Treasury Spread: 10 yr bond rate-3 month bill rate

Treasury Spread: 10 yr bond rate-3 month bill rate

Monthly Average (Percent) 5

4

Aug 2022 = 0.21563

3

2

1

0

-1

-2

-3

-4

1959 1961 1963 1965 1967 1969 1971 1973 1975 1977 1979 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

Probability of US Recession Predicted by Treasury Spread*

Twelve Months Ahead (month averages) 1

0.9

Aug 2023 = 25.1495%

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0

1961 1963 1965 1967 1969 1971 1973 1975 1977 1979 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 2023

*Parameters estimated using data from January 1959 to December 2009, recession probabilities predicted using data through Aug 2022. The parameter estimates are =-0.5333, =-0.6330.

Updated 09-Sep-2022

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