Dating COVID-Induced Recession in the U.S

ABSTRACT

The COVID-induced recession began in March 2020 for the United States. We identify this turning point by applying a Bayesian sequential quickest detection method to a real-time index of economic activity. Supporting evidence is also found from macroeconomic data releases and stock markets.

KEYWORDS:

• Big data
• COVID-19
• coronavirus
• turning points

JEL CLASSIFICATION:

• E32

Acknowledgments

We thank Carola Binder, Steve Davis and Kajal Lahiri for helpful discussions, and two anonymous referees for useful comments. The opinions expressed in this article are those of the authors and do not reflect the view of Freddie Mac.

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ For further details, see https://www.nber.org/cycles/june2020.html

² Using the July 2020 data vintage of the BBK index that includes revisions of the component series and methodological enhancements, our method would identify February 2020 as the peak. Yet, to date recessions in real time, we have to use the data available when performing the analysis, that is, the data vintage released on 1 May 2020.

³ In a separate experiment, we analyse the Conference Board’s composite index of coincident indicators. As aptly pointed out by a reviewer, this index is more aligned with the NBER definition of a recession. Using this index, our method identifies April 2020 as the peak. Detailed results are available upon request.

⁴ Accessed on 19 May 2020 from https://oui.doleta.gov/unemploy/claims.asp