US recession probability
Recession probability. Interest rates and cycle.
Updated
What is it?
Probability that the US is already in recession, according to a statistical model.
Smoothed probability of a US recession (Chauvet-Piger). It is a coincident indicator: it rises when the recession is already under way.
Why does it matter?
It does not lead: it rises once the recession has begun. It serves to confirm.
When should it be a concern?
It is a concern when the model estimates there may already be a recession. Crisis Monitor turns each reading into a score from 0 to 100 using these bands:
| Situation | Value | What does it mean? |
|---|---|---|
| Calm | ≤ 1.0% | Score 0: no stress |
| Watch | ≥ 5.0% | Score 33: starts to draw attention |
| Stress | ≥ 20.0% | Score 66: risk zone |
| Extreme | ≥ 60.0% | Score 100: like in the worst crises |
Between one band and the next, the score is interpolated.
Recession probability in past crises
Since January 1990, its weekly low was 0.1% (Dec 1997) and its high was 100.0% (May 2020). The typical level (the median) is 0.5%.
| Crisis | At the start | High during the crisis |
|---|---|---|
| 1990-91 recession | 2.1% | 61.5% (Jan 1991) |
| Russia and LTCM 1998 | 0.3% | 0.8% (Aug 1998) |
| Dot-com bubble and 2001 recession | 0.5% | 30.0% (Jun 2001) |
| Global Financial Crisis 2007-09 | 1.4% | 99.3% (Nov 2008) |
| European debt crisis 2011 | 0.4% | 0.6% (Jun 2011) |
| 2015-16 market scare | 2.2% | 2.3% (Jan 2016) |
| Q4 2018 sell-off | 0.3% | 0.5% (Nov 2018) |
| COVID panic 2020 | 0.9% | 100.0% (May 2020) |
| 2022 bear market | 0.3% | 1.1% (Feb 2022) |
Weekly data. Crises that do not appear predate the series.
How does Crisis Monitor use it?
- Area: Yield curve and cycle (20% of the index). What the bond market expects from the economy. It often warns months before a recession.
- When does it move? Moves with the crisis.
- Data frequency: monthly.
- Quick alarm: No.
The index combines 17 indicators. See the methodology to learn how it is calculated.
Data source
FRED, Federal Reserve Bank of St. Louis (RECPROUSM156N). Data may arrive late and does not constitute financial advice.
Frequently asked questions
How is recession probability calculated?
The Chauvet and Piger model combines employment, industrial production, income and sales to estimate whether the US economy is in recession. It is published by the St. Louis Fed.
Does it warn before the recession?
No. It is a coincident indicator: it rises sharply once the recession is under way. It serves to confirm, not to anticipate.