Real Time Probabilities of Recession Above 20% Second Consecutive Month
Courtesy of Mish
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.
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| 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.
