Perfect Recession Predictors

Reference

Please cite as follows:  Anthony M. Diercks, Daniel Soques, and Jing Cynthia Wu, "Perfect Recession Predictors", 2024

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Perfect Recession Prediction Index

Each line shows the fraction of perfect yield curve spreads that were negative for a given prediction window (12, 18, or 24 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 24-month window prior to the start of a recession.

Broad Recession Prediction Index

Each line shows a 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.

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