Moody's Analytics calculates 12-month recession probabilities based on three different yield curve spreads using a logistic regression model.
Dataset properties:
- Measurement: Percent (%)
- Adjustment: Not seasonally adjusted (NSA)
- Native frequency: Business daily (Monday to Friday)
- Start date: 2 January 1962 or 1 June 1976
The series reside in the historical catalog:
and are:
- RCI%POR10Y3MUD.IUSA = Implied probability of recession: Based on spread between 10-year and 3-month T-bill, (%, NSA)
- RCI%POR10Y2YUD.IUSA = Based on spread between 10-year and 2-year CMT
- RCI%POR10YFEDUD.IUSA = Based on spread between 10-year CMT and fed funds effective rate
Because catalog locations are subject to change, the upper-right search box on DataBuffet.com provides a "find in catalog" mode that accepts a mnemonic.
Updates
- 8 Nov - Initial version of article
- 12 Dec - In Data Buffet, description corrected for RCI%POR10YFEDUD.IUSA
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