# Recession

Source: https://www.yieldcurve.pro/recession

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