Seeking to eliminate the enormous lag of NBER in declaring the beginning and end of recessions, economist Marcelle Chauvet computes real-time recession probabilities in a manner consistent with the long after the fact findings of the NBER.
The probability is down from last month, nonetheless Real Time Probabilities of Recession are above 20% for the second consecutive month.
Real-time means a one quarter delay, but that is still faster than the NBER is likely to make proclamations.
click on chart for sharper image
| Month/Year | Probability of Recession% |
| January 2009 | 100.0% |
| February 2009 | 99.7% |
| March 2009 | 98.9% |
| April 2009 | 94.3% |
| May 2009 | 92.6% |
| June 2009 | 69.4% |
| July 2009 | 41.0% |
| August 2009 | 39.3% |
| September 2009 | 27.1% |
| October 2009 | 18.9% |
| November 2009 | 7.9% |
| December 2009 | 6.5% |
| January 2010 | 4.1% |
| February 2010 | 2.4% |
| March 2010 | 2.1% |
| April 2010 | 1.1% |
| May 2010 | 2.8% |
| June 2010 | 27.0% |
| July 2010 | 20.6% |
Note the drop from 69.4% to 41.0% in June/July 2009 accurately timing the end of the recession well in advance of the NBER. Also note the huge leap from 2.8% in April to over 20% in June and July.
For a description of the methodology, please see the Center for Research on Economic and Financial Cycles post CREFC Real Time Probabilities of Recession.
Also see Real Time Analysis of the U.S. Business Cycle
Mike “Mish” Shedlock
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