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Dramatic change in yield curve

By RecessionALERT on October 21, 2019 in Reflections

The RecessionALERT yield-curve aggregate and diffusion has just made a dramatic reversal, with the percentage of 10 term-spreads that are inverted dropping from 70% to 40%: The 10YR less the 2YR narrowly averted an inversion 8 weeks ago and the 10YR-5YR and 10YR-3YR never came close to inversion. If one looks at the latest history and with the benefit of hindsight, we can see that the yield spread aggregate and its 10 components seems to be on a trend upwards. […]

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Is the U.S Yield Curve Inversion locked in?

By RecessionALERT on June 2, 2019 in Reflections

In our February 2019 commentary we forecast that the 10’s and 1’s yield-curve would invert in May. The data below is taken from that market commentary, with a warning that the indicated dates of recession have a very wide standard deviation over the historical record: The 10’s and 1’s term spread has been inverted since 23rd May, for six sessions now. The question that naturally comes to mind is “how long must the daily yield curve be inverted for us […]

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Impact of monetary policy & yield curve on future volatility

By RecessionALERT on May 27, 2019 in Research Papers

This research note investigates the relationship between the yield curve (US 10-year less US 1-year constant-maturity treasury spread) and the Federal Funds Rate (monetary policy) on the future readings of the CBOE VIX index. The 10’s vs. 1’s yield-curve and U.S recessions in the post-war era are displayed below, where it is clear that the nine recessions since 1956 were predicted by yield-curve inversion, with one false positive in 1966. The smallest lead-times to recession average 8 months, the median […]

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Yield curve inversion forecast update – Dec ’18

By RecessionALERT on January 1, 2019 in Reflections

Based on the methodology discussed here we hereby update our U.S Yield-curve inversion forecast and subsequent recession and stock market peak forecasts. All the forecast dates have moved foward by 1 month:

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Yield curve inversion & recession forecast

By RecessionALERT on September 22, 2018 in Research Papers

There is naturally a lot of focus on the U.S yield-curve at the moment, as it moves relentlessly toward inversion (when short-term rates are higher than long-term rates.) Can the history of the yield-curve inversion provide for useful forecasting as to the start dates of the next U.S recession? The 10’s vs. 1’s yield-curve and U.S recessions in the post-war era are displayed below, where it is clear that the nine recessions since 1956 were predicted by yield-curve inversion, with […]

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