Nowcasting Recession Risk

Research Methods and Applications on Macroeconomic Forecasting

30 Pages Posted: 14 Feb 2024

See all articles by Francesco Furno

Francesco Furno

Amazon Web Services, Inc.

Domenico Giannone

International Monetary Fund (IMF); Centre for Economic Policy Research (CEPR)

Date Written: January 22, 2024


We propose a simple yet robust framework to nowcast recession risk at a monthly frequency in both the United States and the Euro Area. Our nowcast leverages both macroeconomic and financial conditions, and is available the first business day after the reference month closes. In particular, we argue that financial conditions are not only useful to predict future downturns–as emphasized by the existing literature–but they are also useful to distinguish between expansions and downturns as they unfold. We then connect our recession risk nowcast with growth-at-risk by drawing on the literature on distributional regressions and quantile regressions. Finally, we benchmark our nowcast with the Survey of Professional Forecasters (SPF) and show that, while both have a similar ability to identify downturns, the former is more accurate in correctly identifying periods of expansion.

Keywords: Recessions, Nowcasting, Risk, Growth-at-Risk, Financial Conditions, Distributional Regression

JEL Classification: C53, E23, E27, E32, E44

Suggested Citation

Furno, Francesco and Giannone, Domenico, Nowcasting Recession Risk (January 22, 2024). Research Methods and Applications on Macroeconomic Forecasting, Available at SSRN: or

Francesco Furno (Contact Author)

Amazon Web Services, Inc. ( email )

New York, NY
United States

Domenico Giannone

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Centre for Economic Policy Research (CEPR)

United Kingdom

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