U.S. recession probability and economic indicators
Three established models are shown side by side: the Recession Probability Model Based on 10Y-3M Interest Spread, the Sahm Rule Recession Model and the Chauvet-Piger Recession Model. Each is updated from official data and shown with its current reading, its history and a short interpretation, alongside inflation, labour market and interest rate series.
Recession Probability Model Based on 10Y-3M Interest Spread
The spread between the 10-year Treasury yield and the 3-month bill translates into a probability of recession within the next twelve months. An inverted curve has preceded most post-war U.S. recessions.
Sahm Rule Recession Model
The Sahm Rule compares the three-month average unemployment rate with its lowest level of the previous twelve months. A rise of half a percentage point has historically coincided with the start of a recession.
Chauvet-Piger Recession Model
A dynamic-factor model that estimates the probability that the U.S. economy is currently in recession, using output, income, employment and sales data.