U.S. Recession Probability — New York Fed Yield-Curve Model

Methodology

The New York Fed's probit model (Estrella and Trubin, 2006) turns the monthly average spread between the 10-year Treasury yield and the 3-month Treasury bill rate (on a bond-equivalent basis) into the probability that the U.S. is in recession twelve months later. The figures are the New York Fed's own, read from the workbook it publishes with the model, in percent. The New York Fed dates each probability by the month it is about; CK Economics dates it by the month of the spread it comes from, the month it was made. So the value for September 2026 is the probability, given September 2026's spread, of a recession in September 2027, and the series never runs into the future. Each month's figure is checked against the New York Fed's published model coefficients. The probability is a model's reading of one indicator, not a forecast by CK Economics, and it has given false alarms as well as warnings: the yield curve inverted for much of 2022–24 without a recession following within that time. It is shown as general economic information, not investment advice.

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Source

Federal Reserve Bank of New York, The Yield Curve as a Leading Indicator, probability of U.S. recession predicted by the Treasury spread (allmonth.xls): https://www.newyorkfed.org/research/capital_markets/ycfaq — figures as published on 16 October 2026. © 2026 Federal Reserve Bank of New York. Content from the New York Fed subject to the Terms of Use at newyorkfed.org.