GDP-Based Recession Indicator Index
Developed by Marcelle Chauvet and James Hamilton. A mechanistic index that analyses GDP data to evaluate economic direction, maintained by the Federal Reserve Bank of St. Louis.
Current Reading
2.1%
GDP-based recession indicator at 2.1%. Well below the 67% recession threshold.
Recession signal: above 67%. Currently far below threshold.
How It Works
Rather than relying on subjective interpretations like the NBER approach, this index uses a mathematical model based purely on GDP trends. It updates quarterly using data from one quarter post-analysis, reducing delays from data revisions.
Key Thresholds
- Above 67%: Signals likely recession onset
- Below 33%: Indicates likely recession conclusion
Historical Pattern
Analysis of previous recessions shows the progression from low single-digit percentages to above-threshold levels typically requires 2 to 6 quarters, providing roughly six months' advance notice from minimum values.
Key Distinction
Unlike subjective recession dating that may take years to confirm, this index provides real-time, data-driven probability assessments anchored exclusively to contemporaneous GDP information.
Data Source
FRED series: JHGDPBRINDX. Updated quarterly.
Credit
Developed by economists Marcelle Chauvet and James Hamilton.