When predicting recession using the four factors, the NCFI non-financial leverage sub-index was quoted as one of the factors. However, data from the NCFI financial leverage sub-index was used instead. May I know which one are we really supposed to use? Many thanks.
Well spotted, the text indeed suggests to use the non-financial subindex based on the reasoning outlined here. Updating the notebook and will upload shortly.
Thanks Stefan! Appreciate all the work you’ve put into this book. It’s fantastic and I’m proud to own a copy.
You’re welcome, hope you will continue to find it useful!