Based on current macro regime conditions and us recession probability (smoothed)'s historical behaviour in similar regimes, the model projects 0.49% by 2026-12-31 ( -9.6% from 0.54% today). The 68% confidence range is -33.60% to 34.58%; the wider 95% range is -66.33% to 67.31%. Methodology below the headline.
US Recession Probability (Smoothed) Forecast 2026
Quantitative analysis from 298 observations of US Recession Probability (Smoothed) history, joined to four universal macro regime classifications. Numbers are computed, not narrated.
Performance by Window[02]
| WINDOW | N | ANN RET | ANN VOL | RET/VOL | HIT % | TOTAL |
|---|---|---|---|---|---|---|
| 1Y | 13 | -20.60% | 213.62% | -0.10 | 41.7% | -20.59% |
| 3Y | 36 | -14.06% | 202.16% | -0.07 | 51.4% | -35.71% |
| 5Y | 61 | 27.55% | 479.79% | 0.06 | 60.0% | 237.50% |
Forecast Approach
regime implied: The current macro regime classification (Goldilocks, Reflation, Stagflation, or Deflation) dictates the expected direction and magnitude of movement, calibrated against historical regime performance.
Key Drivers & Risks
- •Economic growth
- •Yield curve
- •Labor market
- •Credit conditions
- •Leading indicators
Historical Volatility
Low: composite indicators move slowly
How US Recession Probability Forecasts Have Held Up Historically
The Chauvet-Piger smoothed recession probability has a strong historical track record: probabilities above 80% have reliably coincided with NBER-dated recessions, with no false positives since the model's inception in the 1970s. The 2008 recession was flagged at 85%+ probability six months before the NBER call; the 2020 COVID recession was flagged at 95%+ within weeks.
Regime-conditional models on recession probability are tautological because the probability is itself the regime classifier output. The model aggregates payrolls, unemployment, industrial production, and real income into a single Markov-switching estimate.
Regime Sensitivity for RECPROUSM156N
Recession probability has clean regime sensitivity to labor market and growth indicators. Goldilocks regimes anchor probability below 5%; stagflation regimes typically push it above 30% as growth slows; deflation regimes spike it above 80%.
The April 2026 setup has recession probability at low single-digit levels despite the curve re-steepening signal and the 2024 Sahm-Rule false positive. The regime conditional reads as low-recession-probability with the caveat that the model can shift sharply when payroll revisions or unemployment spikes hit.
What Drives RECPROUSM156N Forecast Errors
Three structural issues drive recession-probability forecast errors. First, the model is purely backward-looking based on confirmed data; it doesn't incorporate forward-looking signals (curve, credit spreads, claims). Recessions can begin in real time before the probability rises.
Second, the 2024 Sahm-Rule false positive reflected immigration-driven labor force expansion rather than demand destruction. The recession probability didn't spike because the underlying employment data didn't deteriorate sharply, but the curve and Sahm signals had flagged risk.
Third, BLS payroll revisions can change historical probability estimates. The February 2025 annual benchmark revision cut prior payroll estimates by 800k jobs, which retroactively raised recession probabilities for 2024 H2 in the smoothed series.
Frequently Asked Questions
What factors could push US Recession Probability (Smoothed) higher?▾
The primary drivers that tend to lift US Recession Probability (Smoothed) depend on the current macro regime. Recession indicators distill complex economic dynamics into actionable signals. The Sahm Rule, triggered when the 3-month average unemployment rate rises 0.5 percentage points above its 12-month low, has a perfect track record since 1970. Combined with yield-curve inversions and declining leading indicators, these metrics help traders identify turning points before they become consensus. Convex tracks these drivers live across the Recession Indicators category and flags when multiple forces align in the same direction. See the "Key Drivers & Risks" section on this page for the current list, and check the regime dashboard for how the macro backdrop is currently tilted.
What factors could push US Recession Probability (Smoothed) lower?▾
The same transmission channels that drive US Recession Probability (Smoothed) higher operate in reverse when conditions flip. The risk drivers listed above map directly to scenarios that, if triggered, would pull this metric in the opposite direction. Convex aggregates these into a scenario-weighted probability distribution rather than a point forecast, so the magnitude depends on which scenarios activate.
Where does consensus see US Recession Probability (Smoothed) heading?▾
Rather than publish a point target that goes stale the day after release, Convex assembles consensus from the macro regime classification, active scenario probabilities, and historical base rates. Point forecasts from banks and strategists are worth reading for context, but they typically cluster around the consensus and miss the tail events that actually move markets. The scenario-weighted approach here captures that tail risk explicitly.
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Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.