NBER Recessions

Code - R

~/code/R/

Preamble

rm(list = ls())
pklist <- c("tidyverse", "quantmod", "readstata13")
source("https://fgeerolf.com/code/load_pk.R")
source("https://fgeerolf.com/code/load_code.R")
source("https://fgeerolf.com/code/load_data.R")
load_code("basic_functions.R")

NBER Recessions

NBER.recessions <- c("1857-06-01", "1858-12-01",
                     "1860-10-01", "1861-06-01",
                     "1865-04-01", "1867-12-01",
                     "1869-06-01", "1870-12-01",
                     "1873-10-01", "1879-03-01",
                     "1882-03-01", "1885-05-01",
                     "1887-03-01", "1888-04-01",
                     "1890-07-01", "1891-05-01",
                     "1893-01-01", "1894-06-01",
                     "1895-12-01", "1897-06-01",
                     "1899-06-01", "1900-12-01",
                     "1902-09-01", "1904-08-01",
                     "1907-05-01", "1908-06-01",
                     "1910-01-01", "1912-01-01",
                     "1913-01-01", "1914-12-01",
                     "1918-08-01", "1919-03-01",
                     "1920-01-01", "1921-07-01",
                     "1923-05-01", "1924-07-01",
                     "1926-10-01", "1927-11-01",
                     "1929-08-01", "1933-03-01",
                     "1937-05-01", "1938-06-01",
                     "1945-02-01", "1945-10-01",
                     "1948-11-01", "1949-10-01",
                     "1953-07-01", "1954-05-01",
                     "1957-08-01", "1958-04-01",
                     "1960-04-01", "1961-02-01",
                     "1969-12-01", "1970-11-01",
                     "1973-11-01", "1975-03-01",
                     "1980-01-01", "1980-07-01",
                     "1981-07-01", "1982-11-01",
                     "1990-07-01", "1991-03-01",
                     "2001-03-01", "2001-11-01",
                     "2007-12-01", "2009-06-01") %>%
  matrix(ncol = 2, byrow = TRUE) %>%
  as.data.frame(header = TRUE, stringsAsFactors = FALSE) %>%
  rename(Peak = V1, Trough = V2) %>%
  mutate_all(as.Date)

Plots

unrate = getSymbols('UNRATE',src='FRED', auto.assign=F) 

## 'getSymbols' currently uses auto.assign=TRUE by default, but will
## use auto.assign=FALSE in 0.5-0. You will still be able to use
## 'loadSymbols' to automatically load data. getOption("getSymbols.env")
## and getOption("getSymbols.auto.assign") will still be checked for
## alternate defaults.
## 
## This message is shown once per session and may be disabled by setting 
## options("getSymbols.warning4.0"=FALSE). See ?getSymbols for details.

unrate.df <- data.frame(date=time(unrate), coredata(unrate))

data.frame(date=time(unrate), coredata(unrate)) %>% 
  ggplot(.) + geom_line(aes(x=date, y=UNRATE)) + theme_bw() + 
  geom_rect(data=NBER.recessions, aes(xmin=Peak, xmax=Trough, ymin=-Inf, ymax=+Inf), fill='pink', alpha = 0.2)