U.S. Recession Probability Index: 1/1/1967 - 9/30/2020

Monthly U.S. Recession Probability Index: 1/1/1967 - current month; and period from last recession (duplicate data) to current month. Intended as a real-time probability index; lag time is two weeks at the Federal Reserve's Industrial Production/Capacity Utilization release mid-month for the prior month. The index combines variable percent change by percent of standard deviation over the period 1967-current month of these variables: the Federal Reserve's Total Capacity Utilization measure, the Department of Labor's Initial Claims (IC4WSA - Monthly), a monthly average corporate bond risk spread measure, and an end of month equity index measure. The Probability Index is exponentially smoothed at .9 to produce positive values coincident with U.S. recession conditions. This comparative model holds the most severe probability measure at 100%. Monthly U.S. Recession Probability Index at 9/30/2020: 28.24%. Note that this comparative measure continues to exceed the severity of most prior recession periods.

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