The Yield Curve as a Leading Indicator:
Current Estimates
Term spread data and the probability of recession one year ahead
Term Spread Chart
The difference between 10-year and 3-month Treasury rates, which is
normally
positive,
has turned negative before each of the last seven officially-dated U.S.
recessions, with no "false signals" since 1967.
Probability of
U.S. Recession Charts
This model converts the difference between 10-year and 3-month Treasury
rates into a probability of a recession in the United States
twelve months ahead. Estimated using term spread data from January 1959
to December 2004. See references, especially, Estrella and
Hardouvelis (1991) and Estrella and Trubin (2006).
