Translated from the Spanish original. Where they differ, the Spanish one holds.
What it shows: three recognised recession signals for the euro area and for the US, each with its record against the recessions in its own data, and a combined signal (block B5 of the redesign, docs/plan-rediseno.md). It replaces the yield curve alone (curva-de-tipos.md), which stays as its first signal.
Signals and thresholds
The thresholds are the usual ones in the literature. They are not tuned to this data: tuning them would make the record look better than it is.
| Signal | Signals when | Reference |
|---|---|---|
| 10-year − 3-month rate | below 0 (inverted curve) | Estrella and Mishkin (1996), New York Fed |
| 10-year − 2-year rate | below 0 | common market use |
| Sahm rule | the 3-month average unemployment rate rises 0.5 points or more above its low of the 12 months before | Sahm (2019) |
| Combined | the weights of the signals that are on reach half of the total; each signal's weight is how often its warnings were right in that area (right warnings / warnings) | Horalis's rule (21 October 2026, asked for by Marek) |
Data (all official and open)
| Area | Series | Source | Licence |
|---|---|---|---|
| Euro area | AAA curve at 10 years, 3 months and 2 years, daily, monthly average | ECB, ECB Data Portal, YC | ESCB reuse policy: free, unmodified, "Source: ECB statistics" |
| Euro area | Unemployment, seasonally adjusted, monthly, EA21 (from 2000) | Eurostat, une_rt_m | CC BY 4.0 |
| Euro area | Recessions | CEPR-EABCN committee | citation |
| US | Treasury constant-maturity yields, daily, monthly average | Federal Reserve, H.15 | public domain |
| US | Unemployment, LNS14000000 | BLS | public domain |
| US | Recessions | NBER committee | citation |
A recession runs from the month after the peak to the trough (in the euro area, from the quarter after the peak to the trough quarter, as months).
scripts/signals.ts downloads it once a year (the official-data workflow). FRED does not answer from every network, so each original publisher is read directly. The "Update from the ECB" button brings the euro area rates straight to the browser; nothing goes through Horalis.
Left out: the PMI (S&P Global, paid licence, not reusable) and the credit spread (the ICE BofA and Moody's series have proprietary licences, on FRED too). There is no official, open alternative with enough history.
How each signal is judged
- Each run of consecutive signalling months is a warning.
- A warning is a hit if it starts during a recession or up to 24 months before one starts. Otherwise it is a false alarm.
- A recession counts only if the data covers its start. It is signalled if some warning hit it.
- Lead: months from the first warning to the recession's start; the median is given. Negative: the warning came late, already inside.
Code: projects/recession-signals/src/signals.ts, with tests.
Result with the data of 21 October 2026
| Area | Signal | Recessions signalled | False alarms | Median lead |
|---|---|---|---|---|
| Euro area | 10-year − 3-month (from 2004) | 0 of 3 | 1 | — |
| Euro area | 10-year − 2-year (from 2004) | 0 of 3 | 1 | — |
| Euro area | Sahm rule | 2 of 3 | 1 | 4 months late |
| Euro area | Combined (weights 0 / 0 / 100) | 2 of 3 | 1 | 4 months late |
| US | 10-year − 3-month (from 1981) | 4 of 4 | 3 | 12 months |
| US | 10-year − 2-year (from 1976) | 5 of 6 | 2 | 17 months |
| US | Sahm rule (from 1949) | 11 of 11 | 3 | 2 months late |
| US | Combined (from 1981, weights 30 / 36 / 35) | 3 of 4 | 1 | 14 months |
The weights, in the order 10-year − 3-month / 10-year − 2-year / Sahm, are each signal's record in its area: in the euro area 0 of 1, 0 of 1 and 2 of 3 warnings right; in the US 7 of 10, 10 of 12 and 13 of 16 (out of 100, rounded). The page shows them by area. Until 21 October the combined signal was "two of the three at once": 0 of 3 in the euro area and 3 of 4 in the US.
Limits (and what the page always says)
- The weights come from the same history the combined signal is judged on (in sample): its record looks better than it would on new data. The page says so beside the weights. In the euro area, with the spreads never right, the combined signal is the Sahm rule.
- It is a historical signal, not a forecast or a recommendation.
- In the euro area the curve only exists from 2004: three recessions, and the curve signalled none. Its only inversion (2023–2024) was a false alarm as of October 2026.
- The Sahm rule tends to arrive once the recession has begun: it confirms, it does not anticipate.
- Few recessions: one hit more or less changes the record a lot.