New York Fed Probability of Recession Index

The following chart shows the New York Fed Probability of Recession in the U.S.

When the index line crosses above 30 (red line), we often see a U.S. recession follow between 2 to 4 months after the crossover. The index line, which represents treasury spreads, is 12 months ahead of today. As of November 2019, the index reading is 15% (calculated in Nov 2018). Looking ahead, the index reaches over 32% by June 2020 and continues above 30 for 4 months. Based on historical behavior, we could expect a U.S. recession sometime after July 2020.