Skip to main content

Smoothed U.S. Recession Probabilities (RECPROUSM156N)

Observation:

May 2017: 0.44  
Updated: Aug 7, 2017

Units:

Percent,
Not Seasonally Adjusted

Frequency:

Monthly
1Y | 5Y | 10Y | Max
Close
  EDIT BAR 1
(a) Smoothed U.S. Recession Probabilities, Percent, Not Seasonally Adjusted (RECPROUSM156N)
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/research/published-papers/chauvet-and-piger_2008_jour.pdf)

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

Smoothed U.S. Recession Probabilities

Select a date that will equal 100 for your custom index:
to

Customize data:

Write a custom formula to transform one or more series or combine two or more series.

You can begin by adding a series to combine with your existing series.

Now create a custom formula to combine or transform the series.
Need help? []

Finally, you can change the units of your new series.

Select a date that will equal 100 for your custom index:

  EDIT BAR 2
(a) Smoothed U.S. Recession Probabilities, Percent, Not Seasonally Adjusted (RECPROUSM156N)
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/research/published-papers/chauvet-and-piger_2008_jour.pdf)

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

Smoothed U.S. Recession Probabilities

Select a date that will equal 100 for your custom index:
to

Customize data:

Write a custom formula to transform one or more series or combine two or more series.

You can begin by adding a series to combine with your existing series.

Now create a custom formula to combine or transform the series.
Need help? []

Finally, you can change the units of your new series.

Select a date that will equal 100 for your custom index:

ADD BAR

Add data series to graph:

FORMAT GRAPH
Log scale:

NOTES
Title Release Dates
Smoothed U.S. Recession Probabilities 2012-09-04 2017-08-03
 
Source    
Piger, Jeremy Max 2012-09-04 2017-08-03
Chauvet, Marcelle 2012-09-04 2017-08-03
 
Release    
U.S. Recession Probabilities 2012-09-04 2017-08-03
 
Units    
Percent 2012-09-04 2017-08-03
 
Frequency    
Monthly 2012-09-04 2017-08-03
 
Seasonal Adjustment    
Not Seasonally Adjusted 2012-09-04 2017-08-03
 
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/research/published-papers/chauvet-and-piger_2008_jour.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 2017-08-03
RELATED CONTENT

Related Resources

Related Categories

Recession Probabilities Academic Data

Sources

More Releases from Piger, Jeremy Max More Releases from Chauvet, Marcelle

Releases

More Series from U.S. Recession Probabilities

Tags

Chauvet, Marcelle Marcelle M. Chauvet and Jeremy Piger Academic Data Recession Indicators Monthly Not Seasonally Adjusted United States of America Nation
RELEASE TABLES





Browse Data

Retrieving data.
Updating graph.

Need Help?

Questions or Comments
ALFRED FAQs
General FAQs

Subscribe to the FRED newsletter

Follow us

Twitter logo Google Plus logo Facebook logo YouTube logo LinkedIn logo
Back to Top
Top