1.617 0.840
5 1.659 0.782 1.042 2.842 3.571 2.329 3.447 1.971 2.546 1.521 1.785 1.529
6 2.040 0.997 1.306 3.533 4.488   4.055   3.282 1.549 1.923 2.398
7 2.372 1.227 1.562 4.065 4.928         1.793   3.827
8 2.712 1.457 1.825 4.439 5.305         2.072   4.822
9 3.050 1.690 2.100 4.768 5.672         2.288   5.144

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Figure 6: Fan charts under the standard approach

Forecast Confidence Intervals and Alternative Scenarios

Confidence Intervals Based on FRB/US Stochastic Simulations

Public FRB/US Forecast

Percent

Period Real GDP Median(4Q Percent change) PCE Prices excluding Food and Energy, Median (4Q Percent change) Unemployment Rate Median Federal Funds Rate Median Real GDP 5th Percentile PCE 5th Percentile Unemployment Rate 5th Percentile Federal Funds Rate 5th Percentile Real GDP 15th Percentile PCE 15th Percentile Unemployment Rate 15th Percentile Federal Funds Rate 15th Percentile Real GDP 85th Percentile PCE 85th Percentile Unemployment Rate 85th Percentile Federal Funds Rate 85th Percentile Real GDP 95th Percentile PCE 95th Percentile Unemployment Rate 95th Percentile Federal Funds Rate 95th Percentile
2016:Q1 2.001 1.787 4.965 0.366                                
2016:Q2 2.206 1.520 4.873 0.370                                
2016:Q3 2.299 1.354 4.906 0.395                                
2016:Q4 2.582 1.500 4.738 0.449                                
2017:Q1 2.819 1.617 4.645 0.704                                
2017:Q2 2.945 1.854 4.336 0.953                                
2017:Q3 2.851 2.006 4.324 1.156                                
2017:Q4 2.800 2.020 4.095 1.202                                
2018:Q1 2.901 1.973 4.120 1.448                                
2018:Q2 2.624 2.037 3.807 1.738 -0.482 -0.176 -0.242 -0.015 -0.300 -0.105 -0.150 -0.008 0.275 0.098 0.144 0.008 0.391 0.206 0.297 0.015
2018:Q3 2.516 2.085 3.688 1.993 -1.026 -0.418 -0.470 -0.180 -0.567 -0.260 -0.303 -0.105 0.564 0.260 0.296 0.105 0.879 0.483 0.579 0.169
2018:Q4 2.400 2.122 3.600 2.270 -1.482 -0.684 -0.637 -0.394 -0.800 -0.427 -0.406 -0.224 0.814 0.424 0.406 0.226 1.282 0.794 0.762 0.360
2019:Q1 2.283 2.130 3.549 2.510 -1.944 -0.940 -0.754 -0.652 -1.066 -0.591 -0.499 -0.372 1.061 0.582 0.505 0.368 1.666 1.070 0.931 0.601
2019:Q2 2.172 2.132 3.525 2.711 -2.228 -1.128 -0.890 -0.926 -1.240 -0.712 -0.580 -0.535 1.231 0.694 0.596 0.521 1.942 1.275 1.075 0.847
2019:Q3 2.075 2.129 3.513 2.881 -2.299 -1.205 -1.012 -1.182 -1.361 -0.771 -0.657 -0.693 1.340 0.740 0.677 0.678 2.098 1.350 1.186 1.096
2019:Q4 2.000 2.122 3.500 3.030 -2.387 -1.250 -1.119 -1.432 -1.396 -0.802 -0.731 -0.846 1.398 0.773 0.748 0.826 2.187 1.406 1.299 1.318
2020:Q1 1.952 2.111 3.476 3.164 -2.393 -1.289 -1.202 -1.669 -1.409 -0.819 -0.789 -0.993 1.429 0.805 0.808 0.961 2.201 1.417 1.382 1.517
2020:Q2 1.924 2.098 3.456 3.279 -2.464 -1.308 -1.295 -1.892 -1.421 -0.835 -0.849 -1.136 1.450 0.828 0.877 1.090 2.261 1.455 1.476 1.722
2020:Q3 1.910 2.085 3.457 3.362 -2.501 -1.330 -1.371 -2.091 -1.448 -0.858 -0.895 -1.255 1.478 0.860 0.926 1.224 2.306 1.521 1.561 1.919
2020:Q4 1.900 2.071 3.500 3.397 -2.528 -1.375 -1.448 -2.283 -1.467 -0.879 -0.937 -1.368 1.522 0.871 0.965 1.347 2.353 1.540 1.610 2.091
2021:Q1 1.888 2.063 3.596 3.371 -2.543 -1.409 -1.506 -2.480 -1.499 -0.895 -0.981 -1.479 1.550 0.898 1.003 1.457 2.421 1.550 1.665 2.276
2021:Q2 1.875 2.056 3.728 3.290 -2.555 -1.446 -1.565 -2.629 -1.507 -0.921 -1.018 -1.580 1.566 0.910 1.030 1.558 2.441 1.564 1.714 2.441
2021:Q3 1.862 2.050 3.871 3.182 -2.559 -1.463 -1.609 -2.763 -1.522 -0.928 -1.041 -1.662 1.605 0.936 1.051 1.660 2.494 1.593 1.766 2.573
2021:Q4 1.850 2.046 4.000 3.074 -2.613 -1.480 -1.661 -2.852 -1.562 -0.945 -1.074 -1.746 1.600 0.949 1.066 1.751 2.513 1.598 1.803 2.720
2022:Q1 1.841 2.042 4.097 2.995 -2.633 -1.508 -1.703 -2.870 -1.604 -0.959 -1.087 -1.814 1.633 0.956 1.097 1.828 2.533 1.611 1.813 2.834
2022:Q2 1.834 2.038 4.164 2.951 -2.658 -1.532 -1.736 -2.826 -1.604 -0.965 -1.115 -1.878 1.649 0.961 1.116 1.877 2.547 1.638 1.852 2.961
2022:Q3 1.829 2.035 4.212 2.934 -2.711 -1.542 -1.764 -2.809 -1.619 -0.979 -1.139 -1.926 1.625 0.971 1.146 1.928 2.566 1.645 1.884 3.040
2022:Q4 1.825 2.033 4.250 2.931 -2.751 -1.559 -1.793 -2.806 -1.658 -0.988 -1.151 -1.949 1.633 0.979 1.163 1.970 2.565 1.671 1.932 3.104
2023:Q1 1.821 2.031 4.285 2.930 -2.755 -1.571 -1.810 -2.805 -1.666 -0.999 -1.174 -1.983 1.665 0.990 1.180 2.013 2.633 1.681 1.950 3.171
2023:Q2 1.818 2.029 4.319 2.925 -2.794 -1.602 -1.847 -2.800 -1.741 -1.007 -1.183 -2.032 1.682 1.009 1.199 2.054 2.667 1.704 1.973 3.212
2023:Q3 1.815 2.028 4.349 2.918 -2.830 -1.618 -1.852 -2.793 -1.727 -1.020 -1.189 -2.071 1.686 1.024 1.229 2.095 2.687 1.716 1.990 3.250
2023:Q4 1.813 2.027 4.375 2.911 -2.854 -1.621 -1.855 -2.786 -1.759 -1.034 -1.198 -2.083 1.699 1.021 1.255 2.122 2.683 1.720 2.032 3.261

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Figure 7: Fan charts under the modified Markov-switching approach

Forecast Confidence Intervals and Alternative Scenarios

Confidence Intervals Based on FRB/US Stochastic Simulations

Public FRB/US Forecast

Percent

Period Real GDP Median(4Q Percent change) PCE Prices excluding Food and Energy, Median (4Q Percent change) Unemployment Rate Median Federal Funds Rate Median Real GDP 5th Percentile PCE 5th Percentile Unemployment Rate 5th Percentile Federal Funds Rate 5th Percentile Real GDP 15th Percentile PCE 15th Percentile Unemployment Rate 15th Percentile Federal Funds Rate 15th Percentile Real GDP 85th Percentile PCE 85th Percentile Unemployment Rate 85th Percentile Federal Funds Rate 85th Percentile Real GDP 95th Percentile PCE 95th Percentile Unemployment Rate 95th Percentile Federal Funds Rate 95th Percentile
2016:Q1 2.001 1.787 4.965 0.366                                
2016:Q2 2.206 1.520 4.873 0.370                                
2016:Q3 2.299 1.354 4.906 0.395                                
2016:Q4 2.582 1.500 4.738 0.449                                
2017:Q1 2.819 1.617 4.645 0.704                                
2017:Q2 2.945 1.854 4.336 0.953                                
2017:Q3 2.851 2.006 4.324 1.156                                
2017:Q4 2.800 2.020 4.095 1.202                                
2018:Q1 2.901 1.973 4.120 1.448                                
2018:Q2 2.624 2.037 3.807 1.738 -0.403 -0.176 -0.245 -0.013 -0.222 -0.097 -0.156 -0.008 0.275 0.092 0.130 0.008 0.382 0.167 0.244 0.011
2018:Q3 2.516 2.085 3.688 1.993 -0.811 -0.417 -0.471 -0.174 -0.433 -0.265 -0.310 -0.091 0.569 0.216 0.246 0.102 0.867 0.407 0.441 0.155
2018:Q4 2.400 2.122 3.600 2.270 -1.212 -0.705 -0.642 -0.374 -0.627 -0.438 -0.429 -0.197 0.834 0.372 0.315 0.216 1.266 0.675 0.617 0.333
2019:Q1 2.283 2.130 3.549 2.510 -1.740 -0.975 -0.785 -0.609 -0.844 -0.624 -0.533 -0.326 1.090 0.520 0.406 0.362 1.646 0.949 0.722 0.561
2019:Q2 2.172 2.132 3.525 2.711 -2.070 -1.171 -0.920 -0.861 -1.063 -0.766 -0.635 -0.462 1.289 0.643 0.473 0.524 1.936 1.182 0.883 0.807
2019:Q3 2.075 2.129 3.513 2.881 -2.372 -1.267 -1.040 -1.151 -1.212 -0.844 -0.720 -0.594 1.395 0.719 0.531 0.689 2.086 1.311 1.105 1.071
2019:Q4 2.000 2.122 3.500 3.030 -2.649 -1.321 -1.161 -1.465 -1.311 -0.894 -0.799 -0.714 1.442 0.772 0.607 0.848 2.186 1.446 1.329 1.285
2020:Q1 1.952 2.111 3.476 3.164 -2.802 -1.374 -1.269 -1.765 -1.415 -0.930 -0.876 -0.828 1.473 0.809 0.698 0.996 2.211 1.597 1.582 1.462
2020:Q2 1.924 2.098 3.456 3.279 -2.813 -1.404 -1.381 -1.998 -1.469 -0.953 -0.955 -0.941 1.499 0.831 0.766 1.131 2.256 1.671 1.859 1.671
2020:Q3 1.910 2.085 3.457 3.362 -2.770 -1.437 -1.479 -2.236 -1.489 -0.972 -1.017 -1.057 1.519 0.855 0.839 1.272 2.287 1.695 2.126 1.895
2020:Q4 1.900 2.071 3.500 3.397 -2.836 -1.459 -1.573 -2.461 -1.513 -0.984 -1.089 -1.175 1.530 0.896 0.927 1.398 2.329 1.745 2.369 2.073
2021:Q1 1.888 2.063 3.596 3.371 -2.885 -1.510 -1.639 -2.698 -1.528 -1.003 -1.142 -1.280 1.519 0.926 1.025 1.541 2.353 1.798 2.526 2.259
2021:Q2 1.875 2.056 3.728 3.290 -2.847 -1.559 -1.705 -3.039 -1.551 -1.028 -1.183 -1.384 1.540 0.950 1.108 1.649 2.382 1.810 2.669 2.430
2021:Q3 1.862 2.050 3.871 3.182 -2.852 -1.591 -1.784 -3.057 -1.575 -1.057 -1.222 -1.493 1.543 0.962 1.175 1.754 2.418 1.859 2.752 2.578
2021:Q4 1.850 2.046 4.000 3.074 -2.890 -1.638 -1.818 -2.949 -1.613 -1.074 -1.254 -1.585 1.577 0.981 1.255 1.856 2.468 1.887 2.821 2.710
2022:Q1 1.841 2.042 4.097 2.995 -2.944 -1.674 -1.870 -2.870 -1.668 -1.095 -1.279 -1.690 1.589 0.996 1.317 1.934 2.476 1.906 2.856 2.848
2022:Q2 1.834 2.038 4.164 2.951 -3.016 -1.711 -1.914 -2.826 -1.681 -1.107 -1.302 -1.800 1.566 1.010 1.385 2.013 2.462 1.927 2.916 2.976
2022:Q3 1.829 2.035 4.212 2.934 -3.065 -1.747 -1.937 -2.809 -1.712 -1.126 -1.317 -1.895 1.593 1.031 1.429 2.075 2.493 1.934 2.949 3.079
2022:Q4 1.825 2.033 4.250 2.931 -3.076 -1.767 -1.947 -2.806 -1.758 -1.152 -1.326 -1.984 1.597 1.042 1.474 2.117 2.523 1.928 2.972 3.168
2023:Q1 1.821 2.031 4.285 2.930 -3.086 -1.796 -1.969 -2.805 -1.770 -1.167 -1.336 -2.052 1.610 1.068 1.498 2.156 2.556 1.956 3.029 3.238
2023:Q2 1.818 2.029 4.319 2.925 -3.127 -1.844 -2.001 -2.800 -1.757 -1.173 -1.340 -2.118 1.633 1.082 1.547 2.196 2.613 1.958 3.038 3.296
2023:Q3 1.815 2.028 4.349 2.918 -3.148 -1.874 -2.015 -2.793 -1.805 -1.182 -1.346 -2.176 1.666 1.096 1.579 2.219 2.643 1.978 3.032 3.342
2023:Q4 1.813 2.027 4.375 2.911 -3.163 -1.891 -1.998 -2.786 -1.799 -1.196 -1.359 -2.217 1.678 1.092 1.599 2.249 2.677 1.990 3.074 3.369

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Last Update: March 07, 2019