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Finance and Economics Discussion Series: Data for FEDS Paper 201232 ♣

A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy

Marcelle Chauvet and Zeynep Senyuz

Figure 1: Empirical Proxies for the Level Slope and Curvature of the Yield Curve and NBER dated recessions

Date Level Curvature Slope NBER
1971-09 5.506 0.383 1.503 0
1971-10 5.226 0.133 1.487 0
1971-11 5.067 -0.123 1.735 0
1971-12 4.998 -0.166 2.031 0
1972-01 4.725 0.061 2.669 0
1972-02 4.724 0.346 2.932 0
1972-03 5.023 0.492 2.422 0
1972-04 5.171 1.049 2.573 0
1972-05 4.996 0.453 2.461 0
1972-06 5.116 0.541 2.232 0
1972-07 5.179 0.825 2.124 0
1972-08 5.230 0.651 2.204 0
1972-09 5.628 0.458 1.783 0
1972-10 5.630 0.619 1.574 0
1972-11 5.564 0.369 1.445 0
1972-12 5.696 0.217 1.179 0
1973-01 5.937 0.450 0.905 0
1973-02 6.160 0.708 0.885 0
1973-03 6.470 0.885 0.466 0
1973-04 6.492 0.596 0.266 0
1973-05 6.582 0.493 0.280 0
1973-06 6.865 -0.121 -0.610 0
1973-07 7.514 0.250 -1.076 0
1973-08 7.930 0.193 -1.544 0
1973-09 7.523 -0.427 -1.393 0
1973-10 6.908 -0.261 -0.538 0
1973-11 7.156 -0.498 -1.182 0
1973-12 6.947 -0.510 -0.837 1
1974-01 7.172 -0.788 -0.933 1
1974-02 6.856 -0.828 -0.253 1
1974-03 7.447 -0.544 -0.846 1
1974-04 7.940 0.133 -0.825 1
1974-05 8.032 0.633 -0.606 1
1974-06 7.870 0.642 -0.274 1
1974-07 7.865 1.462 0.143 1
1974-08 8.562 0.231 -0.872 1
1974-09 8.132 0.562 -0.043 1
1974-10 7.627 0.711 0.096 1
1974-11 7.444 0.086 -0.080 1
1974-12 7.130 -0.255 0.045 1
1975-01 6.821 0.396 0.990 1
1975-02 6.331 -0.104 1.696 1
1975-03 6.416 0.045 1.837 1
1975-04 6.927 1.247 2.218 1
1975-05 6.632 0.920 2.497 0
1975-06 6.544 0.565 2.220 0
1975-07 7.056 0.961 1.531 0
1975-08 7.409 1.333 1.493 0
1975-09 7.463 1.376 1.627 0
1975-10 7.087 0.844 1.972 0
1975-11 6.790 0.677 2.393 0
1975-12 6.760 0.904 2.338 0
1976-01 6.327 0.537 2.736 0
1976-02 6.355 0.664 2.728 0
1976-03 6.437 0.897 2.575 0
1976-04 6.242 0.556 2.580 0
1976-05 6.588 0.949 2.460 0
1976-06 6.669 0.827 2.242 0
1976-07 6.536 0.590 2.414 0
1976-08 6.415 0.305 2.448 0
1976-09 6.293 0.082 2.399 0
1976-10 6.078 -0.406 2.451 0
1976-11 5.918 -0.455 2.487 0
1976-12 5.516 -0.478 2.491 0
1977-01 5.856 0.060 2.451 0
1977-02 5.995 0.185 2.588 0
1977-03 5.995 0.166 2.734 0
1977-04 5.911 0.008 2.738 0
1977-05 6.172 0.014 2.419 0
1977-06 6.100 -0.177 2.220 0
1977-07 6.202 -0.101 2.057 0
1977-08 6.420 0.260 1.773 0
1977-09 6.547 0.130 1.431 0
1977-10 6.841 0.405 1.228 0
1977-11 6.842 0.419 1.343 0
1977-12 6.890 0.415 1.502 0
1978-01 7.207 0.413 1.397 0
1978-02 7.249 0.430 1.456 0
1978-03 7.194 0.627 1.599 0
1978-04 7.279 0.924 1.670 0
1978-05 7.451 1.247 1.666 0
1978-06 7.681 1.204 1.500 0
1978-07 7.916 1.245 1.396 0
1978-08 7.804 1.095 1.082 0
1978-09 8.107 0.579 0.321 0
1978-10 8.310 0.859 0.353 0
1978-11 8.754 1.249 -0.189 0
1978-12 9.067 1.205 -0.427 0
1979-01 9.245 1.203 -0.611 0
1979-02 9.128 0.649 -0.601 0
1979-03 9.223 0.567 -0.704 0
1979-04 9.236 0.500 -0.615 0
1979-05 9.298 0.333 -0.735 0
1979-06 8.844 0.113 -0.470 0
1979-07 8.889 -0.137 -0.656 0
1979-08 9.108 -0.004 -0.822 0
1979-09 9.656 0.238 -1.288 0
1979-10 10.849 0.462 -1.856 0
1979-11 11.052 0.404 -1.611 0
1979-12 10.918 -0.588 -2.047 0
1980-01 11.130 -0.541 -1.561 0
1980-02 12.478 0.709 -1.001 1
1980-03 13.755 1.146 -3.273 1
1980-04 12.019 -0.524 -2.188 1
1980-05 9.288 -0.261 1.503 1
1980-06 8.403 0.458 2.513 1
1980-07 8.983 -0.219 1.919 1
1980-08 10.072 0.669 1.661 1
1980-09 10.907 1.113 0.904 0
1980-10 11.577 0.364 -0.206 0
1980-11 12.886 -0.120 -1.649 0
1980-12 13.626 -1.075 -3.370 0
1981-01 13.143 -1.951 -3.103 0
1981-02 13.449 -1.283 -2.254 0
1981-03 12.954 -0.327 -0.702 0
1981-04 13.374 0.071 -0.655 0
1981-05 14.717 -0.342 -3.053 0
1981-06 13.700 0.053 -2.078 0
1981-07 14.255 0.682 -1.616 0
1981-08 14.904 1.291 -1.643 1
1981-09 14.894 2.045 -0.294 1
1981-10 14.236 1.682 0.831 1
1981-11 12.061 1.207 2.000 1
1981-12 12.312 1.861 2.303 1
1982-01 13.446 1.804 1.731 1
1982-02 13.792 0.954 0.306 1
1982-03 13.115 1.189 0.473 1
1982-04 13.120 1.496 0.341 1
1982-05 12.734 1.420 0.815 1
1982-06 13.276 1.594 1.080 1
1982-07 12.646 2.088 1.895 1
1982-08 11.083 2.950 3.823 1
1982-09 10.458 3.407 3.941 1
1982-10 9.603 1.818 3.179 1
1982-11 9.464 0.923 2.481 1
1982-12 9.363 0.656 2.627 1
1983-01 9.238 0.127 2.714 0
1983-02 9.477 0.240 2.655 0
1983-03 9.446 0.037 2.179 0
1983-04 9.341 0.149 2.212 0
1983-05 9.294 -0.077 2.234 0
1983-06 9.841 0.268 2.012 0
1983-07 10.288 0.507 2.246 0
1983-08 10.613 0.573 2.355 0
1983-09 10.349 0.493 2.533 0
1983-10 10.123 0.438 2.820 0
1983-11 10.214 0.363 2.788 0
1983-12 10.393 0.389 2.657 0
1984-01 10.260 0.336 2.607 0
1984-02 10.394 0.200 2.541 0
1984-03 10.861 0.272 2.590 0
1984-04 11.124 0.514 2.696 0
1984-05 11.646 1.126 3.256 0
1984-06 11.859 1.883 3.351 0
1984-07 11.859 1.697 2.912 0
1984-08 11.614 1.151 1.904 0
1984-09 11.442 1.178 1.752 0
1984-10 10.953 1.088 2.063 0
1984-11 10.142 0.840 2.783 0
1984-12 9.839 0.658 3.338 0
1985-01 9.647 0.601 3.573 0
1985-02 9.889 0.341 3.124 0
1985-03 10.255 0.761 3.216 0
1985-04 9.760 0.486 3.459 0
1985-05 9.218 0.130 3.432 0
1985-06 8.589 -0.037 3.290 0
1985-07 8.715 -0.158 3.323 0
1985-08 8.803 0.036 3.313 0
1985-09 8.815 0.051 3.413 0
1985-10 8.760 -0.068 3.222 0
1985-11 8.538 -0.326 2.705 0
1985-12 8.216 -0.411 2.370 0
1986-01 8.178 -0.241 2.296 0
1986-02 7.953 -0.208 1.855 0
1986-03 7.261 -0.041 1.415 0
1986-04 6.775 0.034 1.420 0
1986-05 7.084 0.215 1.796 0
1986-06 7.212 0.213 1.934 0
1986-07 6.774 -0.070 1.911 0
1986-08 6.489 -0.396 2.050 0
1986-09 6.495 -0.379 2.696 0
1986-10 6.433 -0.539 2.685 0
1986-11 6.400 -0.596 2.298 0
1986-12 6.399 -0.575 1.930 0
1987-01 6.334 -0.461 1.961 0
1987-02 6.470 -0.399 1.894 0
1987-03 6.460 -0.304 1.841 0
1987-04 6.932 0.199 2.517 0
1987-05 7.338 1.002 3.023 0
1987-06 7.210 0.740 2.832 0
1987-07 7.177 0.289 2.877 0
1987-08 7.466 0.207 2.783 0
1987-09 8.018 0.556 3.050 0
1987-10 7.991 1.009 3.385 0
1987-11 7.410 0.656 3.222 0
1987-12 7.535 0.629 3.321 0
1988-01 7.384 0.372 3.025 0
1988-02 7.057 0.027 2.785 0
1988-03 7.155 0.017 2.905 0
1988-04 7.435 0.103 3.016 0
1988-05 7.785 0.237 2.972 0
1988-06 7.782 0.361 2.524 0
1988-07 8.005 0.343 2.435 0
1988-08 8.274 0.561 2.242 0
1988-09 8.182 0.388 1.755 0
1988-10 8.125 0.212 1.480 0
1988-11 8.391 0.293 1.164 0
1988-12 8.654 0.740 0.921 0
1989-01 8.736 0.740 0.685 0
1989-02 8.903 0.784 0.484 0
1989-03 9.157 1.054 0.322 0
1989-04 8.977 0.917 0.348 0
1989-05 8.681 0.524 0.327 0
1989-06 8.216 0.142 0.084 0
1989-07 7.863 -0.467 0.121 0
1989-08 7.989 0.060 0.157 0
1989-09 7.996 0.299 0.393 0
1989-10 7.837 0.080 0.368 0
1989-11 7.738 -0.208 0.166 0
1989-12 7.697 -0.116 0.172 0
1990-01 7.920 0.106 0.525 0
1990-02 8.120 0.260 0.674 0
1990-03 8.278 0.446 0.607 0
1990-04 8.334 0.635 0.917 0
1990-05 8.291 0.490 0.938 0
1990-06 8.115 0.200 0.703 0
1990-07 8.032 -0.012 0.828 0
1990-08 8.052 -0.299 1.303 1
1990-09 8.095 -0.330 1.581 1
1990-10 7.906 -0.325 1.579 1
1990-11 7.664 -0.448 1.356 1
1990-12 7.382 -0.325 1.393 1
1991-01 7.169 -0.277 1.990 1
1991-02 6.904 -0.381 2.054 1
1991-03 7.047 -0.130 2.317 1
1991-04 6.901 -0.089 2.532 1
1991-05 6.827 -0.200 2.801 0
1991-06 7.006 0.006 2.870 0
1991-07 6.962 -0.140 2.812 0
1991-08 6.609 -0.681 2.785 0
1991-09 6.418 -0.797 2.661 0
1991-10 6.211 -0.981 2.769 0
1991-11 5.957 -1.198 3.193 0
1991-12 5.543 -1.462 3.432 0
1992-01 5.422 -1.297 3.676 0
1992-02 5.588 -1.083 3.857 0
1992-03 5.826 -0.449 3.722 0
1992-04 5.616 -0.841 4.012 0
1992-05 5.498 -0.965 4.058 0
1992-06 5.431 -1.182 3.936 0
1992-07 4.977 -1.772 4.125 0
1992-08 4.821 -1.781 3.976 0
1992-09 4.623 -2.028 4.103 0
1992-10 4.713 -1.698 4.272 0
1992-11 5.005 -1.150 4.134 0
1992-12 5.018 -0.990 3.926 0
1993-01 4.798 -1.246 4.011 0
1993-02 4.569 -1.426 3.752 0
1993-03 4.447 -1.513 3.498 0
1993-04 4.380 -1.624 3.561 0
1993-05 4.445 -1.503 3.472 0
1993-06 4.488 -1.033 3.179 0
1993-07 4.388 -0.987 3.025 0
1993-08 4.327 -1.020 2.954 0
1993-09 4.145 -0.946 2.705 0
1993-10 4.155 -0.944 2.585 0
1993-11 4.399 -0.845 2.879 0
1993-12 4.409 -0.737 2.944 0
1994-01 4.348 -0.762 2.991 0
1994-02 4.628 -0.585 2.951 0
1994-03 5.063 -0.223 3.200 0
1994-04 5.459 0.257 3.471 0
1994-05 5.788 0.415 3.158 0
1994-06 5.740 0.381 3.074 0
1994-07 5.933 0.375 3.081 0
1994-08 5.971 0.397 2.849 0
1994-09 6.154 0.395 2.937 0
1994-10 6.461 0.542 2.842 0
1994-11 6.762 0.868 2.655 0
1994-12 6.953 1.621 2.165 0
1995-01 6.961 1.341 2.055 0
1995-02 6.747 0.775 1.696 0
1995-03 6.553 0.360 1.525 0
1995-04 6.411 0.157 1.469 0
1995-05 6.146 -0.182 1.012 0
1995-06 5.801 -0.407 0.798 0
1995-07 5.844 -0.327 0.957 0
1995-08 5.964 -0.158 1.181 0
1995-09 5.775 -0.111 1.027 0
1995-10 5.681 -0.089 0.831 0
1995-11 5.603 -0.471 0.642 0
1995-12 5.411 -0.359 0.662 0
1996-01 5.282 -0.599 0.763 0
1996-02 5.253 -0.798 1.112 0
1996-03 5.656 -0.159 1.446 0
1996-04 5.831 0.187 1.700 0
1996-05 5.954 0.209 1.798 0
1996-06 6.091 0.429 1.858 0
1996-07 6.078 0.407 1.719 0
1996-08 5.885 0.232 1.592 0
1996-09 6.041 0.365 1.781 0
1996-10 5.805 0.127 1.588 0
1996-11 5.639 -0.016 1.222 0
1996-12 5.652 0.193 1.420 0
1997-01 5.849 0.243 1.557 0
1997-02 5.757 0.165 1.438 0
1997-03 6.005 0.384 1.601 0
1997-04 6.149 0.647 1.762 0
1997-05 5.993 0.591 1.688 0
1997-06 5.832 0.560 1.617 0
1997-07 5.714 0.309 1.226 0
1997-08 5.797 0.223 1.239 0
1997-09 5.694 0.393 1.357 0
1997-10 5.610 0.347 1.164 0
1997-11 5.586 0.272 0.802 0
1997-12 5.558 0.337 0.683 0
1998-01 5.329 -0.020 0.586 0
1998-02 5.389 -0.016 0.603 0
1998-03 5.434 0.242 0.727 0
1998-04 5.408 0.355 0.798 0
1998-05 5.442 0.338 0.771 0
1998-06 5.357 0.385 0.626 0
1998-07 5.317 0.354 0.596 0
1998-08 5.195 0.216 0.518 0
1998-09 4.780 -0.144 0.389 0
1998-10 4.352 -0.310 0.888 0
1998-11 4.703 -0.237 0.665 0
1998-12 4.626 -0.218 0.545 0
1999-01 4.688 -0.118 0.735 0
1999-02 4.888 -0.007 0.898 0
1999-03 5.020 0.075 1.136 0
1999-04 4.913 0.117 1.206 0
1999-05 5.175 0.109 1.313 0
1999-06 5.434 0.423 1.586 0
1999-07 5.374 0.350 1.532 0
1999-08 5.541 0.293 1.544 0
1999-09 5.533 0.267 1.617 0
1999-10 5.724 0.281 1.635 0
1999-11 5.730 0.238 1.240 0
1999-12 5.928 0.352 1.338 0
2000-01 6.149 0.632 1.448 0
2000-02 6.222 0.893 1.047 0
2000-03 6.177 0.805 0.705 0
2000-04 6.042 0.795 0.498 0
2000-05 6.354 1.112 0.758 0
2000-06 6.117 0.972 0.530 0
2000-07 6.132 0.507 0.175 0
2000-08 6.078 0.331 -0.134 0
2000-09 6.000 0.041 -0.014 0
2000-10 5.961 -0.233 -0.221 0
2000-11 5.947 -0.308 -0.343 0
2000-12 5.512 -0.474 -0.357 0
2001-01 5.111 -0.921 0.230 0
2001-02 4.973 -0.852 0.471 0
2001-03 4.660 -0.884 0.776 0
2001-04 4.518 -0.822 1.571 1
2001-05 4.522 -0.670 2.027 1
2001-06 4.399 -0.754 2.070 1
2001-07 4.361 -0.856 1.987 1
2001-08 4.151 -1.083 1.943 1
2001-09 3.655 -1.452 2.515 1
2001-10 3.304 -1.574 2.814 1
2001-11 3.248 -1.283 3.184 1
2001-12 3.443 -0.993 3.837 0
2002-01 3.373 -1.047 3.796 0
2002-02 3.364 -1.071 3.626 0
2002-03 3.669 -0.476 3.917 0
2002-04 3.567 -0.543 3.876 0
2002-05 3.494 -0.777 3.787 0
2002-06 3.315 -1.060 3.584 0
2002-07 3.079 -1.696 3.364 0
2002-08 2.806 -2.083 3.067 0
2002-09 2.634 -1.983 2.669 0
2002-10 2.634 -2.147 2.823 0
2002-11 2.547 -1.832 3.245 0
2002-12 2.497 -1.973 3.273 0
2003-01 2.460 -2.121 3.288 0
2003-02 2.364 -2.185 3.117 0
2003-03 2.301 -2.136 3.054 0
2003-04 2.363 -2.156 3.184 0
2003-05 2.118 -2.133 2.808 0
2003-06 1.927 -2.103 2.715 0
2003-07 2.233 -2.192 3.396 0
2003-08 2.552 -2.006 3.872 0
2003-09 2.419 -2.160 3.678 0
2003-10 2.429 -2.032 3.696 0
2003-11 2.486 -1.695 3.677 0
2003-12 2.452 -1.673 3.662 0
2004-01 2.353 -1.812 3.550 0
2004-02 2.342 -1.832 3.435 0
2004-03 2.202 -1.906 3.160 0
2004-04 2.556 -1.410 3.702 0
2004-05 2.862 -0.929 3.994 0
2004-06 3.016 -0.739 3.738 0
2004-07 2.908 -0.814 3.427 0
2004-08 2.838 -1.045 3.065 0
2004-09 2.838 -1.019 2.715 0
2004-10 2.884 -0.974 2.573 0
2004-11 3.105 -0.793 2.334 0
2004-12 3.202 -0.604 2.225 0
2005-01 3.301 -0.285 2.037 0
2005-02 3.395 -0.084 1.738 0
2005-03 3.690 0.084 1.871 0
2005-04 3.624 0.067 1.666 0
2005-05 3.565 0.161 1.397 0
2005-06 3.554 0.187 1.106 0
2005-07 3.775 0.265 1.022 0
2005-08 3.930 0.291 0.883 0
2005-09 3.874 0.155 0.856 0
2005-10 4.172 0.282 0.831 0
2005-11 4.303 0.261 0.759 0
2005-12 4.274 0.330 0.658 0
2006-01 4.361 0.023 0.234 0
2006-02 4.560 0.224 0.185 0
2006-03 4.670 0.142 0.273 0
2006-04 4.834 0.081 0.441 0
2006-05 4.937 -0.010 0.437 0
2006-06 5.003 0.231 0.349 0
2006-07 5.045 0.108 0.154 0
2006-08 4.910 -0.138 -0.054 0
2006-09 4.765 -0.130 -0.047 0
2006-10 4.810 -0.182 -0.158 0
2006-11 4.748 -0.197 -0.318 0
2006-12 4.689 -0.211 -0.252 0
2007-01 4.862 -0.127 -0.193 0
2007-02 4.859 -0.210 -0.272 0
2007-03 4.707 -0.445 -0.318 0
2007-04 4.755 -0.323 -0.122 0
2007-05 4.748 -0.052 0.054 0
2007-06 4.898 0.141 0.529 0
2007-07 4.887 -0.311 0.237 0
2007-08 4.435 -0.384 0.598 0
2007-09 4.183 -0.511 0.756 0
2007-10 4.167 -0.655 0.752 0
2007-11 3.650 -0.949 1.076 0
2007-12 3.477 -1.158 1.341 1
Return to Figure 1

Figure 2 : The Term Spread and NBER dated Recessions

Date Factor NBER
1953M04 0.64 0
1953M05 0.89 0
1953M06 1 0
1953M07 0.89 1
1953M08 0.91 1
1953M09 1.08 1
1953M10 1.28 1
1953M11 1.24 1
1953M12 0.99 1
1954M01 1.3 1
1954M02 1.5 1
1954M03 1.34 1
1954M04 1.32 1
1954M05 1.61 1
1954M06 1.74 0
1954M07 1.58 0
1954M08 1.44 0
1954M09 1.37 0
1954M10 1.45 0
1954M11 1.55 0
1954M12 1.36 0
1955M01 1.39 0
1955M02 1.48 0
1955M03 1.4 0
1955M04 1.16 0
1955M05 1.31 0
1955M06 1.37 0
1955M07 1.3 0
1955M08 1.07 0
1955M09 0.9 0
1955M10 0.65 0
1955M11 0.65 0
1955M12 0.42 0
1956M01 0.49 0
1956M02 0.52 0
1956M03 0.71 0
1956M04 0.58 0
1956M05 0.46 0
1956M06 0.51 0
1956M07 0.8 0
1956M08 0.73 0
1956M09 0.54 0
1956M10 0.44 0
1956M11 0.5 0
1956M12 0.38 0
1957M01 0.35 0
1957M02 0.24 0
1957M03 0.33 0
1957M04 0.41 0
1957M05 0.54 0
1957M06 0.51 0
1957M07 0.77 0
1957M08 0.56 1
1957M09 0.39 1
1957M10 0.39 1
1957M11 0.41 1
1957M12 0.17 1
1958M01 0.65 1
1958M02 1.52 1
1958M03 1.68 1
1958M04 1.75 1
1958M05 2.01 0
1958M06 2.14 0
1958M07 2.29 0
1958M08 1.85 0
1958M09 1.32 0
1958M10 1.17 0
1958M11 1.07 0
1958M12 1.09 0
1959M01 1.2 0
1959M02 1.26 0
1959M03 1.19 0
1959M04 1.17 0
1959M05 1.47 0
1959M06 1.13 0
1959M07 1.2 0
1959M08 1.05 0
1959M09 0.64 0
1959M10 0.48 0
1959M11 0.38 0
1959M12 0.2 0
1960M01 0.37 0
1960M02 0.53 0
1960M03 0.94 0
1960M04 1.05 1
1960M05 1.06 1
1960M06 1.69 1
1960M07 1.6 1
1960M08 1.5 1
1960M09 1.32 1
1960M10 1.59 1
1960M11 1.56 1
1960M12 1.59 1
1961M01 1.6 1
1961M02 1.36 1
1961M03 1.35 0
1961M04 1.49 0
1961M05 1.42 0
1961M06 1.55 0
1961M07 1.68 0
1961M08 1.65 0
1961M09 1.7 0
1961M10 1.62 0
1961M11 1.46 0
1961M12 1.46 0
1962M01 1.36 0
1962M02 1.31 0
1962M03 1.21 0
1962M04 1.11 0
1962M05 1.18 0
1962M06 1.18 0
1962M07 1.09 0
1962M08 1.16 0
1962M09 1.2 0
1962M10 1.19 0
1962M11 1.09 0
1962M12 0.99 0
1963M01 0.92 0
1963M02 1 0
1963M03 1.04 0
1963M04 1.07 0
1963M05 1 0
1963M06 1 0
1963M07 0.84 0
1963M08 0.68 0
1963M09 0.7 0
1963M10 0.66 0
1963M11 0.6 0
1963M12 0.61 0
1964M01 0.65 0
1964M02 0.62 0
1964M03 0.68 0
1964M04 0.76 0
1964M05 0.72 0
1964M06 0.69 0
1964M07 0.73 0
1964M08 0.69 0
1964M09 0.67 0
1964M10 0.62 0
1964M11 0.51 0
1964M12 0.34 0
1965M01 0.38 0
1965M02 0.28 0
1965M03 0.28 0
1965M04 0.27 0
1965M05 0.32 0
1965M06 0.41 0
1965M07 0.36 0
1965M08 0.41 0
1965M09 0.37 0
1965M10 0.32 0
1965M11 0.36 0
1965M12 0.24 0
1966M01 0.02 0
1966M02 0.18 0
1966M03 0.28 0
1966M04 0.13 0
1966M05 0.14 0
1966M06 0.31 0
1966M07 0.22 0
1966M08 0.26 0
1966M09 -0.19 0
1966M10 -0.34 0
1966M11 -0.16 0
1966M12 -0.12 0
1967M01 -0.14 0
1967M02 0.07 0
1967M03 0.28 0
1967M04 0.75 0
1967M05 1.25 0
1967M06 1.48 0
1967M07 0.95 0
1967M08 1.01 0
1967M09 0.88 0
1967M10 0.92 0
1967M11 1.02 0
1967M12 0.73 0
1968M01 0.53 0
1968M02 0.58 0
1968M03 0.57 0
1968M04 0.26 0
1968M05 0.21 0
1968M06 0.2 0
1968M07 0.19 0
1968M08 0.33 0
1968M09 0.27 0
1968M10 0.23 0
1968M11 0.25 0
1968M12 0.07 0
1969M01 -0.1 0
1969M02 0.07 0
1969M03 0.28 0
1969M04 0.06 0
1969M05 0.28 0
1969M06 0.13 0
1969M07 -0.28 0
1969M08 -0.29 0
1969M09 0.07 0
1969M10 0.1 0
1969M11 -0.1 0
1969M12 -0.17 1
1970M01 -0.08 1
1970M02 0.11 1
1970M03 0.44 1
1970M04 0.88 1
1970M05 1.07 1
1970M06 1.16 1
1970M07 1.01 1
1970M08 1.12 1
1970M09 1.27 1
1970M10 1.42 1
1970M11 1.56 1
1970M12 1.52 0
1971M01 1.8 0
1971M02 2.41 0
1971M03 2.32 0
1971M04 1.97 0
1971M05 2.25 0
1971M06 1.77 0
1971M07 1.33 0
1971M08 1.64 0
1971M09 1.45 0
1971M10 1.47 0
1971M11 1.59 0
1971M12 1.92 0
1972M01 2.57 0
1972M02 2.88 0
1972M03 2.34 0
1972M04 2.48 0
1972M05 2.44 0
1972M06 2.2 0
1972M07 2.13 0
1972M08 2.19 0
1972M09 1.89 0
1972M10 1.74 0
1972M11 1.5 0
1972M12 1.29 0
1973M01 1.05 0
1973M02 1.04 0
1973M03 0.62 0
1973M04 0.41 0
1973M05 0.49 0
1973M06 -0.29 0
1973M07 -0.88 0
1973M08 -1.27 0
1973M09 -1.2 0
1973M10 -0.43 0
1973M11 -1.1 0
1973M12 -0.71 1
1974M01 -0.78 1
1974M02 -0.16 1
1974M03 -0.75 1
1974M04 -0.82 1
1974M05 -0.65 1
1974M06 -0.36 1
1974M07 0.26 1
1974M08 -0.92 1
1974M09 -0.02 1
1974M10 0.44 1
1974M11 0.21 1
1974M12 0.28 1
1975M01 1.24 1
1975M02 1.89 1
1975M03 2.24 1
1975M04 2.62 1
1975M05 2.83 0
1975M06 2.52 0
1975M07 1.93 0
1975M08 1.96 0
1975M09 2.01 0
1975M10 2.18 0
1975M11 2.57 0
1975M12 2.56 0
1976M01 2.87 0
1976M02 2.91 0
1976M03 2.73 0
1976M04 2.7 0
1976M05 2.7 0
1976M06 2.45 0
1976M07 2.6 0
1976M08 2.63 0
1976M09 2.51 0
1976M10 2.49 0
1976M11 2.54 0
1976M12 2.52 0
1977M01 2.59 0
1977M02 2.72 0
1977M03 2.86 0
1977M04 2.83 0
1977M05 2.5 0
1977M06 2.26 0
1977M07 2.14 0
1977M08 1.91 0
1977M09 1.53 0
1977M10 1.36 0
1977M11 1.48 0
1977M12 1.62 0
1978M01 1.52 0
1978M02 1.58 0
1978M03 1.75 0
1978M04 1.86 0
1978M05 1.94 0
1978M06 1.73 0
1978M07 1.63 0
1978M08 1.33 0
1978M09 0.57 0
1978M10 0.65 0
1978M11 0.17 0
1978M12 -0.07 0
1979M01 -0.25 0
1979M02 -0.22 0
1979M03 -0.36 0
1979M04 -0.28 0
1979M05 -0.36 0
1979M06 -0.15 0
1979M07 -0.29 0
1979M08 -0.49 0
1979M09 -0.93 0
1979M10 -1.4 0
1979M11 -1.14 0
1979M12 -1.65 0
1980M01 -1.2 0
1980M02 -0.45 1
1980M03 -2.45 1
1980M04 -1.73 1
1980M05 1.6 1
1980M06 2.71 1
1980M07 2.19 1
1980M08 1.97 1
1980M09 1.24 0
1980M10 0.13 0
1980M11 -1.05 0
1980M12 -2.65 0
1981M01 -2.45 0
1981M02 -1.6 0
1981M03 -0.24 0
1981M04 -0.01 0
1981M05 -2.2 0
1981M06 -1.26 0
1981M07 -0.67 0
1981M08 -0.57 1
1981M09 0.62 1
1981M10 1.61 1
1981M11 2.53 1
1981M12 2.87 1
1982M01 2.31 1
1982M02 0.95 1
1982M03 1.18 1
1982M04 1.17 1
1982M05 1.53 1
1982M06 1.83 1
1982M07 2.6 1
1982M08 4.38 1
1982M09 4.42 1
1982M10 3.2 1
1982M11 2.48 1
1982M12 2.6 1
1983M01 2.6 0
1983M02 2.61 0
1983M03 2.16 0
1983M04 2.19 0
1983M05 2.19 0
1983M06 2.06 0
1983M07 2.3 0
1983M08 2.51 0
1983M09 2.65 0
1983M10 2.9 0
1983M11 2.93 0
1983M12 2.83 0
1984M01 2.77 0
1984M02 2.75 0
1984M03 2.8 0
1984M04 2.94 0
1984M05 3.58 0
1984M06 3.69 0
1984M07 3.24 0
1984M08 2.25 0
1984M09 2.15 0
1984M10 2.42 0
1984M11 2.96 0
1984M12 3.44 0
1985M01 3.62 0
1985M02 3.24 0
1985M03 3.34 0
1985M04 3.48 0
1985M05 3.37 0
1985M06 3.21 0
1985M07 3.23 0
1985M08 3.19 0
1985M09 3.27 0
1985M10 3.08 0
1985M11 2.54 0
1985M12 2.16 0
1986M01 2.12 0
1986M02 1.64 0
1986M03 1.22 0
1986M04 1.24 0
1986M05 1.56 0
1986M06 1.59 0
1986M07 1.47 0
1986M08 1.64 0
1986M09 2.24 0
1986M10 2.25 0
1986M11 1.9 0
1986M12 1.58 0
1987M01 1.65 0
1987M02 1.66 0
1987M03 1.66 0
1987M04 2.38 0
1987M05 2.95 0
1987M06 2.73 0
1987M07 2.76 0
1987M08 2.72 0
1987M09 3.02 0
1987M10 3.39 0
1987M11 3.17 0
1987M12 3.22 0
1988M01 2.86 0
1988M02 2.55 0
1988M03 2.67 0
1988M04 2.81 0
1988M05 2.83 0
1988M06 2.46 0
1988M07 2.33 0
1988M08 2.2 0
1988M09 1.74 0
1988M10 1.45 0
1988M11 1.2 0
1988M12 1.04 0
1989M01 0.82 0
1989M02 0.64 0
1989M03 0.54 0
1989M04 0.53 0
1989M05 0.43 0
1989M06 0.13 0
1989M07 0.14 0
1989M08 0.21 0
1989M09 0.44 0
1989M10 0.37 0
1989M11 0.18 0
1989M12 0.21 0
1990M01 0.57 0
1990M02 0.73 0
1990M03 0.69 0
1990M04 1.02 0
1990M05 1.02 0
1990M06 0.75 0
1990M07 0.85 0
1990M08 1.3 1
1990M09 1.53 1
1990M10 1.55 1
1990M11 1.33 1
1990M12 1.34 1
1991M01 1.87 1
1991M02 1.91 1
1991M03 2.2 1
1991M04 2.39 1
1991M05 2.61 0
1991M06 2.71 0
1991M07 2.69 0
1991M08 2.57 0
1991M09 2.43 0
1991M10 2.54 0
1991M11 2.86 0
1991M12 3.02 0
1992M01 3.23 0
1992M02 3.5 0
1992M03 3.5 0
1992M04 3.73 0
1992M05 3.76 0
1992M06 3.6 0
1992M07 3.63 0
1992M08 3.46 0
1992M09 3.51 0
1992M10 3.73 0
1992M11 3.74 0
1992M12 3.55 0
1993M01 3.6 0
1993M02 3.33 0
1993M03 3.03 0
1993M04 3.1 0
1993M05 3.08 0
1993M06 2.89 0
1993M07 2.77 0
1993M08 2.66 0
1993M09 2.41 0
1993M10 2.31 0
1993M11 2.62 0
1993M12 2.71 0
1994M01 2.77 0
1994M02 2.72 0
1994M03 2.98 0
1994M04 3.29 0
1994M05 3.04 0
1994M06 2.96 0
1994M07 2.97 0
1994M08 2.76 0
1994M09 2.84 0
1994M10 2.79 0
1994M11 2.67 0
1994M12 2.21 0
1995M01 2.07 0
1995M02 1.7 0
1995M03 1.47 0
1995M04 1.41 0
1995M05 0.96 0
1995M06 0.7 0
1995M07 0.86 0
1995M08 1.09 0
1995M09 0.92 0
1995M10 0.76 0
1995M11 0.57 0
1995M12 0.57 0
1996M01 0.65 0
1996M02 0.98 0
1996M03 1.31 0
1996M04 1.56 0
1996M05 1.72 0
1996M06 1.82 0
1996M07 1.72 0
1996M08 1.59 0
1996M09 1.74 0
1996M10 1.54 0
1996M11 1.17 0
1996M12 1.39 0
1997M01 1.55 0
1997M02 1.41 0
1997M03 1.55 0
1997M04 1.73 0
1997M05 1.66 0
1997M06 1.56 0
1997M07 1.17 0
1997M08 1.16 0
1997M09 1.26 0
1997M10 1.06 0
1997M11 0.74 0
1997M12 0.65 0
1998M01 0.5 0
1998M02 0.48 0
1998M03 0.62 0
1998M04 0.69 0
1998M05 0.65 0
1998M06 0.52 0
1998M07 0.5 0
1998M08 0.44 0
1998M09 0.2 0
1998M10 0.57 0
1998M11 0.42 0
1998M12 0.26 0
1999M01 0.38 0
1999M02 0.56 0
1999M03 0.79 0
1999M04 0.89 0
1999M05 1.04 0
1999M06 1.33 0
1999M07 1.24 0
1999M08 1.22 0
1999M09 1.24 0
1999M10 1.25 0
1999M11 0.96 0
1999M12 1.08 0
2000M01 1.34 0
2000M02 0.97 0
2000M03 0.57 0
2000M04 0.33 0
2000M05 0.65 0
2000M06 0.41 0
2000M07 0.09 0
2000M08 -0.26 0
2000M09 -0.2 0
2000M10 -0.37 0
2000M11 -0.45 0
2000M12 -0.53 0
2001M01 0.01 0
2001M02 0.22 0
2001M03 0.47 0
2001M04 1.27 1
2001M05 1.77 1
2001M06 1.79 1
2001M07 1.73 1
2001M08 1.61 1
2001M09 2.09 1
2001M10 2.41 1
2001M11 2.78 1
2001M12 3.4 0
2002M01 3.39 0
2002M02 3.18 0
2002M03 3.49 0
2002M04 3.49 0
2002M05 3.43 0
2002M06 3.23 0
2002M07 2.97 0
2002M08 2.64 0
2002M09 2.24 0
2002M10 2.36 0
2002M11 2.82 0
2002M12 2.84 0
2003M01 2.88 0
2003M02 2.73 0
2003M03 2.68 0
2003M04 2.83 0
2003M05 2.5 0
2003M06 2.41 0
2003M07 3.08 0
2003M08 3.5 0
2003M09 3.33 0
2003M10 3.37 0
2003M11 3.37 0
2003M12 3.37 0
2004M01 3.27 0
2004M02 3.15 0
2004M03 2.89 0
2004M04 3.41 0
2004M05 3.7 0
2004M06 3.46 0
2004M07 3.17 0
2004M08 2.8 0
2004M09 2.48 0
2004M10 2.34 0
2004M11 2.12 0
2004M12 2.04 0
2005M01 1.89 0
2005M02 1.63 0
2005M03 1.76 0
2005M04 1.56 0
2005M05 1.3 0
2005M06 1.03 0
2005M07 0.96 0
2005M08 0.82 0
2005M09 0.78 0
2005M10 0.75 0
2005M11 0.66 0
2005M12 0.58 0
2006M01 0.18 0
2006M02 0.14 0
2006M03 0.21 0
2006M04 0.39 0
2006M05 0.39 0
2006M06 0.32 0
2006M07 0.14 0
2006M08 -0.08 0
2006M09 -0.09 0
2006M10 -0.19 0
2006M11 -0.34 0
2006M12 -0.29 0
2007M01 -0.22 0
2007M02 -0.31 0
2007M03 -0.38 0
2007M04 -0.18 0
2007M05 0.02 0
2007M06 0.49 0
2007M07 0.18 0
2007M08 0.47 0
2007M09 0.63 0
2007M10 0.63 0
2007M11 0.88 0
2007M12 1.1 1
Return to Figure 2

Figure 3: Probability of Recession from Growth Rate of Industrial Production and NBER dated Recessions

Date Probability NBER
1971-09 0.0003 0
1971-10 0.0004 0
1971-11 0.0008 0
1971-12 0.0002 0
1972-01 0 0
1972-02 0.0002 0
1972-03 0.0004 0
1972-04 0.0004 0
1972-05 0.003 0
1972-06 0.0026 0
1972-07 0.0033 0
1972-08 0.0002 0
1972-09 0.0004 0
1972-10 0.0001 0
1972-11 0.0001 0
1972-12 0.0002 0
1973-01 0.0004 0
1973-02 0.0001 0
1973-03 0.0046 0
1973-04 0.0064 0
1973-05 0.0016 0
1973-06 0.003 0
1973-07 0.0023 0
1973-08 0.0048 0
1973-09 0.0008 0
1973-10 0.0019 0
1973-11 0.0142 0
1973-12 0.0882 1
1974-01 0.1528 1
1974-02 0.1488 1
1974-03 0.1255 1
1974-04 0.1233 1
1974-05 0.115 1
1974-06 0.2458 1
1974-07 0.4258 1
1974-08 0.7436 1
1974-09 0.7887 1
1974-10 0.9103 1
1974-11 1 1
1974-12 1 1
1975-01 0.9997 1
1975-02 0.9997 1
1975-03 0.9419 1
1975-04 0.4706 1
1975-05 0.2458 0
1975-06 0.0249 0
1975-07 0.0014 0
1975-08 0.0003 0
1975-09 0.0001 0
1975-10 0.0011 0
1975-11 0.0013 0
1975-12 0.0001 0
1976-01 0.0001 0
1976-02 0.0003 0
1976-03 0.0021 0
1976-04 0.0009 0
1976-05 0.0015 0
1976-06 0.0034 0
1976-07 0.001 0
1976-08 0.0007 0
1976-09 0.002 0
1976-10 0.0025 0
1976-11 0.0001 0
1976-12 0.0005 0
1977-01 0.0082 0
1977-02 0.0002 0
1977-03 0.0001 0
1977-04 0.0002 0
1977-05 0.0004 0
1977-06 0.0006 0
1977-07 0.0024 0
1977-08 0.0032 0
1977-09 0.0029 0
1977-10 0.0081 0
1977-11 0.0232 0
1977-12 0.0471 0
1978-01 0.1038 0
1978-02 0.0174 0
1978-03 0.0001 0
1978-04 0 0
1978-05 0.0009 0
1978-06 0.0007 0
1978-07 0.0032 0
1978-08 0.0019 0
1978-09 0.0017 0
1978-10 0.0005 0
1978-11 0.0007 0
1978-12 0.0034 0
1979-01 0.022 0
1979-02 0.0097 0
1979-03 0.0191 0
1979-04 0.0572 0
1979-05 0.0181 0
1979-06 0.0285 0
1979-07 0.0471 0
1979-08 0.0603 0
1979-09 0.028 0
1979-10 0.0152 0
1979-11 0.0289 0
1979-12 0.0443 0
1980-01 0.0776 0
1980-02 0.2616 1
1980-03 0.6606 1
1980-04 0.9961 1
1980-05 0.9999 1
1980-06 0.9847 1
1980-07 0.7953 1
1980-08 0.1529 1
1980-09 0.0016 0
1980-10 0.0001 0
1980-11 0.0001 0
1980-12 0.0054 0
1981-01 0.0385 0
1981-02 0.0397 0
1981-03 0.017 0
1981-04 0.0237 0
1981-05 0.0058 0
1981-06 0.0087 0
1981-07 0.0351 0
1981-08 0.2906 1
1981-09 0.7683 1
1981-10 0.9418 1
1981-11 0.9913 1
1981-12 0.9966 1
1982-01 0.9909 1
1982-02 0.4877 1
1982-03 0.8599 1
1982-04 0.9604 1
1982-05 0.9777 1
1982-06 0.9794 1
1982-07 0.9801 1
1982-08 0.9822 1
1982-09 0.9604 1
1982-10 0.9325 1
1982-11 0.795 1
1982-12 0.6087 1
1983-01 0.0122 0
1983-02 0.0183 0
1983-03 0.0015 0
1983-04 0.0002 0
1983-05 0.0004 0
1983-06 0.0007 0
1983-07 0.0001 0
1983-08 0.0001 0
1983-09 0.0001 0
1983-10 0.0004 0
1983-11 0.0013 0
1983-12 0.0009 0
1984-01 0 0
1984-02 0.0007 0
1984-03 0.0009 0
1984-04 0.0007 0
1984-05 0.001 0
1984-06 0.0017 0
1984-07 0.0032 0
1984-08 0.0068 0
1984-09 0.0099 0
1984-10 0.0095 0
1984-11 0.0051 0
1984-12 0.0071 0
1985-01 0.0109 0
1985-02 0.005 0
1985-03 0.008 0
1985-04 0.0144 0
1985-05 0.0143 0
1985-06 0.0181 0
1985-07 0.0276 0
1985-08 0.0089 0
1985-09 0.0052 0
1985-10 0.0105 0
1985-11 0.0036 0
1985-12 0.0014 0
1986-01 0.0149 0
1986-02 0.0873 0
1986-03 0.0926 0
1986-04 0.0492 0
1986-05 0.0285 0
1986-06 0.0232 0
1986-07 0.0064 0
1986-08 0.0078 0
1986-09 0.004 0
1986-10 0.0016 0
1986-11 0.001 0
1986-12 0.0006 0
1987-01 0.005 0
1987-02 0.0003 0
1987-03 0.0018 0
1987-04 0.0008 0
1987-05 0.0006 0
1987-06 0.0008 0
1987-07 0.0006 0
1987-08 0.0005 0
1987-09 0.0011 0
1987-10 0.0001 0
1987-11 0.0007 0
1987-12 0.0013 0
1988-01 0.0031 0
1988-02 0.0018 0
1988-03 0.002 0
1988-04 0.0016 0
1988-05 0.0043 0
1988-06 0.0032 0
1988-07 0.0032 0
1988-08 0.0027 0
1988-09 0.0077 0
1988-10 0.0025 0
1988-11 0.0031 0
1988-12 0.0038 0
1989-01 0.011 0
1989-02 0.0328 0
1989-03 0.035 0
1989-04 0.0637 0
1989-05 0.1121 0
1989-06 0.1013 0
1989-07 0.1097 0
1989-08 0.0179 0
1989-09 0.02 0
1989-10 0.0136 0
1989-11 0.0052 0
1989-12 0.003 0
1990-01 0.0104 0
1990-02 0.0013 0
1990-03 0.0025 0
1990-04 0.0107 0
1990-05 0.0147 0
1990-06 0.0274 0
1990-07 0.0762 0
1990-08 0.1304 1
1990-09 0.2955 1
1990-10 0.7967 1
1990-11 0.9352 1
1990-12 0.9325 1
1991-01 0.8913 1
1991-02 0.8161 1
1991-03 0.602 1
1991-04 0.1639 1
1991-05 0.0088 0
1991-06 0.0012 0
1991-07 0.0041 0
1991-08 0.0038 0
1991-09 0.0027 0
1991-10 0.0218 0
1991-11 0.0363 0
1991-12 0.0494 0
1992-01 0.0468 0
1992-02 0.0043 0
1992-03 0.0007 0
1992-04 0.0006 0
1992-05 0.0016 0
1992-06 0.0031 0
1992-07 0.0017 0
1992-08 0.0108 0
1992-09 0.0042 0
1992-10 0.001 0
1992-11 0.0016 0
1992-12 0.0031 0
1993-01 0.0015 0
1993-02 0.0025 0
1993-03 0.0052 0
1993-04 0.0055 0
1993-05 0.0124 0
1993-06 0.0057 0
1993-07 0.003 0
1993-08 0.0038 0
1993-09 0.0015 0
1993-10 0.0006 0
1993-11 0.0011 0
1993-12 0.001 0
1994-01 0.0014 0
1994-02 0.0025 0
1994-03 0.0003 0
1994-04 0.0008 0
1994-05 0.0007 0
1994-06 0.0007 0
1994-07 0.0019 0
1994-08 0.0012 0
1994-09 0.0015 0
1994-10 0.0004 0
1994-11 0.0005 0
1994-12 0.0003 0
1995-01 0.0023 0
1995-02 0.005 0
1995-03 0.0051 0
1995-04 0.0063 0
1995-05 0.0044 0
1995-06 0.0041 0
1995-07 0.0076 0
1995-08 0.0004 0
1995-09 0.0021 0
1995-10 0.0066 0
1995-11 0.0044 0
1995-12 0.0051 0
1996-01 0.0161 0
1996-02 0.0004 0
1996-03 0.0036 0
1996-04 0.0007 0
1996-05 0.0006 0
1996-06 0.0005 0
1996-07 0.0032 0
1996-08 0.001 0
1996-09 0.0011 0
1996-10 0.0026 0
1996-11 0.0005 0
1996-12 0.0007 0
1997-01 0.0019 0
1997-02 0.0002 0
1997-03 0.0005 0
1997-04 0.0026 0
1997-05 0.0008 0
1997-06 0.0009 0
1997-07 0.0007 0
1997-08 0.0001 0
1997-09 0.0003 0
1997-10 0.0005 0
1997-11 0.0003 0
1997-12 0.0012 0
1998-01 0.0015 0
1998-02 0.0038 0
1998-03 0.0039 0
1998-04 0.0022 0
1998-05 0.0036 0
1998-06 0.0269 0
1998-07 0.0234 0
1998-08 0.0002 0
1998-09 0.0051 0
1998-10 0.0017 0
1998-11 0.0041 0
1998-12 0.002 0
1999-01 0.0011 0
1999-02 0.0014 0
1999-03 0.0022 0
1999-04 0.0022 0
1999-05 0.0011 0
1999-06 0.0044 0
1999-07 0.0012 0
1999-08 0.0017 0
1999-09 0.006 0
1999-10 0.0002 0
1999-11 0.0006 0
1999-12 0.0005 0
2000-01 0.0027 0
2000-02 0.0015 0
2000-03 0.0015 0
2000-04 0.002 0
2000-05 0.0102 0
2000-06 0.0302 0
2000-07 0.074 0
2000-08 0.1107 0
2000-09 0.1426 0
2000-10 0.3578 0
2000-11 0.4885 0
2000-12 0.7308 0
2001-01 0.8901 0
2001-02 0.9322 0
2001-03 0.9446 0
2001-04 0.957 1
2001-05 0.9735 1
2001-06 0.9698 1
2001-07 0.9476 1
2001-08 0.9103 1
2001-09 0.8586 1
2001-10 0.7906 1
2001-11 0.6167 1
2001-12 0.2742 0
2002-01 0.0547 0
2002-02 0.0233 0
2002-03 0.0029 0
2002-04 0.002 0
2002-05 0.0011 0
2002-06 0.001 0
2002-07 0.0105 0
2002-08 0.0099 0
2002-09 0.0108 0
2002-10 0.0144 0
2002-11 0.0084 0
2002-12 0.0157 0
2003-01 0.0045 0
2003-02 0.0105 0
2003-03 0.035 0
2003-04 0.0609 0
2003-05 0.0314 0
2003-06 0.0139 0
2003-07 0.0055 0
2003-08 0.0054 0
2003-09 0.0016 0
2003-10 0.0026 0
2003-11 0.0008 0
2003-12 0.004 0
2004-01 0.003 0
2004-02 0.0037 0
2004-03 0.0147 0
2004-04 0.0044 0
2004-05 0.0042 0
2004-06 0.0257 0
2004-07 0.0044 0
2004-08 0.0034 0
2004-09 0.0037 0
2004-10 0.0006 0
2004-11 0.0015 0
2004-12 0.0006 0
2005-01 0.0011 0
2005-02 0.0014 0
2005-03 0.0066 0
2005-04 0.0073 0
2005-05 0.0059 0
2005-06 0.0097 0
2005-07 0.0001 0
2005-08 0.0001 0
2005-09 0.0001 0
2005-10 0.0001 0
2005-11 0.0004 0
2005-12 0.003 0
2006-01 0 0
2006-02 0.0001 0
2006-03 0.0015 0
2006-04 0.0192 0
2006-05 0.0003 0
2006-06 0.0011 0
2006-07 0.0037 0
2006-08 0.0078 0
2006-09 0.0079 0
2006-10 0.0009 0
2006-11 0.0023 0
2006-12 0.0011 0
2007-01 0.0026 0
2007-02 0.0019 0
2007-03 0.003 0
2007-04 0.0006 0
2007-05 0.0002 0
2007-06 0.0005 0
2007-07 0.0003 0
2007-08 0.0002 0
2007-09 0.0032 0
2007-10 0.0099 0
2007-11 0.004 0
2007-12 0.0004 0
Return to Figure 3

Figure 4: Level Probability of High Level State and NBER dated Recessions

Date Level Probability NBER
1971-09 5.506 0 0
1971-10 5.226 0 0
1971-11 5.067 0 0
1971-12 4.998 0 0
1972-01 4.725 0 0
1972-02 4.724 0 0
1972-03 5.023 0 0
1972-04 5.171 0 0
1972-05 4.996 0 0
1972-06 5.116 0 0
1972-07 5.179 0 0
1972-08 5.23 0 0
1972-09 5.628 0 0
1972-10 5.63 0 0
1972-11 5.564 0 0
1972-12 5.696 0 0
1973-01 5.937 0 0
1973-02 6.16 0 0
1973-03 6.47 0 0
1973-04 6.492 0 0
1973-05 6.582 0 0
1973-06 6.865 0.0001 0
1973-07 7.514 0.0003 0
1973-08 7.93 0.0004 0
1973-09 7.523 0.0003 0
1973-10 6.908 0.0001 0
1973-11 7.156 0.0001 0
1973-12 6.947 0.0001 1
1974-01 7.172 0.0003 1
1974-02 6.856 0.0008 1
1974-03 7.447 0.0038 1
1974-04 7.94 0.0094 1
1974-05 8.032 0.0135 1
1974-06 7.87 0.0158 1
1974-07 7.865 0.0176 1
1974-08 8.562 0.0188 1
1974-09 8.132 0.0154 1
1974-10 7.627 0.0087 1
1974-11 7.444 0.0037 1
1974-12 7.13 0.001 1
1975-01 6.821 0.0002 1
1975-02 6.331 0 1
1975-03 6.416 0 1
1975-04 6.927 0 1
1975-05 6.632 0 0
1975-06 6.544 0 0
1975-07 7.056 0.0001 0
1975-08 7.409 0.0001 0
1975-09 7.463 0.0001 0
1975-10 7.087 0.0001 0
1975-11 6.79 0 0
1975-12 6.76 0 0
1976-01 6.327 0 0
1976-02 6.355 0 0
1976-03 6.437 0 0
1976-04 6.242 0 0
1976-05 6.588 0 0
1976-06 6.669 0 0
1976-07 6.536 0 0
1976-08 6.415 0 0
1976-09 6.293 0 0
1976-10 6.078 0 0
1976-11 5.918 0 0
1976-12 5.516 0 0
1977-01 5.856 0 0
1977-02 5.995 0 0
1977-03 5.995 0 0
1977-04 5.911 0 0
1977-05 6.172 0 0
1977-06 6.1 0 0
1977-07 6.202 0 0
1977-08 6.42 0 0
1977-09 6.547 0 0
1977-10 6.841 0 0
1977-11 6.842 0.0001 0
1977-12 6.89 0.0004 0
1978-01 7.207 0.0018 0
1978-02 7.249 0.0059 0
1978-03 7.194 0.0172 0
1978-04 7.279 0.0508 0
1978-05 7.451 0.1375 0
1978-06 7.681 0.3017 0
1978-07 7.916 0.508 0
1978-08 7.804 0.6781 0
1978-09 8.107 0.8497 0
1978-10 8.31 0.9504 0
1978-11 8.754 0.9915 0
1978-12 9.067 0.9991 0
1979-01 9.245 0.9999 0
1979-02 9.128 1 0
1979-03 9.223 1 0
1979-04 9.236 1 0
1979-05 9.298 1 0
1979-06 8.844 1 0
1979-07 8.889 1 0
1979-08 9.108 1 0
1979-09 9.656 1 0
1979-10 10.849 1 0
1979-11 11.052 1 0
1979-12 10.918 1 0
1980-01 11.13 1 0
1980-02 12.478 1 1
1980-03 13.755 1 1
1980-04 12.019 1 1
1980-05 9.288 1 1
1980-06 8.403 1 1
1980-07 8.983 1 1
1980-08 10.072 1 1
1980-09 10.907 1 0
1980-10 11.577 1 0
1980-11 12.886 1 0
1980-12 13.626 1 0
1981-01 13.143 1 0
1981-02 13.449 1 0
1981-03 12.954 1 0
1981-04 13.374 1 0
1981-05 14.717 1 0
1981-06 13.7 1 0
1981-07 14.255 1 0
1981-08 14.904 1 1
1981-09 14.894 1 1
1981-10 14.236 1 1
1981-11 12.061 1 1
1981-12 12.312 1 1
1982-01 13.446 1 1
1982-02 13.792 1 1
1982-03 13.115 1 1
1982-04 13.12 1 1
1982-05 12.734 1 1
1982-06 13.276 1 1
1982-07 12.646 1 1
1982-08 11.083 1 1
1982-09 10.458 1 1
1982-10 9.603 1 1
1982-11 9.464 1 1
1982-12 9.363 1 1
1983-01 9.238 1 0
1983-02 9.477 1 0
1983-03 9.446 1 0
1983-04 9.341 1 0
1983-05 9.294 1 0
1983-06 9.841 1 0
1983-07 10.288 1 0
1983-08 10.613 1 0
1983-09 10.349 1 0
1983-10 10.123 1 0
1983-11 10.214 1 0
1983-12 10.393 1 0
1984-01 10.26 1 0
1984-02 10.394 1 0
1984-03 10.861 1 0
1984-04 11.124 1 0
1984-05 11.646 1 0
1984-06 11.859 1 0
1984-07 11.859 1 0
1984-08 11.614 1 0
1984-09 11.442 1 0
1984-10 10.953 1 0
1984-11 10.142 1 0
1984-12 9.839 1 0
1985-01 9.647 1 0
1985-02 9.889 1 0
1985-03 10.255 1 0
1985-04 9.76 1 0
1985-05 9.218 1 0
1985-06 8.589 1 0
1985-07 8.715 0.9999 0
1985-08 8.803 0.9999 0
1985-09 8.815 0.9993 0
1985-10 8.76 0.996 0
1985-11 8.538 0.9779 0
1985-12 8.216 0.9111 0
1986-01 8.178 0.7729 0
1986-02 7.953 0.5052 0
1986-03 7.261 0.1587 0
1986-04 6.775 0.0284 0
1986-05 7.084 0.0079 0
1986-06 7.212 0.0023 0
1986-07 6.774 0.0004 0
1986-08 6.489 0 0
1986-09 6.495 0 0
1986-10 6.433 0 0
1986-11 6.4 0 0
1986-12 6.399 0 0
1987-01 6.334 0 0
1987-02 6.47 0 0
1987-03 6.46 0 0
1987-04 6.932 0.0001 0
1987-05 7.338 0.0002 0
1987-06 7.21 0.0003 0
1987-07 7.177 0.0008 0
1987-08 7.466 0.0024 0
1987-09 8.018 0.0051 0
1987-10 7.991 0.0066 0
1987-11 7.41 0.0073 0
1987-12 7.535 0.0093 0
1988-01 7.384 0.0127 0
1988-02 7.057 0.0204 0
1988-03 7.155 0.0503 0
1988-04 7.435 0.1464 0
1988-05 7.785 0.3339 0
1988-06 7.782 0.5293 0
1988-07 8.005 0.7342 0
1988-08 8.274 0.8785 0
1988-09 8.182 0.9412 0
1988-10 8.125 0.9734 0
1988-11 8.391 0.9917 0
1988-12 8.654 0.9982 0
1989-01 8.736 0.9997 0
1989-02 8.903 0.9999 0
1989-03 9.157 1 0
1989-04 8.977 1 0
1989-05 8.681 0.9998 0
1989-06 8.216 0.9993 0
1989-07 7.863 0.9982 0
1989-08 7.989 0.9973 0
1989-09 7.996 0.9961 0
1989-10 7.837 0.9945 0
1989-11 7.738 0.9929 0
1989-12 7.697 0.9919 0
1990-01 7.92 0.9915 0
1990-02 8.12 0.9909 0
1990-03 8.278 0.9892 0
1990-04 8.334 0.9846 0
1990-05 8.291 0.9726 0
1990-06 8.115 0.944 0
1990-07 8.032 0.8945 0
1990-08 8.052 0.8207 1
1990-09 8.095 0.7067 1
1990-10 7.906 0.5163 1
1990-11 7.664 0.2897 1
1990-12 7.382 0.1146 1
1991-01 7.169 0 1
1991-02 6.904 0 1
1991-03 7.047 0 1
1991-04 6.901 0 1
1991-05 6.827 0 0
1991-06 7.006 0 0
1991-07 6.962 0 0
1991-08 6.609 0 0
1991-09 6.418 0 0
1991-10 6.211 0 0
1991-11 5.957 0 0
1991-12 5.543 0 0
1992-01 5.422 0 0
1992-02 5.588 0 0
1992-03 5.826 0 0
1992-04 5.616 0 0
1992-05 5.498 0 0
1992-06 5.431 0 0
1992-07 4.977 0 0
1992-08 4.821 0 0
1992-09 4.623 0 0
1992-10 4.713 0 0
1992-11 5.005 0 0
1992-12 5.018 0 0
1993-01 4.798 0 0
1993-02 4.569 0 0
1993-03 4.447 0.0001 0
1993-04 4.38 0.0002 0
1993-05 4.445 0.0002 0
1993-06 4.488 0.0003 0
1993-07 4.388 0.0003 0
1993-08 4.327 0.0007 0
1993-09 4.145 0.0013 0
1993-10 4.155 0.002 0
1993-11 4.399 0.0019 0
1993-12 4.409 0.001 0
1994-01 4.348 0.0006 0
1994-02 4.628 0.0004 0
1994-03 5.063 1 0
1994-04 5.459 1 0
1994-05 5.788 1 0
1994-06 5.74 1 0
1994-07 5.933 1 0
1994-08 5.971 1 0
1994-09 6.154 1 0
1994-10 6.461 1 0
1994-11 6.762 1 0
1994-12 6.953 1 0
1995-01 6.961 1 0
1995-02 6.747 1 0
1995-03 6.553 1 0
1995-04 6.411 1 0
1995-05 6.146 1 0
1995-06 5.801 1 0
1995-07 5.844 1 0
1995-08 5.964 1 0
1995-09 5.775 1 0
1995-10 5.681 1 0
1995-11 5.603 1 0
1995-12 5.411 1 0
1996-01 5.282 1 0
1996-02 5.253 1 0
1996-03 5.656 1 0
1996-04 5.831 1 0
1996-05 5.954 1 0
1996-06 6.091 1 0
1996-07 6.078 1 0
1996-08 5.885 1 0
1996-09 6.041 1 0
1996-10 5.805 1 0
1996-11 5.639 1 0
1996-12 5.652 1 0
1997-01 5.849 1 0
1997-02 5.757 1 0
1997-03 6.005 1 0
1997-04 6.149 1 0
1997-05 5.993 1 0
1997-06 5.832 1 0
1997-07 5.714 1 0
1997-08 5.797 1 0
1997-09 5.694 1 0
1997-10 5.61 1 0
1997-11 5.586 1 0
1997-12 5.558 1 0
1998-01 5.329 1 0
1998-02 5.389 1 0
1998-03 5.434 1 0
1998-04 5.408 1 0
1998-05 5.442 1 0
1998-06 5.357 1 0
1998-07 5.317 1 0
1998-08 5.195 1 0
1998-09 4.78 1 0
1998-10 4.352 1 0
1998-11 4.703 0.9999 0
1998-12 4.626 1 0
1999-01 4.688 1 0
1999-02 4.888 1 0
1999-03 5.02 1 0
1999-04 4.913 1 0
1999-05 5.175 1 0
1999-06 5.434 1 0
1999-07 5.374 1 0
1999-08 5.541 1 0
1999-09 5.533 1 0
1999-10 5.724 1 0
1999-11 5.73 1 0
1999-12 5.928 1 0
2000-01 6.149 1 0
2000-02 6.222 1 0
2000-03 6.177 1 0
2000-04 6.042 1 0
2000-05 6.354 1 0
2000-06 6.117 1 0
2000-07 6.132 1 0
2000-08 6.078 1 0
2000-09 6 1 0
2000-10 5.961 1 0
2000-11 5.947 1 0
2000-12 5.512 1 0
2001-01 5.111 1 0
2001-02 4.973 1 0
2001-03 4.66 1 0
2001-04 4.518 0.9988 1
2001-05 4.522 0.9913 1
2001-06 4.399 0.9643 1
2001-07 4.361 0.865 1
2001-08 4.151 0.6549 1
2001-09 3.655 0.28 1
2001-10 3.304 0.0197 1
2001-11 3.248 0.0003 1
2001-12 3.443 0 0
2002-01 3.373 0 0
2002-02 3.364 0 0
2002-03 3.669 0 0
2002-04 3.567 0 0
2002-05 3.494 0 0
2002-06 3.315 0 0
2002-07 3.079 0 0
2002-08 2.806 0 0
2002-09 2.634 0 0
2002-10 2.634 0 0
2002-11 2.547 0 0
2002-12 2.497 0 0
2003-01 2.46 0 0
2003-02 2.364 0 0
2003-03 2.301 0 0
2003-04 2.363 0 0
2003-05 2.118 0 0
2003-06 1.927 0 0
2003-07 2.233 0 0
2003-08 2.552 0 0
2003-09 2.419 0 0
2003-10 2.429 0 0
2003-11 2.486 0 0
2003-12 2.452 0 0
2004-01 2.353 0 0
2004-02 2.342 0 0
2004-03 2.202 0 0
2004-04 2.556 0 0
2004-05 2.862 0 0
2004-06 3.016 0 0
2004-07 2.908 0 0
2004-08 2.838 0 0
2004-09 2.838 0 0
2004-10 2.884 0 0
2004-11 3.105 0 0
2004-12 3.202 0 0
2005-01 3.301 0 0
2005-02 3.395 0 0
2005-03 3.69 0 0
2005-04 3.624 0 0
2005-05 3.565 0 0
2005-06 3.554 0 0
2005-07 3.775 0.0001 0
2005-08 3.93 0.0014 0
2005-09 3.874 0.012 0
2005-10 4.172 0.053 0
2005-11 4.303 0.2582 0
2005-12 4.274 0.5272 0
2006-01 4.361 0.7228 0
2006-02 4.56 0.885 0
2006-03 4.67 0.976 0
2006-04 4.834 0.9969 0
2006-05 4.937 0.9998 0
2006-06 5.003 1 0
2006-07 5.045 1 0
2006-08 4.91 1 0
2006-09 4.765 1 0
2006-10 4.81 1 0
2006-11 4.748 1 0
2006-12 4.689 1 0
2007-01 4.862 1 0
2007-02 4.859 1 0
2007-03 4.707 1 0
2007-04 4.755 1 0
2007-05 4.748 1 0
2007-06 4.898 1 0
2007-07 4.887 0.9999 0
2007-08 4.435 0.9974 0
2007-09 4.183 0.9509 0
2007-10 4.167 0.8353 0
2007-11 3.65 0.743 0
2007-12 3.477 0.6745 1
Return to Figure 4

Figure 5: Curvature Probability of Low Curvature State and NBER dated Recessions

Date Curvature Probability NBER
1971-09 0.383 0.9988 0
1971-10 0.133 0.9997 0
1971-11 -0.123 0.9999 0
1971-12 -0.166 0.9999 0
1972-01 0.061 0.9997 0
1972-02 0.346 0.9981 0
1972-03 0.492 0.9915 0
1972-04 1.049 0.9741 0
1972-05 0.453 0.9872 0
1972-06 0.541 0.9876 0
1972-07 0.825 0.9827 0
1972-08 0.651 0.9885 0
1972-09 0.458 0.9947 0
1972-10 0.619 0.9956 0
1972-11 0.369 0.9984 0
1972-12 0.217 0.999 0
1973-01 0.45 0.9958 0
1973-02 0.708 0.9865 0
1973-03 0.885 0.9807 0
1973-04 0.596 0.99 0
1973-05 0.493 0.9964 0
1973-06 -0.121 0.9998 0
1973-07 0.25 0.9996 0
1973-08 0.193 0.9997 0
1973-09 -0.427 1 0
1973-10 -0.261 1 0
1973-11 -0.498 1 0
1973-12 -0.51 1 1
1974-01 -0.788 1 1
1974-02 -0.828 1 1
1974-03 -0.544 1 1
1974-04 0.133 0.9977 1
1974-05 0.633 0.969 1
1974-06 0.642 0.9263 1
1974-07 1.462 0.8612 1
1974-08 0.231 0.9763 1
1974-09 0.562 0.9865 1
1974-10 0.711 0.9909 1
1974-11 0.086 0.9993 1
1974-12 -0.255 0.9999 1
1975-01 0.396 0.9991 1
1975-02 -0.104 0.9988 1
1975-03 0.045 0.9641 1
1975-04 1.247 0.2521 1
1975-05 0.92 0.1735 0
1975-06 0.565 0.1413 0
1975-07 0.961 0.0481 0
1975-08 1.333 0.0099 0
1975-09 1.376 0.0124 0
1975-10 0.844 0.0959 0
1975-11 0.677 0.2182 0
1975-12 0.904 0.3026 0
1976-01 0.537 0.4739 0
1976-02 0.664 0.5337 0
1976-03 0.897 0.5677 0
1976-04 0.556 0.654 0
1976-05 0.949 0.6795 0
1976-06 0.827 0.7745 0
1976-07 0.59 0.9152 0
1976-08 0.305 0.988 0
1976-09 0.082 0.9992 0
1976-10 -0.406 1 0
1976-11 -0.455 1 0
1976-12 -0.478 1 0
1977-01 0.06 0.9998 0
1977-02 0.185 0.9997 0
1977-03 0.166 0.9997 0
1977-04 0.008 0.9999 0
1977-05 0.014 0.9999 0
1977-06 -0.177 0.9999 0
1977-07 -0.101 0.9999 0
1977-08 0.26 0.9996 0
1977-09 0.13 0.9997 0
1977-10 0.405 0.9988 0
1977-11 0.419 0.9977 0
1977-12 0.415 0.994 0
1978-01 0.413 0.9788 0
1978-02 0.43 0.9141 0
1978-03 0.627 0.6595 0
1978-04 0.924 0.2305 0
1978-05 1.247 0.0283 0
1978-06 1.204 0.0048 0
1978-07 1.245 0.0017 0
1978-08 1.095 0.0043 0
1978-09 0.579 0.0154 0
1978-10 0.859 0.0101 0
1978-11 1.249 0.0047 0
1978-12 1.205 0.0129 0
1979-01 1.203 0.0759 0
1979-02 0.649 0.5218 0
1979-03 0.567 0.8115 0
1979-04 0.5 0.9446 0
1979-05 0.333 0.9911 0
1979-06 0.113 0.9992 0
1979-07 -0.137 0.9999 0
1979-08 -0.004 0.9999 0
1979-09 0.238 0.9995 0
1979-10 0.462 0.9988 0
1979-11 0.404 0.9991 0
1979-12 -0.588 1 0
1980-01 -0.541 0.9999 0
1980-02 0.709 0.9835 1
1980-03 1.146 0.9695 1
1980-04 -0.524 0.9999 1
1980-05 -0.261 0.9999 1
1980-06 0.458 0.999 1
1980-07 -0.219 0.9996 1
1980-08 0.669 0.9855 1
1980-09 1.113 0.9706 0
1980-10 0.364 0.9946 0
1980-11 -0.12 0.9998 0
1980-12 -1.075 1 0
1981-01 -1.951 1 0
1981-02 -1.283 1 0
1981-03 -0.327 1 0
1981-04 0.071 0.9998 0
1981-05 -0.342 0.9998 0
1981-06 0.053 0.9796 0
1981-07 0.682 0.5813 0
1981-08 1.291 0.0519 1
1981-09 2.045 0.0002 1
1981-10 1.682 0.0001 1
1981-11 1.207 0.0004 1
1981-12 1.861 0 1
1982-01 1.804 0 1
1982-02 0.954 0.0015 1
1982-03 1.189 0.0007 1
1982-04 1.496 0.0002 1
1982-05 1.42 0.0002 1
1982-06 1.594 0.0001 1
1982-07 2.088 0 1
1982-08 2.95 0 1
1982-09 3.407 0 1
1982-10 1.818 0.0022 1
1982-11 0.923 0.2171 1
1982-12 0.656 0.6706 1
1983-01 0.127 0.9761 0
1983-02 0.24 0.9971 0
1983-03 0.037 0.9997 0
1983-04 0.149 0.9997 0
1983-05 -0.077 0.9999 0
1983-06 0.268 0.9994 0
1983-07 0.507 0.9979 0
1983-08 0.573 0.9971 0
1983-09 0.493 0.9977 0
1983-10 0.438 0.9984 0
1983-11 0.363 0.9989 0
1983-12 0.389 0.9989 0
1984-01 0.336 0.9987 0
1984-02 0.2 0.9962 0
1984-03 0.272 0.9671 0
1984-04 0.514 0.7413 0
1984-05 1.126 0.1233 0
1984-06 1.883 0.001 0
1984-07 1.697 0.0001 0
1984-08 1.151 0.0021 0
1984-09 1.178 0.0103 0
1984-10 1.088 0.0618 0
1984-11 0.84 0.2831 0
1984-12 0.658 0.6099 0
1985-01 0.601 0.831 0
1985-02 0.341 0.949 0
1985-03 0.761 0.9659 0
1985-04 0.486 0.9902 0
1985-05 0.13 0.9991 0
1985-06 -0.037 0.9999 0
1985-07 -0.158 0.9999 0
1985-08 0.036 0.9998 0
1985-09 0.051 0.9998 0
1985-10 -0.068 0.9999 0
1985-11 -0.326 1 0
1985-12 -0.411 1 0
1986-01 -0.241 1 0
1986-02 -0.208 0.9999 0
1986-03 -0.041 0.9999 0
1986-04 0.034 0.9998 0
1986-05 0.215 0.9996 0
1986-06 0.213 0.9996 0
1986-07 -0.07 0.9999 0
1986-08 -0.396 1 0
1986-09 -0.379 1 0
1986-10 -0.539 1 0
1986-11 -0.596 1 0
1986-12 -0.575 1 0
1987-01 -0.461 1 0
1987-02 -0.399 1 0
1987-03 -0.304 0.9999 0
1987-04 0.199 0.9979 0
1987-05 1.002 0.9789 0
1987-06 0.74 0.9853 0
1987-07 0.289 0.997 0
1987-08 0.207 0.9979 0
1987-09 0.556 0.9885 0
1987-10 1.009 0.9704 0
1987-11 0.656 0.9807 0
1987-12 0.629 0.9897 0
1988-01 0.372 0.9976 0
1988-02 0.027 0.9997 0
1988-03 0.017 0.9998 0
1988-04 0.103 0.9998 0
1988-05 0.237 0.9995 0
1988-06 0.361 0.9992 0
1988-07 0.343 0.999 0
1988-08 0.561 0.9979 0
1988-09 0.388 0.9987 0
1988-10 0.212 0.9987 0
1988-11 0.293 0.992 0
1988-12 0.74 0.9454 0
1989-01 0.74 0.9024 0
1989-02 0.784 0.8625 0
1989-03 1.054 0.8349 0
1989-04 0.917 0.8698 0
1989-05 0.524 0.961 0
1989-06 0.142 0.9971 0
1989-07 -0.467 1 0
1989-08 0.06 0.9998 0
1989-09 0.299 0.9995 0
1989-10 0.08 0.9998 0
1989-11 -0.208 0.9999 0
1989-12 -0.116 0.9999 0
1990-01 0.106 0.9996 0
1990-02 0.26 0.0037 0
1990-03 0.446 0 0
1990-04 0.635 0 0
1990-05 0.49 0 0
1990-06 0.2 0 0
1990-07 -0.012 0.0001 0
1990-08 -0.299 0.0004 1
1990-09 -0.33 0.0007 1
1990-10 -0.325 0.001 1
1990-11 -0.448 0.0013 1
1990-12 -0.325 0.001 1
1991-01 -0.277 0.0007 1
1991-02 -0.381 0.0007 1
1991-03 -0.13 0.0004 1
1991-04 -0.089 0.0006 1
1991-05 -0.2 0.0032 0
1991-06 0.006 0.0133 0
1991-07 -0.14 0.1266 0
1991-08 -0.681 0.7346 0
1991-09 -0.797 0.9525 0
1991-10 -0.981 0.9964 0
1991-11 -1.198 0.9999 0
1991-12 -1.462 1 0
1992-01 -1.297 1 0
1992-02 -1.083 0.9999 0
1992-03 -0.449 0.9993 0
1992-04 -0.841 0.9998 0
1992-05 -0.965 0.9999 0
1992-06 -1.182 1 0
1992-07 -1.772 1 0
1992-08 -1.781 1 0
1992-09 -2.028 1 0
1992-10 -1.698 1 0
1992-11 -1.15 1 0
1992-12 -0.99 1 0
1993-01 -1.246 1 0
1993-02 -1.426 1 0
1993-03 -1.513 1 0
1993-04 -1.624 1 0
1993-05 -1.503 1 0
1993-06 -1.033 1 0
1993-07 -0.987 1 0
1993-08 -1.02 1 0
1993-09 -0.946 0.9999 0
1993-10 -0.944 0.9996 0
1993-11 -0.845 0.9967 0
1993-12 -0.737 0.9783 0
1994-01 -0.762 0.9108 0
1994-02 -0.585 0.6285 0
1994-03 -0.223 0.1412 0
1994-04 0.257 0.0036 0
1994-05 0.415 0 0
1994-06 0.381 0 0
1994-07 0.375 0 0
1994-08 0.397 0 0
1994-09 0.395 0 0
1994-10 0.542 0 0
1994-11 0.868 0 0
1994-12 1.621 0 0
1995-01 1.341 0 0
1995-02 0.775 0 0
1995-03 0.36 0 0
1995-04 0.157 0 0
1995-05 -0.182 0.0002 0
1995-06 -0.407 0.0007 0
1995-07 -0.327 0.0005 0
1995-08 -0.158 0.0003 0
1995-09 -0.111 0.0003 0
1995-10 -0.089 0.0008 0
1995-11 -0.471 0.0047 0
1995-12 -0.359 0.0078 0
1996-01 -0.599 0.0134 0
1996-02 -0.798 0.0143 0
1996-03 -0.159 0.0026 0
1996-04 0.187 0.0001 0
1996-05 0.209 0 0
1996-06 0.429 0 0
1996-07 0.407 0 0
1996-08 0.232 0 0
1996-09 0.365 0 0
1996-10 0.127 0 0
1996-11 -0.016 0.0001 0
1996-12 0.193 0 0
1997-01 0.243 0 0
1997-02 0.165 0 0
1997-03 0.384 0 0
1997-04 0.647 0 0
1997-05 0.591 0 0
1997-06 0.56 0 0
1997-07 0.309 0 0
1997-08 0.223 0 0
1997-09 0.393 0 0
1997-10 0.347 0 0
1997-11 0.272 0 0
1997-12 0.337 0 0
1998-01 -0.02 0.0001 0
1998-02 -0.016 0.0001 0
1998-03 0.242 0 0
1998-04 0.355 0 0
1998-05 0.338 0 0
1998-06 0.385 0 0
1998-07 0.354 0 0
1998-08 0.216 0 0
1998-09 -0.144 0.0001 0
1998-10 -0.31 0.0003 0
1998-11 -0.237 0.0003 0
1998-12 -0.218 0.0002 0
1999-01 -0.118 0.0001 0
1999-02 -0.007 0.0001 0
1999-03 0.075 0 0
1999-04 0.117 0 0
1999-05 0.109 0 0
1999-06 0.423 0 0
1999-07 0.35 0 0
1999-08 0.293 0 0
1999-09 0.267 0 0
1999-10 0.281 0 0
1999-11 0.238 0 0
1999-12 0.352 0 0
2000-01 0.632 0 0
2000-02 0.893 0 0
2000-03 0.805 0 0
2000-04 0.795 0 0
2000-05 1.112 0 0
2000-06 0.972 0 0
2000-07 0.507 0 0
2000-08 0.331 0.0001 0
2000-09 0.041 0.0037 0
2000-10 -0.233 0.0511 0
2000-11 -0.308 0.2105 0
2000-12 -0.474 0.5797 0
2001-01 -0.921 0.9525 0
2001-02 -0.852 0.9928 0
2001-03 -0.884 0.9989 0
2001-04 -0.822 0.9996 1
2001-05 -0.67 0.9997 1
2001-06 -0.754 0.9998 1
2001-07 -0.856 0.9999 1
2001-08 -1.083 1 1
2001-09 -1.452 1 1
2001-10 -1.574 1 1
2001-11 -1.283 1 1
2001-12 -0.993 1 0
2002-01 -1.047 1 0
2002-02 -1.071 0.9999 0
2002-03 -0.476 0.9991 0
2002-04 -0.543 0.9991 0
2002-05 -0.777 0.9997 0
2002-06 -1.06 1 0
2002-07 -1.696 1 0
2002-08 -2.083 1 0
2002-09 -1.983 1 0
2002-10 -2.147 1 0
2002-11 -1.832 1 0
2002-12 -1.973 1 0
2003-01 -2.121 1 0
2003-02 -2.185 1 0
2003-03 -2.136 1 0
2003-04 -2.156 1 0
2003-05 -2.133 1 0
2003-06 -2.103 1 0
2003-07 -2.192 1 0
2003-08 -2.006 1 0
2003-09 -2.16 1 0
2003-10 -2.032 1 0
2003-11 -1.695 1 0
2003-12 -1.673 1 0
2004-01 -1.812 1 0
2004-02 -1.832 1 0
2004-03 -1.906 1 0
2004-04 -1.41 1 0
2004-05 -0.929 0.9999 0
2004-06 -0.739 0.9998 0
2004-07 -0.814 0.9999 0
2004-08 -1.045 0.9999 0
2004-09 -1.019 0.9997 0
2004-10 -0.974 0.9954 0
2004-11 -0.793 0.9436 0
2004-12 -0.604 0.6911 0
2005-01 -0.285 0.2121 0
2005-02 -0.084 0.0277 0
2005-03 0.084 0.0017 0
2005-04 0.067 0.0001 0
2005-05 0.161 0 0
2005-06 0.187 0 0
2005-07 0.265 0 0
2005-08 0.291 0 0
2005-09 0.155 0 0
2005-10 0.282 0 0
2005-11 0.261 0 0
2005-12 0.33 0 0
2006-01 0.023 0 0
2006-02 0.224 0 0
2006-03 0.142 0 0
2006-04 0.081 0 0
2006-05 -0.01 0.0001 0
2006-06 0.231 0 0
2006-07 0.108 0 0
2006-08 -0.138 0.0001 0
2006-09 -0.13 0.0001 0
2006-10 -0.182 0.0002 0
2006-11 -0.197 0.0002 0
2006-12 -0.211 0.0002 0
2007-01 -0.127 0.0002 0
2007-02 -0.21 0.0004 0
2007-03 -0.445 0.0011 0
2007-04 -0.323 0.001 0
2007-05 -0.052 0.0011 0
2007-06 0.141 0.0049 0
2007-07 -0.311 0.0908 0
2007-08 -0.384 0.2864 0
2007-09 -0.511 0.596 0
2007-10 -0.655 0.8558 0
2007-11 -0.949 0.9619 0
2007-12 -1.158 0.9707 1
Return to Figure 5

Figure 6: Slope and Probability of Flat or Inverted Slope State and NBER-dated Recessions

Date Slope and Probability of Flat or Inverted Slope State and NBER-dated Recessions Probability NBER
1971-09 1.503 0 0
1971-10 1.487 0 0
1971-11 1.735 0 0
1971-12 2.031 0 0
1972-01 2.669 0 0
1972-02 2.932 0 0
1972-03 2.422 0 0
1972-04 2.573 0 0
1972-05 2.461 0 0
1972-06 2.232 0 0
1972-07 2.124 0 0
1972-08 2.204 0 0
1972-09 1.783 0 0
1972-10 1.574 0 0
1972-11 1.445 0 0
1972-12 1.179 0.0006 0
1973-01 0.905 0.0124 0
1973-02 0.885 0.0855 0
1973-03 0.466 0.5089 0
1973-04 0.266 0.8526 0
1973-05 0.28 0.9619 0
1973-06 -0.61 0.9998 0
1973-07 -1.076 1 0
1973-08 -1.544 1 0
1973-09 -1.393 1 0
1973-10 -0.538 1 0
1973-11 -1.182 1 0
1973-12 -0.837 1 1
1974-01 -0.933 1 1
1974-02 -0.253 0.9999 1
1974-03 -0.846 1 1
1974-04 -0.825 1 1
1974-05 -0.606 1 1
1974-06 -0.274 0.9999 1
1974-07 0.143 0.9996 1
1974-08 -0.872 1 1
1974-09 -0.043 0.9998 1
1974-10 0.096 0.9988 1
1974-11 -0.08 0.9932 1
1974-12 0.045 0.9011 1
1975-01 0.99 0.0865 1
1975-02 1.696 0.0003 1
1975-03 1.837 0 1
1975-04 2.218 0 1
1975-05 2.497 0 0
1975-06 2.22 0 0
1975-07 1.531 0 0
1975-08 1.493 0 0
1975-09 1.627 0 0
1975-10 1.972 0 0
1975-11 2.393 0 0
1975-12 2.338 0 0
1976-01 2.736 0 0
1976-02 2.728 0 0
1976-03 2.575 0 0
1976-04 2.58 0 0
1976-05 2.46 0 0
1976-06 2.242 0 0
1976-07 2.414 0 0
1976-08 2.448 0 0
1976-09 2.399 0 0
1976-10 2.451 0 0
1976-11 2.487 0 0
1976-12 2.491 0 0
1977-01 2.451 0 0
1977-02 2.588 0 0
1977-03 2.734 0 0
1977-04 2.738 0 0
1977-05 2.419 0 0
1977-06 2.22 0 0
1977-07 2.057 0 0
1977-08 1.773 0 0
1977-09 1.431 0 0
1977-10 1.228 0.0001 0
1977-11 1.343 0 0
1977-12 1.502 0 0
1978-01 1.397 0 0
1978-02 1.456 0 0
1978-03 1.599 0 0
1978-04 1.67 0 0
1978-05 1.666 0 0
1978-06 1.5 0 0
1978-07 1.396 0.0007 0
1978-08 1.082 0.0415 0
1978-09 0.321 0.6344 0
1978-10 0.353 0.878 0
1978-11 -0.189 0.9954 0
1978-12 -0.427 0.9999 0
1979-01 -0.611 1 0
1979-02 -0.601 1 0
1979-03 -0.704 1 0
1979-04 -0.615 1 0
1979-05 -0.735 1 0
1979-06 -0.47 1 0
1979-07 -0.656 1 0
1979-08 -0.822 1 0
1979-09 -1.288 1 0
1979-10 -1.856 1 0
1979-11 -1.611 1 0
1979-12 -2.047 1 0
1980-01 -1.561 1 0
1980-02 -1.001 1 1
1980-03 -3.273 1 1
1980-04 -2.188 1 1
1980-05 1.503 0.0095 1
1980-06 2.513 0 1
1980-07 1.919 0 1
1980-08 1.661 0.0006 1
1980-09 0.904 0.1332 0
1980-10 -0.206 0.9707 0
1980-11 -1.649 1 0
1980-12 -3.37 1 0
1981-01 -3.103 1 0
1981-02 -2.254 1 0
1981-03 -0.702 1 0
1981-04 -0.655 1 0
1981-05 -3.053 1 0
1981-06 -2.078 1 0
1981-07 -1.616 1 0
1981-08 -1.643 1 1
1981-09 -0.294 0.9814 1
1981-10 0.831 0.1789 1
1981-11 2 0.0002 1
1981-12 2.303 0 1
1982-01 1.731 0.0001 1
1982-02 0.306 0.0272 1
1982-03 0.473 0.0307 1
1982-04 0.341 0.0278 1
1982-05 0.815 0.0062 1
1982-06 1.08 0.0005 1
1982-07 1.895 0 1
1982-08 3.823 0 1
1982-09 3.941 0 1
1982-10 3.179 0 1
1982-11 2.481 0 1
1982-12 2.627 0 1
1983-01 2.714 0 0
1983-02 2.655 0 0
1983-03 2.179 0 0
1983-04 2.212 0 0
1983-05 2.234 0 0
1983-06 2.012 0 0
1983-07 2.246 0 0
1983-08 2.355 0 0
1983-09 2.533 0 0
1983-10 2.82 0 0
1983-11 2.788 0 0
1983-12 2.657 0 0
1984-01 2.607 0 0
1984-02 2.541 0.0007 0
1984-03 2.59 0 0
1984-04 2.696 0 0
1984-05 3.256 0 0
1984-06 3.351 0 0
1984-07 2.912 0 0
1984-08 1.904 0 0
1984-09 1.752 0.0055 0
1984-10 2.063 0.0078 0
1984-11 2.783 0.0032 0
1984-12 3.338 0 0
1985-01 3.573 0 0
1985-02 3.124 0 0
1985-03 3.216 0 0
1985-04 3.459 0 0
1985-05 3.432 0 0
1985-06 3.29 0 0
1985-07 3.323 0 0
1985-08 3.313 0 0
1985-09 3.413 0 0
1985-10 3.222 0 0
1985-11 2.705 0 0
1985-12 2.37 0.0001 0
1986-01 2.296 0.0081 0
1986-02 1.855 0.0891 0
1986-03 1.415 0.6312 0
1986-04 1.42 0.921 0
1986-05 1.796 0.9305 0
1986-06 1.934 0.8623 0
1986-07 1.911 0.6829 0
1986-08 2.05 0.4698 0
1986-09 2.696 0.1802 0
1986-10 2.685 0.0028 0
1986-11 2.298 0.0001 0
1986-12 1.93 0.0009 0
1987-01 1.961 0.0058 0
1987-02 1.894 0.0084 0
1987-03 1.841 0.0098 0
1987-04 2.517 0.0079 0
1987-05 3.023 0.0003 0
1987-06 2.832 0 0
1987-07 2.877 0 0
1987-08 2.783 0 0
1987-09 3.05 0 0
1987-10 3.385 0 0
1987-11 3.222 0 0
1987-12 3.321 0 0
1988-01 3.025 0 0
1988-02 2.785 0 0
1988-03 2.905 0 0
1988-04 3.016 0 0
1988-05 2.972 0 0
1988-06 2.524 0 0
1988-07 2.435 0.0004 0
1988-08 2.242 0.0093 0
1988-09 1.755 0.1417 0
1988-10 1.48 0.7916 0
1988-11 1.164 0.9876 0
1988-12 0.921 0.9999 0
1989-01 0.685 1 0
1989-02 0.484 1 0
1989-03 0.322 1 0
1989-04 0.348 1 0
1989-05 0.327 1 0
1989-06 0.084 1 0
1989-07 0.121 1 0
1989-08 0.157 1 0
1989-09 0.393 1 0
1989-10 0.368 1 0
1989-11 0.166 1 0
1989-12 0.172 1 0
1990-01 0.525 1 0
1990-02 0.674 1 0
1990-03 0.607 1 0
1990-04 0.917 1 0
1990-05 0.938 1 0
1990-06 0.703 1 0
1990-07 0.828 1 0
1990-08 1.303 1 1
1990-09 1.581 1 1
1990-10 1.579 0.9999 1
1990-11 1.356 0.9999 1
1990-12 1.393 0.9995 1
1991-01 1.99 0.9842 1
1991-02 2.054 0.5823 1
1991-03 2.317 0.2359 1
1991-04 2.532 0.0286 1
1991-05 2.801 0.0011 0
1991-06 2.87 0 0
1991-07 2.812 0 0
1991-08 2.785 0 0
1991-09 2.661 0 0
1991-10 2.769 0 0
1991-11 3.193 0 0
1991-12 3.432 0 0
1992-01 3.676 0 0
1992-02 3.857 0 0
1992-03 3.722 0 0
1992-04 4.012 0 0
1992-05 4.058 0 0
1992-06 3.936 0 0
1992-07 4.125 0 0
1992-08 3.976 0 0
1992-09 4.103 0 0
1992-10 4.272 0 0
1992-11 4.134 0 0
1992-12 3.926 0 0
1993-01 4.011 0 0
1993-02 3.752 0 0
1993-03 3.498 0 0
1993-04 3.561 0 0
1993-05 3.472 0 0
1993-06 3.179 0 0
1993-07 3.025 0 0
1993-08 2.954 0 0
1993-09 2.705 0 0
1993-10 2.585 0 0
1993-11 2.879 0 0
1993-12 2.944 0 0
1994-01 2.991 0 0
1994-02 2.951 0 0
1994-03 3.2 0 0
1994-04 3.471 0 0
1994-05 3.158 0 0
1994-06 3.074 0 0
1994-07 3.081 0 0
1994-08 2.849 0 0
1994-09 2.937 0 0
1994-10 2.842 0 0
1994-11 2.655 0 0
1994-12 2.165 0.0018 0
1995-01 2.055 0.0951 0
1995-02 1.696 0.3893 0
1995-03 1.525 0.8843 0
1995-04 1.469 0.9908 0
1995-05 1.012 0.9995 0
1995-06 0.798 1 0
1995-07 0.957 1 0
1995-08 1.181 1 0
1995-09 1.027 1 0
1995-10 0.831 1 0
1995-11 0.642 1 0
1995-12 0.662 1 0
1996-01 0.763 1 0
1996-02 1.112 1 0
1996-03 1.446 1 0
1996-04 1.7 1 0
1996-05 1.798 0.9998 0
1996-06 1.858 0.9995 0
1996-07 1.719 0.9994 0
1996-08 1.592 0.9997 0
1996-09 1.781 0.9999 0
1996-10 1.588 0.9997 0
1996-11 1.222 0.9999 0
1996-12 1.42 1 0
1997-01 1.557 1 0
1997-02 1.438 0.9999 0
1997-03 1.601 1 0
1997-04 1.762 0.9999 0
1997-05 1.688 0.9997 0
1997-06 1.617 0.9998 0
1997-07 1.226 0.9999 0
1997-08 1.239 1 0
1997-09 1.357 1 0
1997-10 1.164 1 0
1997-11 0.802 1 0
1997-12 0.683 1 0
1998-01 0.586 1 0
1998-02 0.603 1 0
1998-03 0.727 1 0
1998-04 0.798 1 0
1998-05 0.771 1 0
1998-06 0.626 1 0
1998-07 0.596 1 0
1998-08 0.518 1 0
1998-09 0.389 1 0
1998-10 0.888 1 0
1998-11 0.665 1 0
1998-12 0.545 1 0
1999-01 0.735 1 0
1999-02 0.898 1 0
1999-03 1.136 1 0
1999-04 1.206 1 0
1999-05 1.313 1 0
1999-06 1.586 1 0
1999-07 1.532 0.9999 0
1999-08 1.544 0.9999 0
1999-09 1.617 0.9999 0
1999-10 1.635 0.9999 0
1999-11 1.24 0.9999 0
1999-12 1.338 1 0
2000-01 1.448 1 0
2000-02 1.047 1 0
2000-03 0.705 1 0
2000-04 0.498 1 0
2000-05 0.758 1 0
2000-06 0.53 1 0
2000-07 0.175 1 0
2000-08 -0.134 1 0
2000-09 -0.014 1 0
2000-10 -0.221 1 0
2000-11 -0.343 1 0
2000-12 -0.357 1 0
2001-01 0.23 1 0
2001-02 0.471 1 0
2001-03 0.776 1 0
2001-04 1.571 1 1
2001-05 2.027 0.9638 1
2001-06 2.07 0.6199 1
2001-07 1.987 0.3805 1
2001-08 1.943 0.2504 1
2001-09 2.515 0.136 1
2001-10 2.814 0.0056 1
2001-11 3.184 0 1
2001-12 3.837 0 0
2002-01 3.796 0 0
2002-02 3.626 0 0
2002-03 3.917 0 0
2002-04 3.876 0 0
2002-05 3.787 0 0
2002-06 3.584 0 0
2002-07 3.364 0 0
2002-08 3.067 0 0
2002-09 2.669 0 0
2002-10 2.823 0 0
2002-11 3.245 0 0
2002-12 3.273 0 0
2003-01 3.288 0 0
2003-02 3.117 0 0
2003-03 3.054 0 0
2003-04 3.184 0 0
2003-05 2.808 0 0
2003-06 2.715 0 0
2003-07 3.396 0 0
2003-08 3.872 0 0
2003-09 3.678 0 0
2003-10 3.696 0 0
2003-11 3.677 0 0
2003-12 3.662 0 0
2004-01 3.55 0 0
2004-02 3.435 0 0
2004-03 3.16 0 0
2004-04 3.702 0 0
2004-05 3.994 0 0
2004-06 3.738 0 0
2004-07 3.427 0 0
2004-08 3.065 0 0
2004-09 2.715 0 0
2004-10 2.573 0 0
2004-11 2.334 0.0003 0
2004-12 2.225 0.0081 0
2005-01 2.037 0.0727 0
2005-02 1.738 0.3605 0
2005-03 1.871 0.7972 0
2005-04 1.666 0.9164 0
2005-05 1.397 0.9866 0
2005-06 1.106 0.9995 0
2005-07 1.022 1 0
2005-08 0.883 1 0
2005-09 0.856 1 0
2005-10 0.831 1 0
2005-11 0.759 1 0
2005-12 0.658 1 0
2006-01 0.234 1 0
2006-02 0.185 1 0
2006-03 0.273 1 0
2006-04 0.441 1 0
2006-05 0.437 1 0
2006-06 0.349 1 0
2006-07 0.154 1 0
2006-08 -0.054 1 0
2006-09 -0.047 1 0
2006-10 -0.158 1 0
2006-11 -0.318 1 0
2006-12 -0.252 1 0
2007-01 -0.193 1 0
2007-02 -0.272 1 0
2007-03 -0.318 1 0
2007-04 -0.122 1 0
2007-05 0.054 1 0
2007-06 0.529 1 0
2007-07 0.237 1 0
2007-08 0.598 1 0
2007-09 0.756 1 0
2007-10 0.752 1 0
2007-11 1.076 1 0
2007-12 1.341 0.9998 1
Return to Figure 6

Figure 7: Probability of High State for the Yield Curve Single Factor NBER-Dated Recessions

Date Factor NBER
1971-09 0.063426 0
1971-10 0.048812 0
1971-11 0.029317 0
1971-12 0.020592 0
1972-01 0.021205 0
1972-02 0.062288 0
1972-03 0.184662 0
1972-04 0.229362 0
1972-05 0.334329 0
1972-06 0.450705 0
1972-07 0.540232 0
1972-08 0.632383 0
1972-09 0.788595 0
1972-10 0.857082 0
1972-11 0.904326 0
1972-12 0.944827 0
1973-01 0.966528 0
1973-02 0.976105 0
1973-03 0.989137 0
1973-04 0.991832 0
1973-05 0.993274 0
1973-06 0.998981 0
1973-07 0.99854 0
1973-08 0.996029 0
1973-09 0.979226 0
1973-10 0.958472 0
1973-11 0.979676 0
1973-12 0.964591 1
1974-01 0.960071 1
1974-02 0.939657 1
1974-03 0.957543 1
1974-04 0.927997 1
1974-05 0.877049 1
1974-06 0.828932 1
1974-07 0.803215 1
1974-08 0.811534 1
1974-09 0.488815 1
1974-10 0.427537 1
1974-11 0.364404 1
1974-12 0.206466 1
1975-01 0.034602 1
1975-02 0.014002 1
1975-03 0.016377 1
1975-04 0.019762 1
1975-05 0.039618 0
1975-06 0.095364 0
1975-07 0.127277 0
1975-08 0.092229 0
1975-09 0.05115 0
1975-10 0.022121 0
1975-11 0.011912 0
1975-12 0.013226 0
1976-01 0.010586 0
1976-02 0.018789 0
1976-03 0.028021 0
1976-04 0.031806 0
1976-05 0.037868 0
1976-06 0.039689 0
1976-07 0.030704 0
1976-08 0.030854 0
1976-09 0.033435 0
1976-10 0.034533 0
1976-11 0.039555 0
1976-12 0.049128 0
1977-01 0.063145 0
1977-02 0.079906 0
1977-03 0.120856 0
1977-04 0.214199 0
1977-05 0.361114 0
1977-06 0.457267 0
1977-07 0.5364 0
1977-08 0.604305 0
1977-09 0.637387 0
1977-10 0.630796 0
1977-11 0.598762 0
1977-12 0.586266 0
1978-01 0.600264 0
1978-02 0.604871 0
1978-03 0.622758 0
1978-04 0.670669 0
1978-05 0.744468 0
1978-06 0.833402 0
1978-07 0.900773 0
1978-08 0.960432 0
1978-09 0.990072 0
1978-10 0.991081 0
1978-11 0.996678 0
1978-12 0.996344 0
1979-01 0.995283 0
1979-02 0.992972 0
1979-03 0.992372 0
1979-04 0.990152 0
1979-05 0.990749 0
1979-06 0.988372 0
1979-07 0.993961 0
1979-08 0.996528 0
1979-09 0.998662 0
1979-10 0.998794 0
1979-11 0.994641 0
1979-12 0.994825 0
1980-01 0.98006 0
1980-02 0.977173 1
1980-03 0.992255 1
1980-04 0.188668 1
1980-05 0.000607 1
1980-06 0.044107 1
1980-07 0.655773 1
1980-08 0.851191 1
1980-09 0.977254 0
1980-10 0.998619 0
1980-11 0.999906 0
1980-12 0.999435 0
1981-01 0.902764 0
1981-02 0.72086 0
1981-03 0.656775 0
1981-04 0.849471 0
1981-05 0.976131 0
1981-06 0.518687 0
1981-07 0.391581 0
1981-08 0.290434 1
1981-09 0.026447 1
1981-10 0.007599 1
1981-11 0.014498 1
1981-12 0.1672 1
1982-01 0.580122 1
1982-02 0.707402 1
1982-03 0.54399 1
1982-04 0.406584 1
1982-05 0.159979 1
1982-06 0.065083 1
1982-07 0.008524 1
1982-08 0.000831 1
1982-09 0.0378 1
1982-10 0.14024 1
1982-11 0.158529 1
1982-12 0.116086 1
1983-01 0.102785 0
1983-02 0.106995 0
1983-03 0.116229 0
1983-04 0.089193 0
1983-05 0.071058 0
1983-06 0.058671 0
1983-07 0.031127 0
1983-08 0.020122 0
1983-09 0.013322 0
1983-10 0.011145 0
1983-11 0.016713 0
1983-12 0.021809 0
1984-01 0.022494 0
1984-02 0.021797 0
1984-03 0.018585 0
1984-04 0.01703 0
1984-05 0.019136 0
1984-06 0.061939 0
1984-07 0.158782 0
1984-08 0.209142 0
1984-09 0.137971 0
1984-10 0.044434 0
1984-11 0.00696 0
1984-12 0.002923 0
1985-01 0.005677 0
1985-02 0.01461 0
1985-03 0.010401 0
1985-04 0.009292 0
1985-05 0.01602 0
1985-06 0.026044 0
1985-07 0.03555 0
1985-08 0.05687 0
1985-09 0.095731 0
1985-10 0.191592 0
1985-11 0.300519 0
1985-12 0.340847 0
1986-01 0.353059 0
1986-02 0.37164 0
1986-03 0.341621 0
1986-04 0.22678 0
1986-05 0.116547 0
1986-06 0.080299 0
1986-07 0.060176 0
1986-08 0.03918 0
1986-09 0.027378 0
1986-10 0.051477 0
1986-11 0.084953 0
1986-12 0.091415 0
1987-01 0.070606 0
1987-02 0.054101 0
1987-03 0.032859 0
1987-04 0.007199 0
1987-05 0.004822 0
1987-06 0.010947 0
1987-07 0.01093 0
1987-08 0.011392 0
1987-09 0.008247 0
1987-10 0.011022 0
1987-11 0.02927 0
1987-12 0.046765 0
1988-01 0.090024 0
1988-02 0.120569 0
1988-03 0.14221 0
1988-04 0.202077 0
1988-05 0.339693 0
1988-06 0.548063 0
1988-07 0.654607 0
1988-08 0.783007 0
1988-09 0.896947 0
1988-10 0.939548 0
1988-11 0.964596 0
1988-12 0.975625 0
1989-01 0.980566 0
1989-02 0.980622 0
1989-03 0.976252 0
1989-04 0.966256 0
1989-05 0.95816 0
1989-06 0.948667 0
1989-07 0.916191 0
1989-08 0.878252 0
1989-09 0.832482 0
1989-10 0.807457 0
1989-11 0.769949 0
1989-12 0.674329 0
1990-01 0.544871 0
1990-02 0.481694 0
1990-03 0.432586 0
1990-04 0.354355 0
1990-05 0.321723 0
1990-06 0.284581 0
1990-07 0.187465 0
1990-08 0.102896 1
1990-09 0.080226 1
1990-10 0.077034 1
1990-11 0.071265 1
1990-12 0.043841 1
1991-01 0.015096 1
1991-02 0.01199 1
1991-03 0.007402 1
1991-04 0.005887 1
1991-05 0.005641 0
1991-06 0.008494 0
1991-07 0.011859 0
1991-08 0.012793 0
1991-09 0.012314 0
1991-10 0.007079 0
1991-11 0.002756 0
1991-12 0.002351 0
1992-01 0.002253 0
1992-02 0.002844 0
1992-03 0.004476 0
1992-04 0.002666 0
1992-05 0.003724 0
1992-06 0.004919 0
1992-07 0.003634 0
1992-08 0.005106 0
1992-09 0.003745 0
1992-10 0.00408 0
1992-11 0.008022 0
1992-12 0.011188 0
1993-01 0.011675 0
1993-02 0.019099 0
1993-03 0.022566 0
1993-04 0.021088 0
1993-05 0.027373 0
1993-06 0.03659 0
1993-07 0.037506 0
1993-08 0.036107 0
1993-09 0.035893 0
1993-10 0.026443 0
1993-11 0.013396 0
1993-12 0.011623 0
1994-01 0.01144 0
1994-02 0.012425 0
1994-03 0.012167 0
1994-04 0.021216 0
1994-05 0.058022 0
1994-06 0.082877 0
1994-07 0.117384 0
1994-08 0.180622 0
1994-09 0.23582 0
1994-10 0.355677 0
1994-11 0.511637 0
1994-12 0.667048 0
1995-01 0.728033 0
1995-02 0.7918 0
1995-03 0.816384 0
1995-04 0.830683 0
1995-05 0.84705 0
1995-06 0.819774 0
1995-07 0.759028 0
1995-08 0.72175 0
1995-09 0.715518 0
1995-10 0.689845 0
1995-11 0.628455 0
1995-12 0.506104 0
1996-01 0.366766 0
1996-02 0.239724 0
1996-03 0.18506 0
1996-04 0.172189 0
1996-05 0.186889 0
1996-06 0.217074 0
1996-07 0.263034 0
1996-08 0.294986 0
1996-09 0.313659 0
1996-10 0.368211 0
1996-11 0.397976 0
1996-12 0.377962 0
1997-01 0.385166 0
1997-02 0.415258 0
1997-03 0.431612 0
1997-04 0.478465 0
1997-05 0.572371 0
1997-06 0.663822 0
1997-07 0.752672 0
1997-08 0.778978 0
1997-09 0.811275 0
1997-10 0.866973 0
1997-11 0.900897 0
1997-12 0.903068 0
1998-01 0.895886 0
1998-02 0.87879 0
1998-03 0.860997 0
1998-04 0.853885 0
1998-05 0.853199 0
1998-06 0.849333 0
1998-07 0.828365 0
1998-08 0.799184 0
1998-09 0.751199 0
1998-10 0.661969 0
1998-11 0.650682 0
1998-12 0.598978 0
1999-01 0.505657 0
1999-02 0.440501 0
1999-03 0.396388 0
1999-04 0.383645 0
1999-05 0.378177 0
1999-06 0.38622 0
1999-07 0.439678 0
1999-08 0.489914 0
1999-09 0.549663 0
1999-10 0.636118 0
1999-11 0.74221 0
1999-12 0.777007 0
2000-01 0.832427 0
2000-02 0.918175 0
2000-03 0.949115 0
2000-04 0.956691 0
2000-05 0.954024 0
2000-06 0.968985 0
2000-07 0.974149 0
2000-08 0.964174 0
2000-09 0.926083 0
2000-10 0.889524 0
2000-11 0.794002 0
2000-12 0.593863 0
2001-01 0.264675 0
2001-02 0.150272 0
2001-03 0.065898 0
2001-04 0.015507 1
2001-05 0.010244 1
2001-06 0.014141 1
2001-07 0.016324 1
2001-08 0.012447 1
2001-09 0.003543 1
2001-10 0.002456 1
2001-11 0.001597 1
2001-12 0.001087 0
2002-01 0.004504 0
2002-02 0.00669 0
2002-03 0.005197 0
2002-04 0.010239 0
2002-05 0.017717 0
2002-06 0.028467 0
2002-07 0.037818 0
2002-08 0.043846 0
2002-09 0.040523 0
2002-10 0.01847 0
2002-11 0.008032 0
2002-12 0.009441 0
2003-01 0.01184 0
2003-02 0.015965 0
2003-03 0.015958 0
2003-04 0.015122 0
2003-05 0.020496 0
2003-06 0.012944 0
2003-07 0.002344 0
2003-08 0.002053 0
2003-09 0.006559 0
2003-10 0.00705 0
2003-11 0.008485 0
2003-12 0.010641 0
2004-01 0.014633 0
2004-02 0.018204 0
2004-03 0.021373 0
2004-04 0.017103 0
2004-05 0.044496 0
2004-06 0.166365 0
2004-07 0.305001 0
2004-08 0.432425 0
2004-09 0.524792 0
2004-10 0.583755 0
2004-11 0.65014 0
2004-12 0.701406 0
2005-01 0.75886 0
2005-02 0.806313 0
2005-03 0.827979 0
2005-04 0.882462 0
2005-05 0.922106 0
2005-06 0.943582 0
2005-07 0.949985 0
2005-08 0.956087 0
2005-09 0.958377 0
2005-10 0.962938 0
2005-11 0.969947 0
2005-12 0.977102 0
2006-01 0.983427 0
2006-02 0.976656 0
2006-03 0.968448 0
2006-04 0.964965 0
2006-05 0.97108 0
2006-06 0.978679 0
2006-07 0.984576 0
2006-08 0.985788 0
2006-09 0.981602 0
2006-10 0.97834 0
2006-11 0.969681 0
2006-12 0.946999 0
2007-01 0.920527 0
2007-02 0.887746 0
2007-03 0.82359 0
2007-04 0.70999 0
2007-05 0.605433 0
2007-06 0.508775 0
2007-07 0.484431 0
2007-08 0.379381 0
2007-09 0.331821 0
2007-10 0.297106 0
2007-11 0.249835 0
2007-12 0.239435 1
Return to Figure 7

Figure 8: Yield Curve Factor from Joint Bi-Factor Model of the Yield Curve and the Economy and its Components

  Level Curvature Slope Yield-Economy Factor NBER
1971-09 5.506 0.383 1.503 0.259158 0
1971-10 5.226 0.133 1.487 0.29913 0
1971-11 5.067 -0.123 1.735 -0.320562 0
1971-12 4.998 -0.166 2.031 -1.060273 0
1972-01 4.725 0.061 2.669 -2.654631 0
1972-02 4.724 0.346 2.932 -3.311921 0
1972-03 5.023 0.492 2.422 -2.037533 0
1972-04 5.171 1.049 2.573 -2.41479 0
1972-05 4.996 0.453 2.461 -2.134918 0
1972-06 5.116 0.541 2.232 -1.562676 0
1972-07 5.179 0.825 2.124 -1.292776 0
1972-08 5.23 0.651 2.204 -1.492628 0
1972-09 5.628 0.458 1.783 -0.440595 0
1972-10 5.63 0.619 1.574 0.081673 0
1972-11 5.564 0.369 1.445 0.404087 0
1972-12 5.696 0.217 1.179 1.068821 0
1973-01 5.937 0.45 0.905 1.75354 0
1973-02 6.16 0.708 0.885 1.803564 0
1973-03 6.47 0.885 0.466 2.850593 0
1973-04 6.492 0.596 0.266 3.350453 0
1973-05 6.582 0.493 0.28 3.315502 0
1973-06 6.865 -0.121 -0.61 5.539526 0
1973-07 7.514 0.25 -1.076 6.704137 0
1973-08 7.93 0.193 -1.544 7.873688 0
1973-09 7.523 -0.427 -1.393 7.496433 0
1973-10 6.908 -0.261 -0.538 5.359819 0
1973-11 7.156 -0.498 -1.182 6.96899 0
1973-12 6.947 -0.51 -0.837 6.106976 1
1974-01 7.172 -0.788 -0.933 6.346846 1
1974-02 6.856 -0.828 -0.253 4.647585 1
1974-03 7.447 -0.544 -0.846 6.129309 1
1974-04 7.94 0.133 -0.825 6.076924 1
1974-05 8.032 0.633 -0.606 5.529652 1
1974-06 7.87 0.642 -0.274 4.700004 1
1974-07 7.865 1.462 0.143 3.657869 1
1974-08 8.562 0.231 -0.872 6.194295 1
1974-09 8.132 0.562 -0.043 4.122788 1
1974-10 7.627 0.711 0.096 3.77527 1
1974-11 7.444 0.086 -0.08 4.215118 1
1974-12 7.13 -0.255 0.045 3.902766 1
1975-01 6.821 0.396 0.99 1.541255 1
1975-02 6.331 -0.104 1.696 -0.223067 1
1975-03 6.416 0.045 1.837 -0.575545 1
1975-04 6.927 1.247 2.218 -1.527661 1
1975-05 6.632 0.92 2.497 -2.224886 0
1975-06 6.544 0.565 2.22 -1.532751 0
1975-07 7.056 0.961 1.531 0.189027 0
1975-08 7.409 1.333 1.493 0.284126 0
1975-09 7.463 1.376 1.627 -0.050709 0
1975-10 7.087 0.844 1.972 -0.912835 0
1975-11 6.79 0.677 2.393 -1.96494 0
1975-12 6.76 0.904 2.338 -1.827589 0
1976-01 6.327 0.537 2.736 -2.822096 0
1976-02 6.355 0.664 2.728 -2.802173 0
1976-03 6.437 0.897 2.575 -2.419846 0
1976-04 6.242 0.556 2.58 -2.432293 0
1976-05 6.588 0.949 2.46 -2.132431 0
1976-06 6.669 0.827 2.242 -1.587655 0
1976-07 6.536 0.59 2.414 -2.017418 0
1976-08 6.415 0.305 2.448 -2.102411 0
1976-09 6.293 0.082 2.399 -1.979983 0
1976-10 6.078 -0.406 2.451 -2.109903 0
1976-11 5.918 -0.455 2.487 -2.199897 0
1976-12 5.516 -0.478 2.491 -2.209926 0
1977-01 5.856 0.06 2.451 -2.10993 0
1977-02 5.995 0.185 2.588 -2.452259 0
1977-03 5.995 0.166 2.734 -2.81712 0
1977-04 5.911 0.008 2.738 -2.827142 0
1977-05 6.172 0.014 2.419 -2.029995 0
1977-06 6.1 -0.177 2.22 -1.532684 0
1977-07 6.202 -0.101 2.057 -1.125331 0
1977-08 6.42 0.26 1.773 -0.415643 0
1977-09 6.547 0.13 1.431 0.439038 0
1977-10 6.841 0.405 1.228 0.946362 0
1977-11 6.842 0.419 1.343 0.659027 0
1977-12 6.89 0.415 1.502 0.261689 0
1978-01 7.207 0.413 1.397 0.524052 0
1978-02 7.249 0.43 1.456 0.376615 0
1978-03 7.194 0.627 1.599 0.019246 0
1978-04 7.279 0.924 1.67 -0.158194 0
1978-05 7.451 1.247 1.666 -0.148206 0
1978-06 7.681 1.204 1.5 0.266627 0
1978-07 7.916 1.245 1.396 0.526534 0
1978-08 7.804 1.095 1.082 1.311171 0
1978-09 8.107 0.579 0.321 3.212922 0
1978-10 8.31 0.859 0.353 3.133061 0
1978-11 8.754 1.249 -0.189 4.487437 0
1978-12 9.067 1.205 -0.427 5.082297 0
1979-01 9.245 1.203 -0.611 5.542119 0
1979-02 9.128 0.649 -0.601 5.517189 0
1979-03 9.223 0.567 -0.704 5.774549 0
1979-04 9.236 0.5 -0.615 5.552163 0
1979-05 9.298 0.333 -0.735 5.852005 0
1979-06 8.844 0.113 -0.47 5.18981 0
1979-07 8.889 -0.137 -0.656 5.654572 0
1979-08 9.108 -0.004 -0.822 6.069404 0
1979-09 9.656 0.238 -1.288 7.233898 0
1979-10 10.849 0.462 -1.856 8.653382 0
1979-11 11.052 0.404 -1.611 8.04125 0
1979-12 10.918 -0.588 -2.047 9.130721 0
1980-01 11.13 -0.541 -1.561 7.91634 0
1980-02 12.478 0.709 -1.001 6.516864 1
1980-03 13.755 1.146 -3.273 12.19409 1
1980-04 12.019 -0.524 -2.188 9.483363 1
1980-05 9.288 -0.261 1.503 0.259772 1
1980-06 8.403 0.458 2.513 -2.264774 1
1980-07 8.983 -0.219 1.919 -0.7805 1
1980-08 10.072 0.669 1.661 -0.13575 1
1980-09 10.907 1.113 0.904 1.755935 0
1980-10 11.577 0.364 -0.206 4.529883 0
1980-11 12.886 -0.12 -1.649 8.135922 0
1980-12 13.626 -1.075 -3.37 12.43669 0
1981-01 13.143 -1.951 -3.103 11.76982 0
1981-02 13.449 -1.283 -2.254 9.648192 0
1981-03 12.954 -0.327 -0.702 5.769749 0
1981-04 13.374 0.071 -0.655 5.65205 0
1981-05 14.717 -0.342 -3.053 11.64434 0
1981-06 13.7 0.053 -2.078 9.208356 0
1981-07 14.255 0.682 -1.616 8.05374 0
1981-08 14.904 1.291 -1.643 8.121117 1
1981-09 14.894 2.045 -0.294 4.750154 1
1981-10 14.236 1.682 0.831 1.93874 1
1981-11 12.061 1.207 2 -0.982686 1
1981-12 12.312 1.861 2.303 -1.740045 1
1982-01 13.446 1.804 1.731 -0.310703 1
1982-02 13.792 0.954 0.306 3.250279 1
1982-03 13.115 1.189 0.473 2.833169 1
1982-04 13.12 1.496 0.341 3.163001 1
1982-05 12.734 1.42 0.815 1.97858 1
1982-06 13.276 1.594 1.08 1.316307 1
1982-07 12.646 2.088 1.895 -0.720378 1
1982-08 11.083 2.95 3.823 -5.538338 1
1982-09 10.458 3.407 3.941 -5.83355 1
1982-10 9.603 1.818 3.179 -3.929355 1
1982-11 9.464 0.923 2.481 -2.18502 1
1982-12 9.363 0.656 2.627 -2.549737 1
1983-01 9.238 0.127 2.714 -2.767151 0
1983-02 9.477 0.24 2.655 -2.619748 0
1983-03 9.446 0.037 2.179 -1.430294 0
1983-04 9.341 0.149 2.212 -1.512677 0
1983-05 9.294 -0.077 2.234 -1.567628 0
1983-06 9.841 0.268 2.012 -1.012888 0
1983-07 10.288 0.507 2.246 -1.597571 0
1983-08 10.613 0.573 2.355 -1.869988 0
1983-09 10.349 0.493 2.533 -2.314824 0
1983-10 10.123 0.438 2.82 -3.032015 0
1983-11 10.214 0.363 2.788 -2.95209 0
1983-12 10.393 0.389 2.657 -2.624738 0
1984-01 10.26 0.336 2.607 -2.49978 0
1984-02 10.394 0.2 2.541 -2.334824 0
1984-03 10.861 0.272 2.59 -2.457242 0
1984-04 11.124 0.514 2.696 -2.722153 0
1984-05 11.646 1.126 3.256 -4.121521 0
1984-06 11.859 1.883 3.351 -4.359063 0
1984-07 11.859 1.697 2.912 -3.262056 0
1984-08 11.614 1.151 1.904 -0.743139 0
1984-09 11.442 1.178 1.752 -0.363138 0
1984-10 10.953 1.088 2.063 -1.140259 0
1984-11 10.142 0.84 2.783 -2.939486 0
1984-12 9.839 0.658 3.338 -4.326455 0
1985-01 9.647 0.601 3.573 -4.913797 0
1985-02 9.889 0.341 3.124 -3.791847 0
1985-03 10.255 0.761 3.216 -4.021678 0
1985-04 9.76 0.486 3.459 -4.628919 0
1985-05 9.218 0.13 3.432 -4.561505 0
1985-06 8.589 -0.037 3.29 -4.206691 0
1985-07 8.715 -0.158 3.323 -4.289067 0
1985-08 8.803 0.036 3.313 -4.264114 0
1985-09 8.815 0.051 3.413 -4.513986 0
1985-10 8.76 -0.068 3.222 -4.036728 0
1985-11 8.538 -0.326 2.705 -2.744802 0
1985-12 8.216 -0.411 2.37 -1.907604 0
1986-01 8.178 -0.241 2.296 -1.722613 0
1986-02 7.953 -0.208 1.855 -0.620617 0
1986-03 7.261 -0.041 1.415 0.478913 0
1986-04 6.775 0.034 1.42 0.466532 0
1986-05 7.084 0.215 1.796 -0.472969 0
1986-06 7.212 0.213 1.934 -0.817898 0
1986-07 6.774 -0.07 1.911 -0.760492 0
1986-08 6.489 -0.396 2.05 -1.107803 0
1986-09 6.495 -0.379 2.696 -2.722062 0
1986-10 6.433 -0.539 2.685 -2.694713 0
1986-11 6.4 -0.596 2.298 -1.72767 0
1986-12 6.399 -0.575 1.93 -0.80802 0
1987-01 6.334 -0.461 1.961 -0.885418 0
1987-02 6.47 -0.399 1.894 -0.717983 0
1987-03 6.46 -0.304 1.841 -0.585543 0
1987-04 6.932 0.199 2.517 -2.274711 0
1987-05 7.338 1.002 3.023 -3.539286 0
1987-06 7.21 0.74 2.832 -3.0621 0
1987-07 7.177 0.289 2.877 -3.174478 0
1987-08 7.466 0.207 2.783 -2.939596 0
1987-09 8.018 0.556 3.05 -3.606763 0
1987-10 7.991 1.009 3.385 -4.44398 0
1987-11 7.41 0.656 3.222 -4.036736 0
1987-12 7.535 0.629 3.321 -4.284043 0
1988-01 7.384 0.372 3.025 -3.544428 0
1988-02 7.057 0.027 2.785 -2.944656 0
1988-03 7.155 0.017 2.905 -3.244447 0
1988-04 7.435 0.103 3.016 -3.521832 0
1988-05 7.785 0.237 2.972 -3.411908 0
1988-06 7.782 0.361 2.524 -2.292463 0
1988-07 8.005 0.343 2.435 -2.069944 0
1988-08 8.274 0.561 2.242 -1.587669 0
1988-09 8.182 0.388 1.755 -0.370703 0
1988-10 8.125 0.212 1.48 0.316582 0
1988-11 8.391 0.293 1.164 1.10628 0
1988-12 8.654 0.74 0.921 1.71354 0
1989-01 8.736 0.74 0.685 2.303335 0
1989-02 8.903 0.784 0.484 2.805658 0
1989-03 9.157 1.054 0.322 3.2105 0
1989-04 8.977 0.917 0.348 3.145561 0
1989-05 8.681 0.524 0.327 3.198038 0
1989-06 8.216 0.142 0.084 3.805244 0
1989-07 7.863 -0.467 0.121 3.712864 0
1989-08 7.989 0.06 0.157 3.622856 0
1989-09 7.996 0.299 0.393 3.033132 0
1989-10 7.837 0.08 0.368 3.095569 0
1989-11 7.738 -0.208 0.166 3.600349 0
1989-12 7.697 -0.116 0.172 3.58538 0
1990-01 7.92 0.106 0.525 2.703301 0
1990-02 8.12 0.26 0.674 2.330896 0
1990-03 8.278 0.446 0.607 2.498284 0
1990-04 8.334 0.635 0.917 1.723646 0
1990-05 8.291 0.49 0.938 1.671117 0
1990-06 8.115 0.2 0.703 2.258345 0
1990-07 8.032 -0.012 0.828 1.946043 0
1990-08 8.052 -0.299 1.303 0.759081 1
1990-09 8.095 -0.33 1.581 0.064284 1
1990-10 7.906 -0.325 1.579 0.0692 1
1990-11 7.664 -0.448 1.356 0.62644 1
1990-12 7.382 -0.325 1.393 0.534008 1
1991-01 7.169 -0.277 1.99 -0.957789 1
1991-02 6.904 -0.381 2.054 -1.117839 1
1991-03 7.047 -0.13 2.317 -1.77503 1
1991-04 6.901 -0.089 2.532 -2.312348 1
1991-05 6.827 -0.2 2.801 -2.984556 0
1991-06 7.006 0.006 2.87 -3.157027 0
1991-07 6.962 -0.14 2.812 -3.012105 0
1991-08 6.609 -0.681 2.785 -2.944626 0
1991-09 6.418 -0.797 2.661 -2.63478 0
1991-10 6.211 -0.981 2.769 -2.90462 0
1991-11 5.957 -1.198 3.193 -3.964139 0
1991-12 5.543 -1.462 3.432 -4.561461 0
1992-01 5.422 -1.297 3.676 -5.171216 0
1992-02 5.588 -1.083 3.857 -5.623523 0
1992-03 5.826 -0.449 3.722 -5.286243 0
1992-04 5.616 -0.841 4.012 -6.010844 0
1992-05 5.498 -0.965 4.058 -6.125859 0
1992-06 5.431 -1.182 3.936 -5.821003 0
1992-07 4.977 -1.772 4.125 -6.293275 0
1992-08 4.821 -1.781 3.976 -5.920995 0
1992-09 4.623 -2.028 4.103 -6.238302 0
1992-10 4.713 -1.698 4.272 -6.66063 0
1992-11 5.005 -1.15 4.134 -6.315818 0
1992-12 5.018 -0.99 3.926 -5.796047 0
1993-01 4.798 -1.246 4.011 -6.008402 0
1993-02 4.569 -1.426 3.752 -5.361233 0
1993-03 4.447 -1.513 3.498 -4.726472 0
1993-04 4.38 -1.624 3.561 -4.883834 0
1993-05 4.445 -1.503 3.472 -4.661452 0
1993-06 4.488 -1.033 3.179 -3.929313 0
1993-07 4.388 -0.987 3.025 -3.544423 0
1993-08 4.327 -1.02 2.954 -3.366966 0
1993-09 4.145 -0.946 2.705 -2.744771 0
1993-10 4.155 -0.944 2.585 -2.444825 0
1993-11 4.399 -0.845 2.879 -3.17942 0
1993-12 4.409 -0.737 2.944 -3.341945 0
1994-01 4.348 -0.762 2.991 -3.459403 0
1994-02 4.628 -0.585 2.951 -3.359426 0
1994-03 5.063 -0.223 3.2 -3.981616 0
1994-04 5.459 0.257 3.471 -4.658863 0
1994-05 5.788 0.415 3.158 -3.876785 0
1994-06 5.74 0.381 3.074 -3.666845 0
1994-07 5.933 0.375 3.081 -3.684292 0
1994-08 5.971 0.397 2.849 -3.10459 0
1994-09 6.154 0.395 2.937 -3.324416 0
1994-10 6.461 0.542 2.842 -3.087047 0
1994-11 6.762 0.868 2.655 -2.619765 0
1994-12 6.953 1.621 2.165 -1.395347 0
1995-01 6.961 1.341 2.055 -1.120317 0
1995-02 6.747 0.775 1.696 -0.223217 0
1995-03 6.553 0.36 1.525 0.204152 0
1995-04 6.411 0.157 1.469 0.34411 0
1995-05 6.146 -0.182 1.012 1.486084 0
1995-06 5.801 -0.407 0.798 2.020917 0
1995-07 5.844 -0.327 0.957 1.623667 0
1995-08 5.964 -0.158 1.181 1.063891 0
1995-09 5.775 -0.111 1.027 1.448637 0
1995-10 5.681 -0.089 0.831 1.938454 0
1995-11 5.603 -0.471 0.642 2.410806 0
1995-12 5.411 -0.359 0.662 2.360822 0
1996-01 5.282 -0.599 0.763 2.108463 0
1996-02 5.253 -0.798 1.112 1.236354 0
1996-03 5.656 -0.159 1.446 0.401668 0
1996-04 5.831 0.187 1.7 -0.233117 0
1996-05 5.954 0.209 1.798 -0.478038 0
1996-06 6.091 0.429 1.858 -0.628 0
1996-07 6.078 0.407 1.719 -0.280676 0
1996-08 5.885 0.232 1.592 0.036696 0
1996-09 6.041 0.365 1.781 -0.435536 0
1996-10 5.805 0.127 1.588 0.046675 0
1996-11 5.639 -0.016 1.222 0.961289 0
1996-12 5.652 0.193 1.42 0.466599 0
1997-01 5.849 0.243 1.557 0.124249 0
1997-02 5.757 0.165 1.438 0.421556 0
1997-03 6.005 0.384 1.601 0.014292 0
1997-04 6.149 0.647 1.762 -0.388067 0
1997-05 5.993 0.591 1.688 -0.203203 0
1997-06 5.832 0.56 1.617 -0.025774 0
1997-07 5.714 0.309 1.226 0.9513 0
1997-08 5.797 0.223 1.239 0.918914 0
1997-09 5.694 0.393 1.357 0.624013 0
1997-10 5.61 0.347 1.164 1.106277 0
1997-11 5.586 0.272 0.802 2.010905 0
1997-12 5.558 0.337 0.683 2.308335 0
1998-01 5.329 -0.02 0.586 2.550751 0
1998-02 5.389 -0.016 0.603 2.508302 0
1998-03 5.434 0.242 0.727 2.198418 0
1998-04 5.408 0.355 0.798 2.020972 0
1998-05 5.442 0.338 0.771 2.088441 0
1998-06 5.357 0.385 0.626 2.450758 0
1998-07 5.317 0.354 0.596 2.525764 0
1998-08 5.195 0.216 0.518 2.720674 0
1998-09 4.78 -0.144 0.389 3.043021 0
1998-10 4.352 -0.31 0.888 1.796109 0
1998-11 4.703 -0.237 0.665 2.353334 0
1998-12 4.626 -0.218 0.545 2.653184 0
1999-01 4.688 -0.118 0.735 2.178446 0
1999-02 4.888 -0.007 0.898 1.771113 0
1999-03 5.02 0.075 1.136 1.176351 0
1999-04 4.913 0.117 1.206 1.001352 0
1999-05 5.175 0.109 1.313 0.734015 0
1999-06 5.434 0.423 1.586 0.051791 0
1999-07 5.374 0.35 1.532 0.186655 0
1999-08 5.541 0.293 1.544 0.156711 0
1999-09 5.533 0.267 1.617 -0.025732 0
1999-10 5.724 0.281 1.635 -0.070706 0
1999-11 5.73 0.238 1.24 0.916309 0
1999-12 5.928 0.352 1.338 0.671523 0
2000-01 6.149 0.632 1.448 0.396621 0
2000-02 6.222 0.893 1.047 1.398609 0
2000-03 6.177 0.805 0.705 2.25331 0
2000-04 6.042 0.795 0.498 2.770632 0
2000-05 6.354 1.112 0.758 2.121002 0
2000-06 6.117 0.972 0.53 2.690652 0
2000-07 6.132 0.507 0.175 3.577844 0
2000-08 6.078 0.331 -0.134 4.350036 0
2000-09 6 0.041 -0.014 4.050248 0
2000-10 5.961 -0.233 -0.221 4.567487 0
2000-11 5.947 -0.308 -0.343 4.872375 0
2000-12 5.512 -0.474 -0.357 4.907341 0
2001-01 5.111 -0.921 0.23 3.440543 0
2001-02 4.973 -0.852 0.471 2.838188 0
2001-03 4.66 -0.884 0.776 2.075969 0
2001-04 4.518 -0.822 1.571 0.089347 1
2001-05 4.522 -0.67 2.027 -1.050274 1
2001-06 4.399 -0.754 2.07 -1.157828 1
2001-07 4.361 -0.856 1.987 -0.950422 1
2001-08 4.151 -1.083 1.943 -0.840474 1
2001-09 3.655 -1.452 2.515 -2.269825 1
2001-10 3.304 -1.574 2.814 -3.017096 1
2001-11 3.248 -1.283 3.184 -3.941693 1
2001-12 3.443 -0.993 3.837 -5.573447 0
2002-01 3.373 -1.047 3.796 -5.471166 0
2002-02 3.364 -1.071 3.626 -5.046346 0
2002-03 3.669 -0.476 3.917 -5.773444 0
2002-04 3.567 -0.543 3.876 -5.671085 0
2002-05 3.494 -0.777 3.787 -5.448663 0
2002-06 3.315 -1.06 3.584 -4.941398 0
2002-07 3.079 -1.696 3.364 -4.391599 0
2002-08 2.806 -2.083 3.067 -3.649431 0
2002-09 2.634 -1.983 2.669 -2.654848 0
2002-10 2.634 -2.147 2.823 -3.039521 0
2002-11 2.547 -1.832 3.245 -4.094109 0
2002-12 2.497 -1.973 3.273 -4.164125 0
2003-01 2.46 -2.121 3.288 -4.201611 0
2003-02 2.364 -2.185 3.117 -3.774339 0
2003-03 2.301 -2.136 3.054 -3.616875 0
2003-04 2.363 -2.156 3.184 -3.941669 0
2003-05 2.118 -2.133 2.808 -3.002241 0
2003-06 1.927 -2.103 2.715 -2.769761 0
2003-07 2.233 -2.192 3.396 -4.471264 0
2003-08 2.552 -2.006 3.872 -5.660871 0
2003-09 2.419 -2.16 3.678 -5.176308 0
2003-10 2.429 -2.032 3.696 -5.221223 0
2003-11 2.486 -1.695 3.677 -5.173752 0
2003-12 2.452 -1.673 3.662 -5.136268 0
2004-01 2.353 -1.812 3.55 -4.856403 0
2004-02 2.342 -1.832 3.435 -4.569001 0
2004-03 2.202 -1.906 3.16 -3.881836 0
2004-04 2.556 -1.41 3.702 -5.236033 0
2004-05 2.862 -0.929 3.994 -5.965822 0
2004-06 3.016 -0.739 3.738 -5.326212 0
2004-07 2.908 -0.814 3.427 -4.54907 0
2004-08 2.838 -1.045 3.065 -3.644411 0
2004-09 2.838 -1.019 2.715 -2.769747 0
2004-10 2.884 -0.974 2.573 -2.414833 0
2004-11 3.105 -0.793 2.334 -1.817554 0
2004-12 3.202 -0.604 2.225 -1.545164 0
2005-01 3.301 -0.285 2.037 -1.075372 0
2005-02 3.395 -0.084 1.738 -0.328176 0
2005-03 3.69 0.084 1.871 -0.660419 0
2005-04 3.624 0.067 1.666 -0.148245 0
2005-05 3.565 0.161 1.397 0.523976 0
2005-06 3.554 0.187 1.106 1.251209 0
2005-07 3.775 0.265 1.022 1.461215 0
2005-08 3.93 0.291 0.883 1.80856 0
2005-09 3.874 0.155 0.856 1.876032 0
2005-10 4.172 0.282 0.831 1.938544 0
2005-11 4.303 0.261 0.759 2.118448 0
2005-12 4.274 0.33 0.658 2.370818 0
2006-01 4.361 0.023 0.234 3.430394 0
2006-02 4.56 0.224 0.185 3.552909 0
2006-03 4.67 0.142 0.273 3.333026 0
2006-04 4.834 0.081 0.441 2.913208 0
2006-05 4.937 -0.01 0.437 2.92316 0
2006-06 5.003 0.231 0.349 3.14303 0
2006-07 5.045 0.108 0.154 3.630345 0
2006-08 4.91 -0.138 -0.054 4.150131 0
2006-09 4.765 -0.13 -0.047 4.132665 0
2006-10 4.81 -0.182 -0.158 4.410067 0
2006-11 4.748 -0.197 -0.318 4.809882 0
2006-12 4.689 -0.211 -0.252 4.64499 0
2007-01 4.862 -0.127 -0.193 4.49757 0
2007-02 4.859 -0.21 -0.272 4.69495 0
2007-03 4.707 -0.445 -0.318 4.809906 0
2007-04 4.755 -0.323 -0.122 4.320147 0
2007-05 4.748 -0.052 0.054 3.880291 0
2007-06 4.898 0.141 0.529 2.693327 0
2007-07 4.887 -0.311 0.237 3.42291 0
2007-08 4.435 -0.384 0.598 2.520805 0
2007-09 4.183 -0.511 0.756 2.125936 0
2007-10 4.167 -0.655 0.752 2.135937 0
2007-11 3.65 -0.949 1.076 1.326239 0
2007-12 3.477 -1.158 1.341 0.664029 1
Return to Figure 8

Figure 9: Probability of High State for the Yield Curve Factor from the Joint Model of the Yield Curve and the Economy

Date Probability NBER
1971-09 0.145968 0
1971-10 0.086235 0
1971-11 0.033282 0
1971-12 0.011597 0
1972-01 0.004551 0
1972-02 0.008242 0
1972-03 0.024238 0
1972-04 0.02831 0
1972-05 0.049359 0
1972-06 0.082469 0
1972-07 0.118113 0
1972-08 0.170039 0
1972-09 0.291787 0
1972-10 0.376677 0
1972-11 0.465417 0
1972-12 0.576706 0
1973-01 0.673479 0
1973-02 0.749697 0
1973-03 0.852506 0
1973-04 0.901912 0
1973-05 0.938783 0
1973-06 0.984502 0
1973-07 0.987391 0
1973-08 0.97989 0
1973-09 0.943103 0
1973-10 0.906496 0
1973-11 0.926075 0
1973-12 0.900101 1
1974-01 0.892187 1
1974-02 0.868178 1
1974-03 0.888976 1
1974-04 0.853896 1
1974-05 0.798615 1
1974-06 0.750201 1
1974-07 0.725833 1
1974-08 0.733714 1
1974-09 0.49033 1
1974-10 0.444303 1
1974-11 0.398385 1
1974-12 0.283535 1
1975-01 0.137451 1
1975-02 0.117624 1
1975-03 0.138419 1
1975-04 0.159549 1
1975-05 0.211167 0
1975-06 0.304033 0
1975-07 0.338126 0
1975-08 0.276696 0
1975-09 0.179661 0
1975-10 0.089551 0
1975-11 0.044488 0
1975-12 0.029633 0
1976-01 0.012714 0
1976-02 0.010552 0
1976-03 0.009796 0
1976-04 0.007979 0
1976-05 0.008107 0
1976-06 0.007713 0
1976-07 0.00466 0
1976-08 0.004517 0
1976-09 0.004868 0
1976-10 0.004508 0
1976-11 0.004587 0
1976-12 0.00491 0
1977-01 0.00549 0
1977-02 0.005777 0
1977-03 0.008644 0
1977-04 0.017867 0
1977-05 0.036531 0
1977-06 0.050415 0
1977-07 0.064973 0
1977-08 0.082577 0
1977-09 0.093277 0
1977-10 0.090646 0
1977-11 0.081652 0
1977-12 0.085368 0
1978-01 0.106216 0
1978-02 0.12645 0
1978-03 0.160811 0
1978-04 0.228913 0
1978-05 0.342255 0
1978-06 0.507489 0
1978-07 0.665771 0
1978-08 0.836334 0
1978-09 0.94211 0
1978-10 0.959292 0
1978-11 0.982116 0
1978-12 0.985977 0
1979-01 0.986193 0
1979-02 0.983842 0
1979-03 0.983773 0
1979-04 0.982785 0
1979-05 0.985449 0
1979-06 0.98493 0
1979-07 0.991932 0
1979-08 0.995511 0
1979-09 0.997934 0
1979-10 0.99711 0
1979-11 0.989161 0
1979-12 0.986531 0
1980-01 0.963691 0
1980-02 0.957911 1
1980-03 0.975082 1
1980-04 0.154024 1
1980-05 0.000753 1
1980-06 0.040208 1
1980-07 0.607803 1
1980-08 0.818187 1
1980-09 0.967084 0
1980-10 0.997494 0
1980-11 0.999818 0
1980-12 0.998623 0
1981-01 0.855947 0
1981-02 0.655901 0
1981-03 0.596586 0
1981-04 0.75732 0
1981-05 0.894352 0
1981-06 0.27571 0
1981-07 0.153336 0
1981-08 0.093336 1
1981-09 0.005184 1
1981-10 0.001046 1
1981-11 0.003849 1
1981-12 0.07314 1
1982-01 0.306262 1
1982-02 0.397955 1
1982-03 0.272065 1
1982-04 0.188498 1
1982-05 0.066574 1
1982-06 0.025914 1
1982-07 0.003638 1
1982-08 0.000701 1
1982-09 0.037949 1
1982-10 0.141266 1
1982-11 0.168897 1
1982-12 0.141108 1
1983-01 0.129518 0
1983-02 0.128154 0
1983-03 0.130665 0
1983-04 0.097888 0
1983-05 0.07235 0
1983-06 0.05375 0
1983-07 0.024512 0
1983-08 0.012444 0
1983-09 0.005823 0
1983-10 0.003168 0
1983-11 0.003918 0
1983-12 0.004632 0
1984-01 0.004167 0
1984-02 0.003682 0
1984-03 0.002633 0
1984-04 0.002018 0
1984-05 0.00185 0
1984-06 0.009715 0
1984-07 0.03482 0
1984-08 0.054243 0
1984-09 0.031533 0
1984-10 0.008963 0
1984-11 0.001371 0
1984-12 0.000811 0
1985-01 0.002228 0
1985-02 0.006758 0
1985-03 0.004591 0
1985-04 0.004014 0
1985-05 0.007273 0
1985-06 0.01206 0
1985-07 0.016493 0
1985-08 0.026954 0
1985-09 0.045812 0
1985-10 0.093194 0
1985-11 0.149791 0
1985-12 0.171012 0
1986-01 0.176451 0
1986-02 0.187749 0
1986-03 0.171907 0
1986-04 0.111306 0
1986-05 0.05491 0
1986-06 0.036722 0
1986-07 0.027001 0
1986-08 0.016597 0
1986-09 0.010968 0
1986-10 0.022654 0
1986-11 0.038971 0
1986-12 0.042156 0
1987-01 0.031694 0
1987-02 0.024026 0
1987-03 0.013991 0
1987-04 0.002705 0
1987-05 0.001702 0
1987-06 0.004186 0
1987-07 0.003784 0
1987-08 0.003699 0
1987-09 0.001948 0
1987-10 0.001919 0
1987-11 0.005049 0
1987-12 0.007562 0
1988-01 0.017001 0
1988-02 0.024609 0
1988-03 0.031794 0
1988-04 0.058132 0
1988-05 0.134066 0
1988-06 0.283274 0
1988-07 0.385217 0
1988-08 0.538583 0
1988-09 0.708739 0
1988-10 0.792789 0
1988-11 0.853389 0
1988-12 0.886892 0
1989-01 0.905845 0
1989-02 0.912944 0
1989-03 0.910835 0
1989-04 0.899236 0
1989-05 0.889369 0
1989-06 0.877033 0
1989-07 0.837816 0
1989-08 0.793472 0
1989-09 0.740466 0
1989-10 0.709002 0
1989-11 0.66593 0
1989-12 0.567149 0
1990-01 0.438796 0
1990-02 0.373674 0
1990-03 0.320925 0
1990-04 0.247254 0
1990-05 0.214389 0
1990-06 0.180669 0
1990-07 0.109383 0
1990-08 0.053247 1
1990-09 0.038883 1
1990-10 0.036829 1
1990-11 0.034676 1
1990-12 0.022071 1
1991-01 0.008602 1
1991-02 0.007694 1
1991-03 0.005531 1
1991-04 0.004924 1
1991-05 0.004884 0
1991-06 0.006902 0
1991-07 0.009092 0
1991-08 0.009596 0
1991-09 0.009056 0
1991-10 0.005177 0
1991-11 0.001999 0
1991-12 0.001574 0
1992-01 0.001426 0
1992-02 0.001708 0
1992-03 0.0025 0
1992-04 0.001367 0
1992-05 0.001845 0
1992-06 0.002484 0
1992-07 0.001834 0
1992-08 0.002585 0
1992-09 0.001855 0
1992-10 0.001918 0
1992-11 0.003502 0
1992-12 0.004512 0
1993-01 0.004136 0
1993-02 0.006702 0
1993-03 0.00779 0
1993-04 0.006932 0
1993-05 0.009549 0
1993-06 0.013695 0
1993-07 0.014077 0
1993-08 0.013634 0
1993-09 0.013879 0
1993-10 0.010038 0
1993-11 0.004697 0
1993-12 0.0041 0
1994-01 0.003861 0
1994-02 0.003787 0
1994-03 0.002625 0
1994-04 0.00342 0
1994-05 0.009014 0
1994-06 0.010874 0
1994-07 0.014198 0
1994-08 0.023256 0
1994-09 0.031379 0
1994-10 0.056859 0
1994-11 0.098242 0
1994-12 0.150027 0
1995-01 0.172769 0
1995-02 0.205574 0
1995-03 0.219962 0
1995-04 0.232008 0
1995-05 0.250252 0
1995-06 0.23231 0
1995-07 0.194558 0
1995-08 0.176164 0
1995-09 0.179293 0
1995-10 0.173395 0
1995-11 0.152739 0
1995-12 0.11122 0
1996-01 0.069018 0
1996-02 0.033544 0
1996-03 0.018459 0
1996-04 0.014266 0
1996-05 0.015475 0
1996-06 0.019115 0
1996-07 0.025599 0
1996-08 0.028894 0
1996-09 0.029023 0
1996-10 0.037891 0
1996-11 0.040778 0
1996-12 0.028632 0
1997-01 0.025147 0
1997-02 0.02706 0
1997-03 0.026035 0
1997-04 0.031924 0
1997-05 0.049901 0
1997-06 0.070713 0
1997-07 0.095346 0
1997-08 0.098282 0
1997-09 0.106738 0
1997-10 0.132031 0
1997-11 0.149967 0
1997-12 0.145914 0
1998-01 0.136961 0
1998-02 0.12335 0
1998-03 0.113658 0
1998-04 0.113961 0
1998-05 0.12045 0
1998-06 0.127255 0
1998-07 0.125149 0
1998-08 0.12048 0
1998-09 0.108087 0
1998-10 0.083316 0
1998-11 0.089189 0
1998-12 0.079835 0
1999-01 0.058541 0
1999-02 0.045658 0
1999-03 0.038323 0
1999-04 0.039481 0
1999-05 0.042842 0
1999-06 0.050904 0
1999-07 0.078825 0
1999-08 0.109624 0
1999-09 0.153753 0
1999-10 0.224354 0
1999-11 0.323183 0
1999-12 0.367456 0
2000-01 0.445983 0
2000-02 0.587718 0
2000-03 0.654537 0
2000-04 0.68088 0
2000-05 0.689204 0
2000-06 0.734 0
2000-07 0.756643 0
2000-08 0.747333 0
2000-09 0.698238 0
2000-10 0.65695 0
2000-11 0.567762 0
2000-12 0.407389 0
2001-01 0.178042 0
2001-02 0.100746 0
2001-03 0.045778 0
2001-04 0.012799 1
2001-05 0.009389 1
2001-06 0.012807 1
2001-07 0.014672 1
2001-08 0.011436 1
2001-09 0.003794 1
2001-10 0.002584 1
2001-11 0.001684 1
2001-12 0.001263 0
2002-01 0.004299 0
2002-02 0.006012 0
2002-03 0.004673 0
2002-04 0.007787 0
2002-05 0.011933 0
2002-06 0.017277 0
2002-07 0.021376 0
2002-08 0.023916 0
2002-09 0.021497 0
2002-10 0.009213 0
2002-11 0.003641 0
2002-12 0.004185 0
2003-01 0.005252 0
2003-02 0.007218 0
2003-03 0.007242 0
2003-04 0.007156 0
2003-05 0.01064 0
2003-06 0.006956 0
2003-07 0.001391 0
2003-08 0.001255 0
2003-09 0.003846 0
2003-10 0.003929 0
2003-11 0.004428 0
2003-12 0.005185 0
2004-01 0.006768 0
2004-02 0.008097 0
2004-03 0.009075 0
2004-04 0.006158 0
2004-05 0.016456 0
2004-06 0.066298 0
2004-07 0.131701 0
2004-08 0.199151 0
2004-09 0.254624 0
2004-10 0.296021 0
2004-11 0.348179 0
2004-12 0.396 0
2005-01 0.456166 0
2005-02 0.515127 0
2005-03 0.552365 0
2005-04 0.639223 0
2005-05 0.71588 0
2005-06 0.767273 0
2005-07 0.793486 0
2005-08 0.82095 0
2005-09 0.842051 0
2005-10 0.866958 0
2005-11 0.893138 0
2005-12 0.91663 0
2006-01 0.936202 0
2006-02 0.933362 0
2006-03 0.928115 0
2006-04 0.927494 0
2006-05 0.937212 0
2006-06 0.948517 0
2006-07 0.95664 0
2006-08 0.956982 0
2006-09 0.948032 0
2006-10 0.938264 0
2006-11 0.920702 0
2006-12 0.883242 0
2007-01 0.840212 0
2007-02 0.790066 0
2007-03 0.703083 0
2007-04 0.568182 0
2007-05 0.452371 0
2007-06 0.353445 0
2007-07 0.323676 0
2007-08 0.233651 0
2007-09 0.193895 0
2007-10 0.16696 0
2007-11 0.13639 0
2007-12 0.131203 1
Return to Figure 9

Figure 10: Probabilities of Recessions from the Probit Model NBER Dated Recessions

Date Probability NBER
1972-09 0.08198 0
1972-10 0.077339 0
1972-11 0.047386 0
1972-12 0.028021 0
1973-01 0.009494 0
1973-02 0.00646 0
1973-03 0.019452 0
1973-04 0.019661 0
1973-05 0.017701 0
1973-06 0.028148 0
1973-07 0.039215 0
1973-08 0.030964 0
1973-09 0.054616 0
1973-10 0.080929 0
1973-11 0.088101 0
1973-12 0.117876 0
1974-01 0.176844 0
1974-02 0.19413 0
1974-03 0.306041 0
1974-04 0.337709 0
1974-05 0.323141 0
1974-06 0.533095 0
1974-07 0.692644 0
1974-08 0.79863 0
1974-09 0.723457 0
1974-10 0.496361 0
1974-11 0.666282 0
1974-12 0.56588 1
1975-01 0.56509 1
1975-02 0.35754 1
1975-03 0.554897 1
1975-04 0.600548 1
1975-05 0.577332 1
1975-06 0.477664 1
1975-07 0.424202 1
1975-08 0.610833 1
1975-09 0.393093 1
1975-10 0.375029 1
1975-11 0.375467 1
1975-12 0.315746 1
1976-01 0.145742 1
1976-02 0.044233 1
1976-03 0.037196 1
1976-04 0.033736 1
1976-05 0.017431 0
1976-06 0.024391 0
1976-07 0.086762 0
1976-08 0.103444 0
1976-09 0.086813 0
1976-10 0.041088 0
1976-11 0.018139 0
1976-12 0.023011 0
1977-01 0.008833 0
1977-02 0.0097 0
1977-03 0.015139 0
1977-04 0.012533 0
1977-05 0.019153 0
1977-06 0.026635 0
1977-07 0.017121 0
1977-08 0.013734 0
1977-09 0.013475 0
1977-10 0.009214 0
1977-11 0.008464 0
1977-12 0.00877 0
1978-01 0.012711 0
1978-02 0.010144 0
1978-03 0.00733 0
1978-04 0.006632 0
1978-05 0.012625 0
1978-06 0.016929 0
1978-07 0.023812 0
1978-08 0.046173 0
1978-09 0.07341 0
1978-10 0.107192 0
1978-11 0.091911 0
1978-12 0.072413 0
1979-01 0.081847 0
1979-02 0.075281 0
1979-03 0.06669 0
1979-04 0.067931 0
1979-05 0.077626 0
1979-06 0.094626 0
1979-07 0.108655 0
1979-08 0.154967 0
1979-09 0.2901 0
1979-10 0.30043 0
1979-11 0.489081 0
1979-12 0.552967 0
1980-01 0.605756 0
1980-02 0.554046 0
1980-03 0.576395 0
1980-04 0.542186 0
1980-05 0.562714 0
1980-06 0.468628 0
1980-07 0.502627 0
1980-08 0.562441 0
1980-09 0.709679 0
1980-10 0.838725 0
1980-11 0.779738 0
1980-12 0.812813 0
1981-01 0.693063 0
1981-02 0.612277 1
1981-03 0.982666 1
1981-04 0.830308 1
1981-05 0.04027 1
1981-06 0.009982 1
1981-07 0.02021 1
1981-08 0.04505 1
1981-09 0.149692 0
1981-10 0.353864 0
1981-11 0.718646 0
1981-12 0.952672 0
1982-01 0.899704 0
1982-02 0.773752 0
1982-03 0.412599 0
1982-04 0.425988 0
1982-05 0.937674 0
1982-06 0.819722 0
1982-07 0.748067 0
1982-08 0.787726 1
1982-09 0.46525 1
1982-10 0.152663 1
1982-11 0.026043 1
1982-12 0.020646 1
1983-01 0.048075 1
1983-02 0.223975 1
1983-03 0.212244 1
1983-04 0.266871 1
1983-05 0.160249 1
1983-06 0.116902 1
1983-07 0.04618 1
1983-08 0.00177 1
1983-09 0.002065 1
1983-10 0.004716 1
1983-11 0.012252 1
1983-12 0.00772 1
1984-01 0.004544 0
1984-02 0.005412 0
1984-03 0.013241 0
1984-04 0.013449 0
1984-05 0.011269 0
1984-06 0.019986 0
1984-07 0.013682 0
1984-08 0.010889 0
1984-09 0.007357 0
1984-10 0.003831 0
1984-11 0.003862 0
1984-12 0.005173 0
1985-01 0.005703 0
1985-02 0.005914 0
1985-03 0.005173 0
1985-04 0.004598 0
1985-05 0.001694 0
1985-06 0.002271 0
1985-07 0.005616 0
1985-08 0.031739 0
1985-09 0.042692 0
1985-10 0.024966 0
1985-11 0.005487 0
1985-12 0.001315 0
1986-01 0.000695 0
1986-02 0.001769 0
1986-03 0.001808 0
1986-04 0.000845 0
1986-05 0.000753 0
1986-06 0.001081 0
1986-07 0.000879 0
1986-08 0.001037 0
1986-09 0.000801 0
1986-10 0.001224 0
1986-11 0.003783 0
1986-12 0.007992 0
1987-01 0.010479 0
1987-02 0.026136 0
1987-03 0.064627 0
1987-04 0.069822 0
1987-05 0.04026 0
1987-06 0.031166 0
1987-07 0.029446 0
1987-08 0.019685 0
1987-09 0.00514 0
1987-10 0.004771 0
1987-11 0.01077 0
1987-12 0.022587 0
1988-01 0.022909 0
1988-02 0.026379 0
1988-03 0.030595 0
1988-04 0.010386 0
1988-05 0.005486 0
1988-06 0.007185 0
1988-07 0.004825 0
1988-08 0.005404 0
1988-09 0.003396 0
1988-10 0.0021 0
1988-11 0.002667 0
1988-12 0.002005 0
1989-01 0.003505 0
1989-02 0.005072 0
1989-03 0.003756 0
1989-04 0.00293 0
1989-05 0.003384 0
1989-06 0.010032 0
1989-07 0.011567 0
1989-08 0.018674 0
1989-09 0.041494 0
1989-10 0.059958 0
1989-11 0.096628 0
1989-12 0.154359 0
1990-01 0.201539 0
1990-02 0.249471 0
1990-03 0.309145 0
1990-04 0.294102 0
1990-05 0.273681 0
1990-06 0.317341 0
1990-07 0.264638 0
1990-08 0.29464 0
1990-09 0.25142 0
1990-10 0.244015 0
1990-11 0.275342 0
1990-12 0.281787 0
1991-01 0.207352 0
1991-02 0.182042 0
1991-03 0.206295 0
1991-04 0.153315 0
1991-05 0.142128 0
1991-06 0.172486 0
1991-07 0.138167 0
1991-08 0.062738 1
1991-09 0.039106 1
1991-10 0.040213 1
1991-11 0.05611 1
1991-12 0.05783 1
1992-01 0.021615 1
1992-02 0.01866 1
1992-03 0.012604 1
1992-04 0.008418 1
1992-05 0.004336 0
1992-06 0.004143 0
1992-07 0.004313 0
1992-08 0.003324 0
1992-09 0.004229 0
1992-10 0.002973 0
1992-11 0.000896 0
1992-12 0.000402 0
1993-01 0.000234 0
1993-02 0.000159 0
1993-03 0.000395 0
1993-04 0.000123 0
1993-05 9.75E-05 0
1993-06 0.000118 0
1993-07 4.06E-05 0
1993-08 6.75E-05 0
1993-09 3.67E-05 0
1993-10 2.85E-05 0
1993-11 7.16E-05 0
1993-12 0.000158 0
1994-01 0.000101 0
1994-02 0.000198 0
1994-03 0.000395 0
1994-04 0.000303 0
1994-05 0.000429 0
1994-06 0.001378 0
1994-07 0.002146 0
1994-08 0.00252 0
1994-09 0.00493 0
1994-10 0.006458 0
1994-11 0.003386 0
1994-12 0.003127 0
1995-01 0.00277 0
1995-02 0.003308 0
1995-03 0.002186 0
1995-04 0.00148 0
1995-05 0.003413 0
1995-06 0.004092 0
1995-07 0.003887 0
1995-08 0.006651 0
1995-09 0.005305 0
1995-10 0.006905 0
1995-11 0.012101 0
1995-12 0.044583 0
1996-01 0.046522 0
1996-02 0.064454 0
1996-03 0.07064 0
1996-04 0.071169 0
1996-05 0.120529 0
1996-06 0.149624 0
1996-07 0.125707 0
1996-08 0.098488 0
1996-09 0.1256 0
1996-10 0.162915 0
1996-11 0.178939 0
1996-12 0.184482 0
1997-01 0.152018 0
1997-02 0.088734 0
1997-03 0.069045 0
1997-04 0.053581 0
1997-05 0.045531 0
1997-06 0.045266 0
1997-07 0.056208 0
1997-08 0.064488 0
1997-09 0.05006 0
1997-10 0.062333 0
1997-11 0.101769 0
1997-12 0.08393 0
1998-01 0.068639 0
1998-02 0.079925 0
1998-03 0.067349 0
1998-04 0.058381 0
1998-05 0.064892 0
1998-06 0.072478 0
1998-07 0.114681 0
1998-08 0.108038 0
1998-09 0.099492 0
1998-10 0.127453 0
1998-11 0.192336 0
1998-12 0.224052 0
1999-01 0.225423 0
1999-02 0.220738 0
1999-03 0.209244 0
1999-04 0.2013 0
1999-05 0.205673 0
1999-06 0.24464 0
1999-07 0.25049 0
1999-08 0.261925 0
1999-09 0.274823 0
1999-10 0.156695 0
1999-11 0.202181 0
1999-12 0.232527 0
2000-01 0.194844 0
2000-02 0.16519 0
2000-03 0.125305 0
2000-04 0.117334 0
2000-05 0.098727 0
2000-06 0.074364 0
2000-07 0.07847 0
2000-08 0.073898 0
2000-09 0.065438 0
2000-10 0.062781 0
2000-11 0.109223 0
2000-12 0.098224 0
2001-01 0.092699 0
2001-02 0.170992 0
2001-03 0.242346 0
2001-04 0.297865 0
2001-05 0.248999 0
2001-06 0.302212 0
2001-07 0.363712 0
2001-08 0.442984 0
2001-09 0.381192 0
2001-10 0.420106 0
2001-11 0.451322 0
2001-12 0.449453 0
2002-01 0.25012 0
2002-02 0.200305 0
2002-03 0.141889 0
2002-04 0.046789 1
2002-05 0.022701 1
2002-06 0.020277 1
2002-07 0.022503 1
2002-08 0.022101 1
2002-09 0.005803 1
2002-10 0.002806 1
2002-11 0.001395 1
2002-12 0.000283 0
2003-01 0.000309 0
2003-02 0.000492 0
2003-03 0.000337 0
2003-04 0.000365 0
2003-05 0.000391 0
2003-06 0.000564 0
2003-07 0.00064 0
2003-08 0.001097 0
2003-09 0.003306 0
2003-10 0.002014 0
2003-11 0.000874 0
2003-12 0.00073 0
2004-01 0.000625 0
2004-02 0.00096 0
2004-03 0.001192 0
2004-04 0.000821 0
2004-05 0.002305 0
2004-06 0.00305 0
2004-07 0.000455 0
2004-08 0.000123 0
2004-09 0.000199 0
2004-10 0.00021 0
2004-11 0.000296 0
2004-12 0.000317 0
2005-01 0.000396 0
2005-02 0.00054 0
2005-03 0.0011 0
2005-04 0.000348 0
2005-05 0.000212 0
2005-06 0.000508 0
2005-07 0.001134 0
2005-08 0.002418 0
2005-09 0.005615 0
2005-10 0.007862 0
2005-11 0.014051 0
2005-12 0.019204 0
2006-01 0.032001 0
2006-02 0.057759 0
2006-03 0.04896 0
2006-04 0.067621 0
2006-05 0.104532 0
2006-06 0.153907 0
2006-07 0.171811 0
2006-08 0.200574 0
2006-09 0.198396 0
2006-10 0.207908 0
2006-11 0.220974 0
2006-12 0.250992 0
2007-01 0.339433 0
2007-02 0.367451 0
2007-03 0.332389 0
2007-04 0.277896 0
2007-05 0.269945 0
2007-06 0.311994 0
2007-07 0.356565 0
2007-08 0.399609 0
2007-09 0.401222 0
2007-10 0.429632 0
2007-11 0.479552 0
2007-12 0.458792 0
Return to Figure 10
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May 30, 2012