U.S. Probabilities of Recession (Chauvet 1998)

 
Real Time Probability of Recession for the U.S.
 
US Recession ended in June 2009

 

Probability of Recession
 
 
in August 2012: 15.2%
  

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, were less than 10% from August 2011 to June 2012, and are now around 15%. 
  
 
(As of end of October 2012 data available up to August 2012)
 
 Month                          Probabilities of                    Business Cycle
                                       Recession (%)                    Indicator
 
2011 January 0.5 3.30
February 7.9 0.62
March 8.6 0.72
April 25.1 0.09
May 21.3 0.20
June 24.6 0.59
July 18.6 0.87
August 4.7 0.42
September 3.3 0.54
October 1.8 1.47
November 2.4 0.33
December 1.0 1.31
2012 January 0.8 2.11
February 2.6 1.66
March 6.2 0.46
April 6.9 0.87
May 8.9 1.34
June 9.1 0.84
July 11.8 0.86
August 15.2 -0.86
 

The probabilities are calculated according to the model proposed in:
 
Chauvet, M. (1998), "An Econometric Characterization of Business Cycles with Factor Structure and Markov Switching," International Economic Review, 39, 4, 969-996.
 
The paper can be downloaded from here:
 

 

 
 
 

 

  

 
 
 
 Probabilities of Recession, Business Cycle Indicator,
 
 and NBER Recessions (shaded area)

 

Snapshot - Probabilities of Recession
in the Last 7 years