Perfect Recession Predictors

Please cite as follows:

Anthony M. Diercks, Daniel Soques, and Jing Cynthia Wu, "Perfect Recession Predictors", 2024

Perfect Recession Prediction Index

The blue line shows the fraction of the 83 perfect yield curve spreads that were negative in the preceding 12 months.  An index value of 0 implies the lowest likely chance of recession, whereas an index value of 1 means the highest chance of recession. Gray shading shows NBER recession dates and red shading shows the 12-month window prior to the start of a recession.

Broad Recession Prediction Index

Each line shows an recession index based on 1.6 million yield curve spreads that were negative for a given prediction window (12, 18, or 24 months).  Yield spreads are weighted based on their historical forecast performance. An index value of 0 implies the lowest likely chance of recession, whereas an index value of 1 means the highest chance of recession. Gray shading shows NBER recession dates and red shading shows the 24-month window prior to the start of a recession.

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The views expressed here do not reflect the views of the Board of Governors of the Federal Reserve System.