Ray Fair has put up the past forecasts of the unemployment rate alongside actual data on his website (which is laudable!), but they're shown as a table which is hard to read. I've put them graphically in context of the Dynamic Information Equilibrium Model (DIEM) forecast from January 2017:
The context of my tweet about it was that I saw several people discussing Ray Fair's election model (which isn't very good), and wanted to add that his macro model wasn't very good either.
Also on Twitter (follow me @infotranecon!), I posted a couple of graphs of the S&P 500 and interest rates spreads yesterday (after the big fall in the market) which I haven't updated in awhile on the blog (here, here) ...
Here's an update of the 10-year rate forecast from 2015 (originally here). The BCEI means the Blue Chip Economic Indicators (wikipedia) forecast from 2015 which has done considerably worse.
Also, here's a longer run of the S&P 500 showing the previous shocks and overlays the early 2000s recession on the current correlated deviation:
Red bands are the non-equilibrium shocks to the S&P 500. The blue-gray bands are the NBER recessions. The green is the DIEM with in the no-shock counterfactual scenario, while the dashed lines show a counterfactual shock of equivalent size to the early 2000s recession. The blue band shows the AR process error band used to project from the projection data point — which by now matches up with the green model error band (see the discussion in the footnote here for more about this).
Also on Twitter, I found out economist Claudia Sahm had been looking at the unemployment rate as a good indicator of recession for automatic stabilizers and had set up a threshold of about δu ~ 0.5 percentage point. I had put together a "recession detection algorithm" two years ago that used a threshold of δlog u ~ 0.17 (because the DIEM works in log space). Here's what those two thresholds look like on the unemployment rate forecast at the top of this post:
Sahm's rule is the green dashed curve, while the threshold I used is the gray dashed curve. Sahm's rule is closer to δlog u ~ 0.1, but the log difference gets smaller as the unemployment rate gets lower, so it's not exactly commensurate. But here's the threshold at work on the 2008 recession and 2014 mini-boom:
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