Charts three recession probability models — each converted to a common
probability scale — alongside their equal-weight aggregate. Gray bars
show official NBER recession dates. Use the date picker to zoom into
any period.
Models
- Probability — equal-weight average of the three component models.
When only one model has data for a given date, the total equals
that model's value.
- Estrella-Mishkin — probit model using the 10 Yr - 3 Mo Treasury
spread, computed live from yield curve data. Based on the 1996 NY Fed
paper. A deeply inverted curve pushes probability above 50%.
- Sahm Rule — the raw value (3-month average unemployment rise from
its 12-month low) is converted to a probability via a logistic function
centered at the 0.50 pp trigger threshold. Updated monthly from FRED.
- Chauvet-Piger — smoothed transition probability from a dynamic
Markov-switching model of coincident indicators. Updated monthly from
FRED. Already expressed as a probability (0-100%).
Use Cases
- monitor recession risk from multiple angles
- compare model signals during curve inversion episodes
- see how each model performed around historical recessions
- CFA Level III portfolio strategy scenario planning