U.S. Probabilities of Recession

Real Time Probability of Recession for the U.S.

US Recession ended in June 2009

Probability of Recession

in November 2011: 7.2%

Recent Economic Conditions:

*** The probabilities of recession have been below 50% since July 2009.

Probabilities increased from around 5% to around 25% mid last year but have decreased to less than 10% in the last few months.

(As of 02/092012 data available up to 11/2011)

Month Probabilities of Business Cycle

Recession (%) Indicator

2007 October	41.9	0.08
November	48.5	0.86
December	58.2	0.77
2008 January	74.8	1.05
February	89.7	0.37
March	95.5	-0.14
April	97.1	-1.10
May	98.8	-1.18
June	99.4	-1.23
July	99.7	-1.56
August	99.8	-1.46
September	99.9	-3.53
October	98.4	-0.42
November	99.8	-1.67
December	100.0	-3.76
2009 January	99.9	-5.20
February	98.1	-3.55
March	98.8	-3.37
April	91.6	-1.77
May	91.8	-1.46
June	54.8	-1.70
July	42.0	-0.13
August	32.4	-0.27
September	34.6	-0.61
October	29.3	-0.56
November	24.3	0.76
December	15.7	1.02
2010 January	11.7	1.34
February	10.7	0.93
March	3.4	1.56
April	1.1	2.07
May	0.9	2.16
June	4.8	0.89
July	3.1	1.24
August	5.3	0.80
September	9.2	0.42
October	10.4	0.48
November	11.6	0.47
December	3.7	1.42
2011 January	0.6	2.49
February	6.4	0.73
March	3.8	1.16
April	26.1	-0.22
May	22.6	0.36
June	24.4	0.58
July	17.8	0.73
August	14.7	0.35
September	10.5	0.71
October	2.4	1.73
November	7.2	0.66

References

Chauvet, M. “An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switches,” International Economic Review, Vol. 39, No. 4, November 1998, 969-96.(IER)

Chauvet, M. and J. Hamilton, “Dating Business Cycle Turning Points in Real Time,” in “Nonlinear Time Series Analysis of Business Cycles,” ed. Van Dijk, Milas, and Rothman, Elsevier’s Contributions to Economic Analysis series, 2006. (DatingBC)

Chauvet, M. and J. Piger, “A Comparison of the Real-Time Performance of Business Cycle Dating Methods,” Journal of Business Economics and Statistics. 26, 1, 42-49, 2008 (BC_RealTime)

Chauvet, M., J. Hamilton and K. Hassett, “Calling the Business Cycle,” The American Enterprise Institute Press, forthcoming.

Click here to read about The Beginning and End of the 2007-2009 Recession

Click here to read about Real Time Probabilities of Recessions

Probabilities of Recession, Business Cycle Indicator,

and NBER Recessions (shaded area)