Mr. Steven Kopits writes:

Another is vehicle miles traveled, which is either very short term leading (ie, failing one month or so prior to the official onset of recession), coincident, or lagging by up to 4-5 months if one is using, say, 12 month moving sums.

I downloaded FRED series https://fred.stlouisfed.org/series/TRFVOLUSM227SFWA and plotted the series:

Figure 1: Vehicle Miles Traveled, millions, seasonally adjusted (blue). NBER defined peak-to-trough recession dates shaded gray. DOE FHA via FRED, NBER.

Is negative VMT growth a leading indicator of recession. I created a dummy variable that takes on a value of one when m/m growth is negative and plotted (light blue bar).

Figure 2: Negative VMT growth (blue bar). NBER defined peak-to-trough recession dates shaded dark gray. DOE FHA via FRED, NBER, and author’s calculations.

Note that negative growth precedes by a month recessions… but also many non-recessions.

Keep reading this article on Econbrowser Blog - James Hamilton & Menzie Chinn.

Leave a Reply