St. Louis Fed | Economic Research | FRED® | GeoFRED® | ALFRED® | CASSIDI® | FRASER® | Page One Economics | APIs | Fed System
ALFRED: Archival Federal Reserve Economic Data, Economic Data Time Travel from the St. Louis Fed
Categories | Sources | Releases | News | API | Published Data Lists | Help
 

Home > Releases > U.S. Recession Probabilities > Smoothed U.S. Recession Probabilities (RECPROUSM156N)

Smoothed U.S. Recession Probabilities (RECPROUSM156N)

Download Data | Add to My Data List | Current Series in FRED

Graph: Edit | Print | PDF | Save

Type: Line | Bar Size: Medium | Large | X-Large
Range: 1yr 5yrs 10yrs Max Log Scale: Left
Units:  Levels | Chg. | Chg. from Yr. Ago | % Chg. | % Chg. from Yr. Ago | Comp. Annual Rate of Chg. | Cont. Comp. Rate of Chg. | Cont. Comp. Annual Rate of Chg.
Notes: Growth Rate Calculations | US recession dates
  Real-Time Period
Title Start     End     

Smoothed U.S. Recession Probabilities 2012-09-04 Current
 
Source    

Marcelle Chauvet and Jeremy Piger 2012-09-04 Current
 
Release    

U.S. Recession Probabilities 2012-09-04 Current
 
Units    

Percent 2012-09-04 Current
 
Frequency    

Monthly 2012-09-04 Current
 
Seasonal Adjustment    

Not Seasonally Adjusted 2012-09-04 Current
 
Notes    

Smoothed 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. This model was originally developed in Chauvet, M., "An Economic Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," International Economic Review, 1998, 39, 969-996. (http://faculty.ucr.edu/~chauvet/ier.pdf)

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.
(http://pages.uoregon.edu/jpiger/cp_realtime_2_020907.pdf)

For additional details as to why this data revises, see FAQ 3 at http://pages.uoregon.edu/jpiger/us_recession_probs.htm.

2012-09-04 Current
 

Related Categories

Academic Data > Recession Probabilities


Privacy Policy | Legal Notices, Information and Disclaimers | Contact Us | Help
© 2014 Federal Reserve Bank of St. Louis