Predicting a recession with ensemble forecasting: the Fisher Knight recession indicator

Using an ensemble forecasting technique, we created the rule-based indicator (FKRI, the Fisher Knight Recession Indicator) that accurately predicted all five economic recessions in the United States during the last 45 years. The indicator gave neither type I nor type II errors (no false alarms and no misses) and predicted recessions in no later than four months. Based on the yield curve inversion principle, FKRI is strictly empirical and can be easily replicated with publicly available market data. We expect the indicator to accurately predict future recessions as well.