Recession Probabilities for the United States

Jeremy Piger is an Assistant Professor of Economics at the University of Oregon. He has put together a model that presents recession probabilities for the United States "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 & trade sales.

It is a simple but robust model with a good track record of providing a modest advanced warning of recessions. Its updated quarterly.

Here is the prior Recession Probabilities for the United States. Note that this model gave a short warning prior to actual recessions beginning:


Historical U.S. Recession Probabilities June 1967 – February 2008

Graph courtesy of Jeremy Piger



Note: The main weakness in the model is the reliance on government data (which tends to be revised downwards eventually. See this chart of NFP vs B/D as an example.

Category: Data Analysis, Economy, Employment, Technical Analysis

Challenge for Economists: Positive GDP Recessions

Category: Data Analysis, Economy, Financial Press

Category: Commodities, Energy, Technical Analysis, Trading


Category: Credit, Finance, Markets, Psychology

Blinder & McTeer on Fed Cuts

Category: Federal Reserve, Inflation

Raiding the 401(k)

Category: Economy, Investing, Markets, Psychology

Ask Your Doctor About GASTAXADROPPIN

Category: Commodities, Consumer Spending, Energy, Politics

Tea and Subprime Sympathy Click

Category: Federal Reserve

Oil > $120

Category: Energy, Markets, Technical Analysis

Good Morning

Category: M&A, Weblogs