Market Briefing: US Yield Curve - Yardeni Research
Market Briefing: US Yield Curve &
Credit Spreads
Yardeni Research, Inc.
November 3, 2022
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
November 3, 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 (99)
400
200
200
10/28
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 (99)
400
200
200
10/28
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 / November 3, 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
Sep 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
Sep
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 / November 3, 2022 / Market Briefing: US Yield Curve & Credit Spreads
Yardeni Research, Inc.
Figure 5.
450
US TREASURY YIELD CURVE SPREAD: 10-YEAR MINUS-2-YEAR (basis points, weekly)
350
450 Latest (-33)
350
250
250
150
150
50
50
10/28
-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
10/28
0
0
10/28
-200
Treasury Yield Curve Spread
-200
10-Year Minus
Federal Funds Rate (99)
-400
10-Year Minus 2-Year (-33)
-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 / November 3, 2022 / Market Briefing: US Yield Curve & Credit Spreads
Yardeni Research, Inc.
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