Market Briefing: US Yield Curve - Yardeni Research

Market Briefing: US Yield Curve &

Credit Spreads

Yardeni Research, Inc.

September 8, 2022

Dr. Edward Yardeni

516-972-7683 eyardeni@

Debbie Johnson

480-664-1333 djohnson@

Mali Quintana

480-664-1333 aquintana@

Please visit our sites at blog.

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Table Of Contents Table Of Contents

September 8, 2022 / Market Briefing: US Yield Curve & Credit Spreads

Yardeni Research, Inc.



Figure 1.

600

US YIELD CURVE* & BUSINESS CYCLE (basis points, weekly)

400

600 Latest (84)

400

200

200

9/2

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 26

* 10-year US Treasury yield less federal funds rate. Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: Federal Reserve Board.

Figure 2.

600

US YIELD CURVE* & STOCK MARKET CYCLE (basis points, weekly)

400

600 Latest (84)

400

200

200

9/2

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 26

* 10-year US Treasury yield less federal funds rate. Note: Shaded red areas are S&P 500 bear market declines of 20% or more. Yellow areas are bull markets. Source: Federal Reserve Board.

Page 1 / September 8, 2022 / Market Briefing: US Yield Curve & Credit Spreads

Yardeni Research, Inc.



Figure 3.

500

500

COMPONENTS OF LEADING ECONOMIC INDICATORS

400

400

300

300

200

200

100

Jul

100



0

0

-100

-100

-200

-200

-300

-300

Interest Rate Spread*

-400

(basis points, nsa)

-400

-500

-500

-600

-600

-700

-700

54 56 58 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 bond less federal funds rate. Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: The Conference Board.

Figure 4.

130

120 LEADING & COINCIDENT ECONOMIC INDICATORS

110

(2016=100, sa, ratio scale)

100

90

80

70

60

50

130

Jul

120

110

100

90

80

70

60

50

40

40

Economic Indicators

Leading

Coincident

30

30

9

10

16 9

18

12

22

2



20

20

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

Note: Shaded areas are recessions according to the National Bureau of Economic Research. Numbers above time line reflect number of months from peak of leading indicators to peak of business cycle. Source: The Conference Board.

Page 2 / September 8, 2022 / Market Briefing: US Yield Curve & Credit Spreads

Yardeni Research, Inc.



Figure 5.

350

US TREASURY YIELD CURVE SPREAD: 10-YEAR MINUS-2-YEAR (basis points, weekly)

250

350 Latest (-28)

250

150

150

50

50

9/2

-50

-50

-150

-150



-250

-250

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 are recessions according to the National Bureau of Economic Research. Source: Haver Analytics.

Figure 6.

600

600

US YIELD CURVE & BUSINESS CYCLE (basis points, weekly)

400

400

200

200

9/2

0

9/2

0

-200

Treasury Yield Curve Spread

-200

10-Year Minus

Federal Funds Rate (84)

-400

10-Year Minus 2-Year (-28)

-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 26

Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: Federal Reserve Board.

Page 3 / September 8, 2022 / Market Briefing: US Yield Curve & Credit Spreads

Yardeni Research, Inc.



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