The United States Recession Prediction Model 2.0

Charts will have a standard time frame of the past five years, but the are interactive so you can shrink or expand the time frame as you wish to zero in on data you want or to zoom out and get a wider historical picture

Data all comes from the fantastic St Louis Federal Reserve FRED Database and  I have removed dates  from Citations as the data is updated daily.


Leading Indicators

Average weekly hours (manufacturing)

Context:

The average working week for those working in manufacturing is between 40 and 41 hours per week. A decline below 40 tends to lead to job losses.

Citation:

U.S. Bureau of Labor Statistics, Average Weekly Hours of All Employees: Manufacturing [AWHAEMAN], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/AWHAEMAN

Average weekly jobless claims for unemployment insurance

Context:

The averaged number of people filing for unemployment insurance, an upwards trend in this number indicates a slowing job market.

Citation:

U.S. Employment and Training Administration, 4-Week Moving Average of Initial Claims [IC4WSA], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/IC4WSA

Manufacturers' new orders for consumer goods/materials

Context:

If this number is declining, consumer demand for goods is dropping off.

Citation:

U.S. Census Bureau, Value of Manufacturers' New Orders for Consumer Goods: Consumer Durable Goods Industries [ACDGNO], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/ACDGNO

ISM New Order Index

Context:

FRED doesn't have the ISM figures, Trading View does, so this graph looks a little different from the rest. If the index drops below 50, orders have decreased and orders are slowing down.

Citation:

ISM MANUFACTURING INDEX for the United States [ISM:MAN_PMI], retrieved from Trading View; https://www.tradingview.com/symbols/ISM-MAN_PMI/

Manufacturers' new orders for non-defense capital goods

Context:

This is the same as Manufacturers' new orders for consumer goods/materials index, but it also includes aircraft perchance and like, the other index, a decline in this graph is indicative of a slow down in orders of goods.

Citation:

U.S. Census Bureau, Manufacturers' New Orders: Nondefense Capital Goods Excluding Aircraft [NEWORDER], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/NEWORDER

Building permits, new private housing units

Context:

If this index is trending down, construction activity is dropping. Construction generally leads to other forms of economic production and activity so a long term downward trend is indicative of a recession.

Citation:

U.S. Census Bureau and U.S. Department of Housing and Urban Development, New Private Housing Units Authorized by Building Permits [PERMIT], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/PERMIT

Stock prices of common stocks

Context:

A decreasing price curve shows a board economic slowdown.

Citation:

S&P Dow Jones Indices LLC, S&P 500 [SP500], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/SP500

Interest rate spread/The Yield Curve

Context:

If it is below the black line, or inverted, it shows that investors are not confident they will make a return in the short term, be that three months or two years.

Citation:

Federal Reserve Bank of St. Louis, 10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity [T10Y3M], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/T10Y3M

Citation:

Federal Reserve Bank of St. Louis, 10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity [T10Y2Y], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/T10Y2Y

Consumer Confidence Index

Context:

If it is trending down, consumers are not confident in the future.

Citation:

University of Michigan, University of Michigan: Consumer Sentiment [UMCSENT], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/UMCSENT


Coincidental Indicators

Employees on nonagricultural payrolls or Net Employment

Context:

When trending down, more people are being fired rather than hired.

Citation:

U.S. Bureau of Labor Statistics, All Employees: Total Nonfarm Payrolls [PAYEMS], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/PAYEMS

Personal income less transfer payments

Context:

Income levels help determine both aggregate spending the general health of the economy, so trending up is healthy while trending down or flattening to, or below inflation is not as wage growth will have stopped.

Citation:

U.S. Bureau of Economic Analysis, Real personal income excluding current transfer receipts [W875RX1], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/W875RX1

Index of industrial production

Context:

A drop in this number is indicative of a slowdown in the economy.

Citation:

Board of Governors of the Federal Reserve System (US), Industrial Production Index [INDPRO], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/INDPRO

Manufacturing and trade sales

Context:

A drop off in business to business spending is indicative of reduced investment due to low confidence in the economy.

Citation:

Federal Reserve Bank of St. Louis, Real Manufacturing and Trade Industries Sales [CMRMTSPL], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/CMRMTSPL


Lagging Indicators

Average duration of unemployment

Context:

This index is inverted and thus when the trend is downwards, people are spending less time unemployed whereas if it is trending up, people are spending more and more time unemployed.

Citation:

U.S. Bureau of Labor Statistics, Average (Mean) Duration of Unemployment [UEMPMEAN], retrieved from FRED, Federal Reserve Bank of St. Louis


Market Indicators

Over Night Indexed Swaps

Context:

The TED Spread or TED Rate is a measure of credit risk. Evidence suggests that a TED Spread above 48 is indicative of an economic crisis.

Citation:

Federal Reserve Bank of St. Louis, TED Spread [TEDRATE], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/TEDRATE

High Yield Bond Spread/Junk Bond Spread

Context:

A large spread shows that investors are demanding a premium for investing in lower quality bonds and this is another measure of credit risk but can also show a markets risk tolerance as shows the difference in premium investors are demanding vs T-Bills.

Citation:

ICE Benchmark Administration Limited (IBA), ICE BofAML US High Yield Master II Option-Adjusted Spread [BAMLH0A0HYM2], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLH0A0HYM2

Market Volatility indicators

Context:

VIX averages around 19 in the long run and any number exceeding 25 at present is seen as the market being extremely volatile.

Citation:

Chicago Board Options Exchange, CBOE Volatility Index: VIX [VIXCLS], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/VIXCLS, August 14, 2019.

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