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Smoothed U.S. Recession Probabilities (RECPROUSM156N)

Observation:

Jul 2018: 0.30  
Updated: Oct 1, 2018

Units:

Percent,
Not Seasonally Adjusted

Frequency:

Monthly
1Y | 5Y | 10Y | Max
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NOTES

Source: Piger, Jeremy Max  

Source: Chauvet, Marcelle

Release: U.S. Recession Probabilities  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Monthly

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.

Suggested Citation:

Piger, Jeremy Max and Chauvet, Marcelle, Smoothed U.S. Recession Probabilities [RECPROUSM156N], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/RECPROUSM156N, October 17, 2018.

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