Market Briefing: US Yield Curve - Yardeni Research
Market Briefing: US Yield Curve
Yardeni Research, Inc.
April 2, 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
April 2, 2021 / Market Briefing: US Yield Curve
Yardeni Research, Inc.
US Yield Curve
Figure 1.
600
600
US YIELD CURVE* &
BUSINESS CYCLE
400 (basis points, weekly)
400
200
200
3/26
0
0
-200
-200
-400
10-Year Treasury Yield
-400
Minus Fed Funds
Rate (158)
-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 3/26 100 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
* 10-year US Treasury yield less federal funds rate. 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.
Page 1 / April 2, 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
* 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
4/2
0
0
-200
-200
92
94
96
98
00
02
04
06
08
10
12
14
16
18
20
22
24
* 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 / April 2, 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 (1.7)
2-Year (0.2)
5
5
4
4
3
3
2
2
4/2
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
Source: Haver Analytics.
Figure 6.
350
325 US TREASURY YIELD SPREAD: 10-YEAR MINUS-2-YEAR (basis points)
300
350
Latest (153)
325
300
275
275
250
250
225
225
200
200
175
175
150
4/2
150
125
125
100
100
75
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
Source: Haver Analytics.
Page 3 / April 2, 2021 / Market Briefing: US Yield Curve
Yardeni Research, Inc.
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