In this article we demonstrated that the new Federal Reserve Bank of Chicago Brave-Butters-Kelley Indexes provide good recession capturing indicators. The new iM-LLI, a robust long leading index, is constructed by combing the following data series:
- The BBK Coincident Index
- The BBK Leading Index
- The Conference Board LEI Growth
- The iM-Business Cycle Growth
The plot in Figure-1 is the sum of the weighted normalized weekly values of the component indicators listed above. It is a point-in-time growth series which, when its level is below zero, forecasts recessions, as defined by the FRED recession series USREC.