If the last few days of February is like the rest, then recession probabilities are up. Using a plain-vanilla probit model of recession based on the 10yr-3mo spread, the following recession probabilities are obtained.

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Figure 1: 10 year-3 month Treasury spread (blue, left scale), recession probability from probit model (red, right scale), NBER recession dates shaded gray. 2/20 observation for data through 2/24. Source: Federal Reserve via FRED, NBER, and author’s calculations.

Of course, the usual caveats regarding the term premium apply.

Interestingly, market expectations of a recession by January 2021 have risen substantially in the past few days.

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Figure 2: 10 year-3 month Treasury spread (blue, left scale), recession probability in Trump’s first term, from PredictIt (red, right scale). Source: Federal Reserve via FRED, PredictIt.