Treasury Spread: 10 yr bond rate-3 month bill rate
[Pages:1]Treasury Spread: 10 yr bond rate-3 month bill rate
Monthly Average (Percent) 5
4
Dec 2021 = 1.4092
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
Dec 2022 = 7.7036%
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
*Parameters estimated using data from January 1959 to December 2009, recession probabilities predicted using data through Dec 2021. The parameter estimates are =-0.5333, =-0.6330.
Updated 04-Jan-2022
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