Prob(recessiont) = -1.925 – 16.10 freightgrowtht + ut
McFadden R2 = 0.51 NObs = 235 (2000M01-2019M07). Coefficients significant at 5% msl bold.
Figure 1: Year-on-year growth in Cass Freight Index, in % (blue, left scale), recession probability from probit regression, in % (red, right scale). NBER recession dates shaded gray. Source: Cass Information Systems, Inc. via FRED, NBER and author’s calculations.
As Cass Information Systems, Inc. note themselves in their July report:
With the -5.9% drop in July, following the -5.3% drop in June, and the -6.0%
drop in May, we repeat our message from last two months: the shipments
index has gone from “warning of a potential slowdown” to “signaling an