Disentangling economic recessions and depressions

Arbeitspapier

We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between 1919 and 2009, including the Great Depression and the World War II boom. Our results suggest that the recent Great Recession does not qualify as a depression. Multinomial logistic regressions show that stock returns, output growth, and inflation exhibit predictive power for depressions. Surprisingly, the term spread is not a leading indicator of depressions, in contrast to recessions.

Object Details

• ISBN: 978-3-86558-972-9
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bundesbank Discussion Paper ; No. 43/2013

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Multiple or Simultaneous Equation Models: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions ; Business Fluctuations; Cycles
• Subject: Business cycles ; Depression ; Leading indicators ; Multinomial logistic regression ; Nonparametric statistics ; Outlier

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Candelon, Bertrand ; Metiu, Norbert ; Straetmans, Stefan
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/87726
• Last update: 10.03.2025, 11:44 AM CET