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.
For a larger version, click the 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 centre for Research on Economic and Financial Cycles post CREFC Real Time Probabilities of Recession.
Mike “Mish” Shedlock
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