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Wednesday, October 06, 2010 12:31 PM

Real Time Probabilities of Recession Above 20% Second Consecutive Month

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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.

click on chart for sharper image

Month/YearProbability of Recession%
January 2009100.0%
February 200999.7%
March 200998.9%
April 200994.3%
May 200992.6%
June 200969.4%
July 200941.0%
August 200939.3%
September 200927.1%
October 200918.9%
November 20097.9%
December 20096.5%
January 20104.1%
February 20102.4%
March 20102.1%
April 20101.1%
May 20102.8%
June 201027.0%
July 201020.6%

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.

Also see Real Time Analysis of the U.S. Business Cycle

Mike "Mish" Shedlock
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