Large Bank Supervision Forum eBook

Internal Use Only

Moody's Analytics' Recession Probability Indicator Based on Economic Data

0 10 20 30 40 50 60 70 80 90 100

Jan 2024 25.9%

Probability of a Recession in the Next 12 Months (%)

Jul-05

Jul-16

Jan-00

Jan-11

Jan-22

Jun-06

Jun-17

Oct-02

Oct-13

Oct-24

Apr-08

Feb-10

Apr-19

Feb-21

Sep-03

Sep-14

Dec-00

Dec-11

Dec-22

Aug-04

Aug-15

Nov-01

Nov-12

Nov-23

Mar-09

Mar-20

May-07

May-18

Internal Use Only

Implied Recession Probability Based on the Yield Curve (10 yr minus 2 yr)

0 10 20 30 40 50 60 70 80 90 100

Feb. 28, 2024 51.4%

Implied Probability Based on Interest Rate Spread (%)

3-Jan-00

3-Jan-01

3-Jan-02

3-Jan-03

3-Jan-04

3-Jan-05

3-Jan-06

3-Jan-07

3-Jan-08

3-Jan-09

3-Jan-10

3-Jan-11

3-Jan-12

3-Jan-13

3-Jan-14

3-Jan-15

3-Jan-16

3-Jan-17

3-Jan-18

3-Jan-19

3-Jan-20

3-Jan-21

3-Jan-22

3-Jan-23

3-Jan-24