Re: Recessions in the past century

From: John Conover <john@email.johncon.com>
Subject: Re: Recessions in the past century
Date: 13 Mar 2001 01:19:32 GMT

I guess the reason for the question was to get an idea of how long
recessions last.

If so, assuming Black-Scholes-Merton paradigm as a model, the
probability that a recession will last at least y many years is about
1 / sqrt (y).

BSM seems to be a fairly useful model for such things, see:

    http://www.johncon.com/john/correspondence/990215192020.29398.html

for a graph of the distributions of fluctuations in the USGDP since
1940, which are overlayed on erf (1 / sqrt (y)), (which is about 1 /
sqrt (y) for y >> 1.)

        John

BTW, there is a graph of the magnitudes of the fluctuations in the
USGDP since 1940 at:

    http://www.johncon.com/john/correspondence/990905134341.23530.html

using the same data set. Its in close agreement with BSM, too-which
would indicate a sqrt (y) type of function.

David Cross writes:
> "Atanu Dey"; wrote in message
> news:98jpn1$2or$1@agate.berkeley.edu...
> > I have a question for the gurus over here. What has been the longest
> > period in the past century that the US has not seen a recession?
> >
> > Thanks for any references or responses.
>
> The 1920s, 1960s and 1990s. More specifically, from 1921 to 1929, 1961 to
> 1970, and 1991/2 to 1999/2000.
>
> I will sit corrected if anyone can give better data than what I've given
> here. :)
>

--

John Conover, john@email.johncon.com, http://www.johncon.com/