SPY & Smoothed U.S. Recession Probabilities
Model-based probability estimate (0-100%) that the U.S. economy is in a recession, using a dynamic-factor Markov-switching framework.
SPY Price
Recession Probability
What It Measures
The Smoothed U.S. Recession Probabilities indicator provides a probability estimate (0-100%) that the U.S. economy is currently in a recession. Unlike the binary NBER recession indicator, this measure offers a continuous probability assessment. The model, developed by Marcelle Chauvet and Jeremy Piger, uses a dynamic-factor Markov-switching framework that analyzes four key monthly economic indicators: - Nonfarm payroll employment - Industrial production index - Real personal income excluding transfer payments - Real manufacturing and trade sales The "smoothed" probabilities use all available data up to the current period, providing more accurate historical estimates than real-time calculations.
Why It Matters
**Probabilistic Assessment**: Unlike binary recession indicators, this provides a nuanced probability estimate of recession. **Real-Time Relevance**: Updates monthly without waiting for NBER's official (but lagged) recession dating. **Academic Foundation**: Based on peer-reviewed research by Chauvet and Piger, widely cited in economics literature. **Multi-Factor Model**: Synthesizes multiple economic indicators into a single probability, reducing noise from any single data series. **Leading Indicator**: Often signals recessions before NBER officially announces them.
Key Levels
Data Sources
SPY: S&P 500 ETF daily OHLCV data (1993-02-02 to 2026-02-13)
Recession Prob: RECPROUSM156N - Smoothed U.S. Recession Probabilities from Federal Reserve Bank of St. Louis / Marcelle Chauvet
Units: Percent, Not Seasonally Adjusted, Monthly