Source: Chauvet, Marcelle
Source: Piger, Jeremy Max
Release: U.S. Recession Probabilities
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.
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.
For additional details as to why this data revises, see FAQ 3.
Chauvet, Marcelle and Piger, Jeremy Max, Smoothed U.S. Recession Probabilities [RECPROUSM156N], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/RECPROUSM156N, August 12, 2022.
Source: Wilshire Associates
Release: Wilshire Indexes
The observations for the Wilshire 5000 Total Market Full Cap Index represent the daily index value at market close. The market typically closes at 4 PM ET, except for holidays when it sometimes closes early.
The total market indexes are total market returns, which do include reinvested dividends. The designation Full Cap for an index signifies a float adjusted market capitalization that includes shares of stock not considered available to "ordinary" investors. Copyright, 2016, Wilshire Associates Incorporated. Reprinted with permission. For more information about the various indexes, visit Wilshire Associates.
Wilshire Associates, Wilshire 5000 Total Market Full Cap Index [WILL5000INDFC], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/WILL5000INDFC, August 12, 2022.