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

Monthly Average (Percent)

5

4 Aug 2019 = -0.35688

-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
Probability of US Recession Predicted by Treasury Spread*
Twelve Months Ahead (month averages)
1
0.9 Aug 2020 = 37.9271%
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

*Parameters estimated using data from January 1959 to December 2009, recession probabilities predicted using data through Aug 2019.
The parameter estimates are =-0.5333, =-0.6330.
Updated 04-Sep-2019