Market Briefing: US Yield Curve - Yardeni Research
Market Briefing: US Yield Curve
Yardeni Research, Inc.
December 21, 2021
Dr. Edward Yardeni
516-972-7683 eyardeni@
Debbie Johnson
480-664-1333 djohnson@
Mali Quintana
480-664-1333 aquintana@
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Table Of Contents Table Of Contents
US Yield Curve
1-8
December 21, 2021 / Market Briefing: US Yield Curve
Yardeni Research, Inc.
Figure 1.
600
US YIELD CURVE* & BUSINESS CYCLE 400 (basis points, weekly)
US Yield Curve
600 Latest (136)
400
200
200
12/17
0
0
-200
-200
-400
-400
-600
-600
-800
-800
62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24
* 10-year US Treasury yield less federal funds rate. Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Federal Reserve Board.
Figure 2.
800
700 US YIELD CURVE* & FINANCIAL CRISES (basis points, weekly)
600
1997 Pacific
Rim 2001
500
1970 1974 Penn Franklin
1980 1984 Silver Continental
1990 1994 S&L Mexican
9/11 Attacks
2007 Subprime
400
Central National Bubble Illinois
Crisis Peso
2000
Meltdown
300
Tech Bubble
200
100
0
800 700 600 500 400 300 200 12/17 100 0
-100
-100
-200
-200
1987
1998
2008
2020
-300
Black
Russia
Lehman
Covid-19
-300
Monday
& LTCM
& AIG
-400
-400
-500
-500
1982
-600
Drysdale
-600
& Mexico
-700
-700
-800
-800
62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26
* 10-year US Treasury yield less federal funds rate. Note: Blue shaded areas are periods of monetary easing between cyclical peaks and troughs in the federal funds rate. Red shaded areas are monetary tightening periods Source: Federal Reserve Board.
Page 1 / December 21, 2021 / Market Briefing: US Yield Curve
Yardeni Research, Inc.
US Yield Curve
Figure 3.
600
600
US YIELD CURVE* &
MONETARY POLICY CYCLE
400
(basis points, weekly)
400
200
200
12/25
0
0
-200
-200
-400
-400
-600
-600
-800
-800
60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26
* 10-year Treasury yield less federal funds rate. Monthly through 1987, then weekly. Note: Blue shaded areas denote periods of monetary easing between cyclical peaks and troughs in the federal funds rate. Red shaded areas denote monetary tightening periods. Source: Federal Reserve Board.
Figure 4.
600
600
TEN-YEAR TREASURY YIELD MINUS 3-MONTH TREASURY BILL* & BEAR MARKETS IN STOCKS (basis points)
400
400
200
200
12/20
0
0
-200
-200
92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26
* Secondary market Note: Shaded red areas denote S&P 500 bear market declines of 20% or more. Yellow areas show bull markets. Source: Board of Governors of the Federal Reserve System.
Page 2 / December 21, 2021 / Market Briefing: US Yield Curve
Yardeni Research, Inc.
US Yield Curve
Figure 5.
8
8
US TREASURY YIELDS: 10-YEAR vs. 2-YEAR
(percent)
7
7
6
6
10-Year (1.5)
2-Year (0.7)
5
5
4
4
3
3
2
2
12/21
1
1
0
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025
Source: Haver Analytics.
Figure 6.
350
325 US TREASURY YIELD SPREAD: 10-YEAR MINUS-2-YEAR (basis points)
300
350 Latest (78) 325
300
275
275
250
250
225
225
200
200
175
175
150
150
125
125
100
100
75
12/21
75
50
50
25
25
0
0
-25
-25
-50
-50
-75
-75
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025
Source: Haver Analytics.
Page 3 / December 21, 2021 / Market Briefing: US Yield Curve
Yardeni Research, Inc.
US Yield Curve
Figure 7.
400
400
YIELD CURVE SPREADS
300
(basis points,weekly)
300
2-Year Less Federal Funds Rate
200
200
100
100
12/17
0
0
-100
-100
-200
-200
-300
-300
83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26
400
400
10-Year Less 2-Year
300
300
200
200
100
100
12/17
0
0
-100
-100
83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26
30-Year Less 10-Year
150
150
50
50
12/17
-50
-50
83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26
Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Federal Reserve Board.
Page 4 / December 21, 2021 / Market Briefing: US Yield Curve
Yardeni Research, Inc.
US Yield Curve
Figure 8.
600
600
500
YIELD CURVE: 2-YEAR TREASURY MINUS FEDERAL FUNDS RATE
500
400
(basis points, weekly)
400
300
300
200
200
100
100
12/17
0
0
-100
-100
-200
-200
-300
-300
-400
-400
-500
-500
-600
-600
-700
-700
-800
-800
76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26
Note: Shaded areas denote recessions according to the National Bureau of Economic Research. * 2-year Treasury yield less federal funds rate.
Source: Board of Governors of the Federal Reserve System.
Figure 9.
350
350
US TREASURY YIELD CURVE SPREADS
(basis points, daily)
300
300
Yield Curve Spreads
250
10-Year Minus 2-Year (75.0)
250
5-Year Minus 2-Year (52.0)
200
200
150
150
100
100
12/17
50
50
0
0
-50
-50
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024
Source: Federal Reserve Board.
Page 5 / December 21, 2021 / Market Briefing: US Yield Curve
Yardeni Research, Inc.
US Yield Curve
Figure 10.
100
600
YIELD CURVE & CONSUMER CONFIDENCE INDEX
500
400
50
300
200 Nov
100
0
0
-100
-200
-50
Yield Curve* (basis points)
CCI: Expectations Component Minus Present Situation Component
-300 Nov
-400
-500
-100
-600
85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26
* 10-year US Treasury yield less federal funds rate. Source: The Conference Board and Federal Reserve Board.
Figure 11.
5
5
YIELD CURVE SPREADS
4
4
3
3
2
2
1
1
Q1
0
0
-1
Yield Curve Spreads
-1
2-to-10 Year Spread
0-to-6 Quarter Forward Spread
-2
-2
-3
-3
72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24
* Data for Q1-2019 is an FRB estimate based on data through January. Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Federal Reserve Board.
Page 6 / December 21, 2021 / Market Briefing: US Yield Curve
Yardeni Research, Inc.
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