FRED Economic Data | St. Louis Fed

Smoothed U.S. Recession Probabilities (RECPROUSM156N)

Source(s): Piger, Jeremy Max
Chauvet, Marcelle
Release: U.S. Recession Probabilities  

Description of growth rate formulas  
 
to
Seasonal
Adjustment:
Not Seasonally Adjusted 
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
Updated: 2014-11-03 9:21 AM CST 

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