Which term spread, or term spread derived, measure is the most accurate predictor of recessions? The author conducts a robustness analysis of different spreads and shows that there is no single most accurate predictor at any horizon

This note introduces a general method to derive recession probabilities from forecasts using real-time data in parsimoniously specified logistic regressions. I apply two specifications of the general method that produces an implied recession probability to forecasts contained in releases of the...