U.S. Probabilities of Recession (Chauvet 1998)

 Real Time Probabilities of Recession

  
 
Current Economic Situation:
 
Probability of Recession in August 2012 is:
 
15.2%
 
U.S. Recession ended in June 2009
 
Probabilites of recession have been below 50% since 07/2009. They increased from around 5% to around 25% early last year. They were below 10% from August 2011 to June 12. They are currently around 15%.
 
 Below are the smoothed probabilities of recession, recursively estimated every month
___________________________________________________________
(As of end of October 2012, data available up to August 2012)
 
  
Month                         Probability of                    Business Cycle       Recession                 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
 
For more details see: CREFC
Center for Research on Economic and Financial Cycles
 
 
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:
 

  
   
NEW:
  
 
 
Probabilities of recession, Business Cycle Indicator,
 
and NBER-recessions (shaded area)
 
 
 
 
 
Snapshot - probabilities of recession
 
in the last 7 years
 
 
 
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