FRED just added a new family of data that can help us get a read on the U.S. economy.
The BBKI (Brave-Butters-Kelley Indexes) draw on about 500 indicators and search for some commonality among them, thanks to a technique called dynamic factor analysis. This analysis allows for an estimate of monthly GDP and decomposes it into different components. (GDP measures are typically quarterly, and this innovation is meant to be more timely.)
The graph above shows the monthly GDP estimate along with the coincident and leading indicators for a period spanning the past two recessions. Clearly, the leading indicator was able to accurately determine the direction of the changes in this current and strange recession. Anticipating the turning points, of course, is very difficult in forecasting.
The graph below shows a decomposition of the monthly GDP indicator into various components:
a trend, which varies very little through time
a leading component—that is, which current data