U.S. Recession Probabilities

My colleague Jeremy Piger calculated new US recession probabilities based upon July 2009 data that became available today (October 1), and he notes that , "For the first time in a while, there was some action in the results, with the July probability dropping to 53%. Not a clear signal of the end yet, but something...."

Historical U.S. Recession Probabilities

Notes: Recession probabilities for the United States are obtained from a dynamic-factor Markov-switching model applied to four monthly coincident variables: non-farm payroll employment, the index of industrial production, real personal income excluding transfer payments, and real manufacturing and trade sales.  For additional details, including an analysis of the performance of this model for dating business cycles in real time, see Chauvet, M. and J. Piger, “A Comparison of the Real-Time Performance of Business Cycle Dating Methods,” Journal of Business and Economic Statistics, 2008, 26, 42-49. All data was obtained on October 1, 2009. Shaded areas indicate NBER recession dating.