Accessible Version

(Don't Fear) The Yield Curve, Reprise, Accessible Data

Figure 1: More Cowbell? Number of news articles mentioning 2-10 spread

Count. Percentage points

year-month News count for 2s10s spread (left scale) 2s10s spread (right scale)
2016-1 51 1.2168
2016-2 61 1.0509
2016-3 55 1.1253
2016-4 49 1.1281
2016-5 72 1.0301
2016-6 56 0.9393
2016-7 53 0.8348
2016-8 74 0.8115
2016-9 43 0.867
2016-10 53 1.0223
2016-11 83 1.3263
2016-12 77 1.3448
2017-1 48 1.3273
2017-2 46 1.2003
2017-3 62 1.1904
2017-4 54 1.0734
2017-5 46 0.9828
2017-6 176 0.9611
2017-7 89 0.9909
2017-8 317 0.8362
2017-9 259 0.8828
2017-10 255 0.8044
2017-11 490 0.6616
2017-12 525 0.5468
2018-1 281 0.5834
2018-2 212 0.6349
2018-3 232 0.4702
2018-4 433 0.4545
2018-5 299 0.4171
2018-6 428 0.3444
2018-7 476 0.291
2018-8 465 0.2358
2018-9 379 0.2453
2018-10 472 0.2923
2018-11 316 0.2136
2018-12 347 0.2132
2019-1 272 0.1755
2019-2 176 0.2222
2019-3 134 0.1464
2019-4 146 0.2661
2019-5 127 0.2038
2019-6 105 0.2558
2019-7 164 0.1271
2019-8 418 -0.0052
2019-9 151 0.0379
2019-10 100 0.1624
2019-11 111 0.1674
2019-12 174 0.367
2020-1 246 0.1872
2020-2 154 0.2667
2020-3 172 0.509
2020-4 104 0.4802
2020-5 129 0.51
2020-6 193 0.5229
2020-7 92 0.4385
2020-8 153 0.597
2020-9 123 0.5586
2020-10 142 0.7462
2020-11 193 0.7138
2020-12 183 0.8175
2021-1 204 1.02
2021-2 167 1.3752
2021-3 175 1.6827
2021-4 125 1.572
2021-5 124 1.5386
2021-6 187 1.2746
2021-7 226 1.1113
2021-8 146 1.1391
2021-9 111 1.301
2021-10 170 1.1469
2021-11 175 0.959
2021-12 269 0.8356
2022-1 292 0.6934
2022-2 282 0.4567
2022-3 337 0.1822

Notes: News count data for March 2022 is estimated using available daily data through 3/18. 2-10 spread data for March corresponds to 3/18.

Sources: Federal Reserve Bank of New York, Bloomberg, author calculations.

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Figure 2: Term Spreads over the past several decades

Percent

date (year + quarter/4) effective lower bound indicator recession indicator 2-10 spread-year yield spread near term forward spread
1971.2 0 0 NaN 1.4557
1971.5 0 0 NaN 1.8435
1971.8 0 0 0.19553 1.4824
1972 0 0 0.91164 1.4049
1972.2 0 0 1.1821 2.2153
1972.5 0 0 0.87396 2.1788
1972.8 0 0 0.69996 1.8904
1973 0 0 0.50091 1.3265
1973.2 0 0 0.029902 0.86488
1973.5 0 0 -0.17117 -0.011289
1973.8 0 0 -0.68362 -1.3742
1974 0 1 -0.21433 -1.027
1974.2 0 1 0.0067049 -1.0002
1974.5 0 1 -0.52135 -0.44468
1974.8 0 1 -0.51085 -0.075855
1975 0 1 -0.083707 0.096941
1975.2 0 1 0.67781 1.2665
1975.5 0 0 0.69729 2.2723
1975.8 0 0 0.16543 1.8264
1976 0 0 0.70111 2.1393
1976.2 0 0 0.98309 2.4987
1976.5 0 0 0.82417 2.2331
1976.8 0 0 1.0475 1.9745
1977 0 0 1.4618 1.5164
1977.2 0 0 1.2294 2.0039
1977.5 0 0 1.2528 1.7304
1977.8 0 0 0.81817 1.2495
1978 0 0 0.47363 1.0991
1978.2 0 0 0.49617 1.2673
1978.5 0 0 0.23998 1.6147
1978.8 0 0 -0.019208 0.96812
1979 0 0 -0.59049 0.0063262
1979.2 0 0 -0.72887 -0.47061
1979.5 0 0 -0.45935 -0.52282
1979.8 0 0 -0.46577 -0.96805
1980 0 0 -0.9709 -1.766
1980.2 0 1 -1.1913 -1.6614
1980.5 0 1 0.35925 -0.00093968
1980.8 0 0 0.49583 1.3066
1981 0 0 -0.72985 -1.6572
1981.2 0 0 -0.40914 -2.1568
1981.5 0 0 -0.92332 -1.495
1981.8 0 1 -1.2602 -0.43014
1982 0 1 0.050248 1.9149
1982.2 0 1 -0.24267 1.1066
1982.5 0 1 -0.37844 1.2135
1982.8 0 1 0.20606 3.5409
1983 0 1 0.82136 2.6722
1983.2 0 0 1.1863 1.9921
1983.5 0 0 1.017 1.6924
1983.8 0 0 0.92648 2.0902
1984 0 0 1.1776 2.3327
1984.2 0 0 1.1548 2.125
1984.5 0 0 0.96315 2.8797
1984.8 0 0 0.42671 2.3091
1985 0 0 0.91776 2.5344
1985.2 0 0 1.367 2.8465
1985.5 0 0 1.6001 2.6953
1985.8 0 0 1.6866 2.5832
1986 0 0 1.5191 1.924
1986.2 0 0 1.0131 1.1815
1986.5 0 0 0.77978 1.3942
1986.8 0 0 1.2463 1.488
1987 0 0 1.4364 1.3089
1987.2 0 0 1.1407 1.0555
1987.5 0 0 1.0723 2.229
1987.8 0 0 1.2767 2.2336
1988 0 0 1.2733 2.647
1988.2 0 0 1.3871 1.9693
1988.5 0 0 1.2959 2.0105
1988.8 0 0 0.85288 1.5919
1989 0 0 0.3818 0.8712
1989.2 0 0 -0.18755 0.6364
1989.5 0 0 -0.1326 0.24084
1989.8 0 0 0.12604 -0.056607
1990 0 0 0.15864 -0.0085008
1990.2 0 0 0.16303 0.55649
1990.5 0 0 0.20682 0.85409
1990.8 0 1 0.72079 0.72767
1991 0 1 0.90613 0.76824
1991.2 0 1 1.1902 1.3829
1991.5 0 0 1.4137 1.9778
1991.8 0 0 1.6434 1.7635
1992 0 0 2.1717 1.5797
1992.2 0 0 2.3391 2.3383
1992.5 0 0 2.5 2.511
1992.8 0 0 2.9638 1.9126
1993 0 0 2.7049 2.3326
1993.2 0 0 2.5687 1.9273
1993.5 0 0 2.3824 1.6685
1993.8 0 0 1.9393 1.5256
1994 0 0 1.8238 1.5582
1994.2 0 0 1.7804 1.9355
1994.5 0 0 1.4347 2.5563
1994.8 0 0 1.2795 2.3523
1995 0 0 0.75713 2.351
1995.2 0 0 0.47075 1.6655
1995.5 0 0 0.61656 0.62002
1995.8 0 0 0.62888 0.59007
1996 0 0 0.50911 0.25497
1996.2 0 0 0.81049 0.43696
1996.5 0 0 0.75734 1.4507
1996.8 0 0 0.68067 1.4005
1997 0 0 0.65666 1.027
1997.2 0 0 0.63443 1.2358
1997.5 0 0 0.54501 1.5107
1997.8 0 0 0.48243 1.0103
1998 0 0 0.28332 0.70231
1998.2 0 0 0.28332 0.37083
1998.5 0 0 0.18473 0.58389
1998.8 0 0 0.17847 0.2931
1999 0 0 0.47643 0.15114
1999.2 0 0 0.47389 0.55093
1999.5 0 0 0.57529 1.0489
1999.8 0 0 0.63159 1.1867
2000 0 0 0.55497 1.0326
2000.2 0 0 0.13564 1.0945
2000.5 0 0 -0.18366 0.74584
2000.8 0 0 -0.14616 -0.028812
2001 0 0 0.014898 -0.67246
2001.2 0 0 0.69201 -0.26089
2001.5 0 1 1.3211 0.95968
2001.8 0 1 1.5984 0.99571
2002 0 1 2.278 1.8484
2002.2 0 0 2.3232 2.5594
2002.5 0 0 2.2694 2.5585
2002.8 0 0 2.4816 1.1848
2003 0 0 2.5483 1.0782
2003.2 0 0 2.6501 1.049
2003.5 0 0 2.5164 0.79982
2003.8 0 0 2.8826 1.4349
2004 0 0 2.7428 1.6785
2004.2 0 0 2.6115 1.407
2004.5 0 0 2.4177 2.2409
2004.8 0 0 2.0148 1.6393
2005 0 0 1.5784 1.1795
2005.2 0 0 0.98675 1.2605
2005.5 0 0 0.62296 0.99822
2005.8 0 0 0.33948 0.69583
2006 0 0 0.22809 0.54584
2006.2 0 0 0.052389 0.11762
2006.5 0 0 0.15277 0.19764
2006.8 0 0 0.035817 -0.21161
2007 0 0 -0.022855 -0.47283
2007.2 0 0 0.0024705 -0.49784
2007.5 0 0 0.11535 -0.1361
2007.8 0 0 0.46166 -0.07129
2008 0 0 0.97926 -0.057963
2008.2 0 1 1.9778 -0.03071
2008.5 0 1 1.8206 1.1017
2008.8 0 1 1.8123 1.1429
2009 0 1 2.8483 0.87125
2009.2 1 1 2.5445 0.90327
2009.5 1 1 2.8076 1.3694
2009.8 1 0 2.9423 1.541
2010 1 0 2.9704 1.4297
2010.2 1 0 3.1296 1.452
2010.5 1 0 2.8953 1.2763
2010.8 1 0 2.4974 0.63976
2011 1 0 2.633 0.57342
2011.2 1 0 3.0071 1.0483
2011.5 1 0 2.8759 0.9183
2011.8 1 0 2.311 0.41398
2012 1 0 1.9028 0.39076
2012.2 1 0 1.8524 0.33388
2012.5 1 0 1.5808 0.30294
2012.8 1 0 1.4327 0.21154
2013 1 0 1.4795 0.23339
2013.2 1 0 1.7559 0.26737
2013.5 1 0 1.7797 0.36585
2013.8 1 0 2.4679 0.67692
2014 1 0 2.5637 0.53297
2014.2 1 0 2.5161 0.69565
2014.5 1 0 2.302 0.84585
2014.8 1 0 2.0534 1.0806
2015 1 0 1.7978 1.0644
2015.2 1 0 1.4199 1.0922
2015.5 1 0 1.6278 1.0679
2015.8 1 0 1.5931 1.088
2016 1 0 1.4184 1.1093
2016.2 0 0 1.1456 0.81041
2016.5 0 0 1.0402 0.72826
2016.8 0 0 0.8661 0.61411
2017 0 0 1.1809 0.91753
2017.2 0 0 1.2684 1.0467
2017.5 0 0 1.0121 0.61579
2017.8 0 0 0.91909 0.49246
2018 0 0 0.70273 0.6777
2018.2 0 0 0.61283 0.85121
2018.5 0 0 0.44587 0.88718
2018.8 0 0 0.26529 0.82513
2019 0 0 0.24642 0.59771
2019.2 0 0 0.17442 0.029507
2019.5 0 0 0.22499 -0.31567
2019.8 0 0 0.10357 -0.4586
2020 0 0 0.19635 -0.0021419
2020.2 1 1 0.28509 -0.0049984
2020.5 1 0 0.51678 0.097752
2020.8 1 0 0.51091 0.029534
2021 1 0 0.72526 0.079715
2021.2 1 0 1.2548 0.15848
2021.5 1 0 1.5022 0.3026
2021.8 1 0 1.1414 0.39059
2022 1 0 1.0405 0.90551
2022.2 1 0 0.59742 1.5711

Notes: The light gray shading represents recession dates, and the light blue shading represents the effective lower bound period.

Sources: Federal Reserve Bank of New York, NBER, author calculations.

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Figure 3: Term spreads over the 180 days

Percentage Points

year-month-day 2-10-year term spread near term forward spread
2021-10-4 1.2718 0.4918
2021-10-5 1.3086 0.5146
2021-10-6 1.2869 0.5303
2021-10-7 1.3219 0.5464
2021-10-8 1.3423 0.574
2021-10-11 1.3423 0.574
2021-10-12 1.2803 0.619
2021-10-13 1.2291 0.666
2021-10-14 1.2086 0.6396
2021-10-15 1.2183 0.7308
2021-10-18 1.1961 0.7645
2021-10-19 1.2768 0.7474
2021-10-20 1.2892 0.7366
2021-10-21 1.2562 0.8246
2021-10-22 1.2035 0.8505
2021-10-25 1.2176 0.8031
2021-10-26 1.1893 0.825
2021-10-27 1.0884 0.8449
2021-10-28 1.1327 0.8487
2021-10-29 1.1469 0.834
2021-11-1 1.1331 0.884
2021-11-2 1.1502 0.8
2021-11-3 1.1589 0.8437
2021-11-4 1.1498 0.7501
2021-11-5 1.0838 0.708
2021-11-8 1.0842 0.8022
2021-11-9 1.0596 0.77
2021-11-10 1.0654 0.9349
2021-11-11 1.0654 0.9349
2021-11-12 1.0705 0.9612
2021-11-15 1.1166 0.9767
2021-11-16 1.1313 0.9734
2021-11-17 1.1164 0.9549
2021-11-18 1.1013 0.946
2021-11-19 1.0387 0.9802
2021-11-22 1.0577 1.0952
2021-11-23 1.1125 1.0686
2021-11-24 1.0482 1.1099
2021-11-25 1.0482 1.1099
2021-11-26 1.0185 0.9048
2021-11-29 1.0497 0.8958
2021-11-30 0.959 0.9063
2021-12-1 0.9076 0.9473
2021-12-2 0.864 1.0422
2021-12-3 0.8029 0.9798
2021-12-6 0.832 1.0494
2021-12-7 0.8245 1.1131
2021-12-8 0.8599 1.1026
2021-12-9 0.8217 1.1382
2021-12-10 0.8369 1.1266
2021-12-13 0.7953 1.1184
2021-12-14 0.7998 1.141
2021-12-15 0.8042 1.157
2021-12-16 0.8229 1.0524
2021-12-17 0.7811 1.0693
2021-12-20 0.8083 1.0305
2021-12-21 0.8178 1.0901
2021-12-22 0.7998 1.0853
2021-12-23 0.8102 1.101
2021-12-24 0.8102 1.101
2021-12-27 0.7722 1.1521
2021-12-28 0.7827 1.1387
2021-12-29 0.8538 1.1574
2021-12-30 0.832 1.1293
2021-12-31 0.8356 1.0952
2022-1-3 0.9069 1.1535
2022-1-4 0.9648 1.1375
2022-1-5 0.9358 1.2179
2022-1-6 0.9034 1.2757
2022-1-7 0.9555 1.2756
2022-1-10 0.9186 1.3012
2022-1-11 0.9042 1.2939
2022-1-12 0.8812 1.3026
2022-1-13 0.8692 1.26
2022-1-14 0.8651 1.3579
2022-1-17 0.8651 1.3579
2022-1-18 0.8882 1.4067
2022-1-19 0.8639 1.387
2022-1-20 0.8358 1.3948
2022-1-21 0.8136 1.321
2022-1-24 0.8583 1.2387
2022-1-25 0.8442 1.2861
2022-1-26 0.7989 1.4479
2022-1-27 0.6949 1.4893
2022-1-28 0.6852 1.4376
2022-1-31 0.6934 1.3875
2022-2-1 0.7004 1.4367
2022-2-2 0.6871 1.4206
2022-2-3 0.6951 1.4561
2022-2-4 0.6672 1.5722
2022-2-7 0.6669 1.5201
2022-2-8 0.6583 1.5944
2022-2-9 0.6258 1.6282
2022-2-10 0.4755 1.7321
2022-2-11 0.4708 1.6354
2022-2-14 0.4433 1.6548
2022-2-15 0.5115 1.7158
2022-2-16 0.5468 1.6686
2022-2-17 0.5292 1.6397
2022-2-18 0.4892 1.6451
2022-2-21 0.4892 1.6451
2022-2-22 0.4268 1.6766
2022-2-23 0.4416 1.7681
2022-2-24 0.4754 1.7425
2022-2-25 0.4567 1.7641
2022-2-28 0.4409 1.5326
2022-3-1 0.4424 1.4284
2022-3-2 0.3891 1.6732
2022-3-3 0.3557 1.664
2022-3-4 0.2643 1.6387
2022-3-7 0.2577 1.6622
2022-3-8 0.2533 1.8063
2022-3-9 0.2764 1.8446
2022-3-10 0.2919 1.8964
2022-3-11 0.273 1.9228
2022-3-14 0.3107 2.0117
2022-3-15 0.3216 1.9951
2022-3-16 0.2664 2.1462
2022-3-17 0.2891 2.1941
2022-3-18 0.1822 2.209

Sources: Federal Reserve Bank of New York, author calculations.

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Figure 4: Survey-based subjective recession probability

Probability

date (year + quarter/4) recession probability recession indicator effective lower bound indicator
1971.2 0.068 0 0
1971.5 0.18 0 0
1971.8 0.0803 0 0
1972 0.0503 0 0
1972.2 0.0467 0 0
1972.5 0.0307 0 0
1972.8 0.0353 0 0
1973 0.0216 0 0
1973.2 0.0349 0 0
1973.5 0.0652 0 0
1973.8 0.1222 0 0
1974 0.4735 1 0
1974.2 0.5251 1 0
1974.5 0.3024 1 0
1974.8 0.3481 1 0
1975 0.7406 1 0
1975.2 0.605 1 0
1975.5 0.312 0 0
1975.8 0.1082 0 0
1976 0.1251 0 0
1976.2 0.0688 0 0
1976.5 0.0329 0 0
1976.8 0.0625 0 0
1977 0.0697 0 0
1977.2 0.054 0 0
1977.5 0.0395 0 0
1977.8 0.0803 0 0
1978 0.0964 0 0
1978.2 0.0665 0 0
1978.5 0.0869 0 0
1978.8 0.1096 0 0
1979 0.2138 0 0
1979.2 0.2379 0 0
1979.5 0.3957 0 0
1979.8 0.6724 0 0
1980 0.7013 0 0
1980.2 0.5056 1 0
1980.5 0.6968 1 0
1980.8 0.5217 0 0
1981 0.3776 0 0
1981.2 0.334 0 0
1981.5 0.2023 0 0
1981.8 0.3518 1 0
1982 0.5811 1 0
1982.2 0.4485 1 0
1982.5 0.2975 1 0
1982.8 0.3015 1 0
1983 0.3838 1 0
1983.2 0.1381 0 0
1983.5 0.0659 0 0
1983.8 0.101 0 0
1984 0.1036 0 0
1984.2 0.1004 0 0
1984.5 0.1163 0 0
1984.8 0.1382 0 0
1985 0.2244 0 0
1985.2 0.099 0 0
1985.5 0.1259 0 0
1985.8 0.1519 0 0
1986 0.1308 0 0
1986.2 0.1046 0 0
1986.5 0.0981 0 0
1986.8 0.1805 0 0
1987 0.2139 0 0
1987.2 0.1033 0 0
1987.5 0.1236 0 0
1987.8 0.084 0 0
1988 0.2961 0 0
1988.2 0.3235 0 0
1988.5 0.145 0 0
1988.8 0.0906 0 0
1989 0.1008 0 0
1989.2 0.145 0 0
1989.5 0.1794 0 0
1989.8 0.1671 0 0
1990 0.3053 0 0
1990.2 0.225 0 0
1990.5 0.1786 0 0
1990.8 0.4154 1 0
1991 0.7 1 0
1991.2 0.6059 1 0
1991.5 0.3125 0 0
1991.8 0.2036 0 0
1992 0.2686 0 0
1992.2 0.2513 0 0
1992.5 0.1156 0 0
1992.8 0.1688 0 0
1993 0.1173 0 0
1993.2 0.0615 0 0
1993.5 0.0782 0 0
1993.8 0.0982 0 0
1994 0.0761 0 0
1994.2 0.0404 0 0
1994.5 0.0648 0 0
1994.8 0.0825 0 0
1995 0.0848 0 0
1995.2 0.0706 0 0
1995.5 0.1282 0 0
1995.8 0.1217 0 0
1996 0.1268 0 0
1996.2 0.1903 0 0
1996.5 0.0987 0 0
1996.8 0.1046 0 0
1997 0.1119 0 0
1997.2 0.1135 0 0
1997.5 0.1053 0 0
1997.8 0.0756 0 0
1998 0.0994 0 0
1998.2 0.0833 0 0
1998.5 0.0756 0 0
1998.8 0.1327 0 0
1999 0.1561 0 0
1999.2 0.0817 0 0
1999.5 0.057 0 0
1999.8 0.0688 0 0
2000 0.1789 0 0
2000.2 0.0664 0 0
2000.5 0.0465 0 0
2000.8 0.0653 0 0
2001 0.1091 0 0
2001.2 0.3165 0 0
2001.5 0.2882 1 0
2001.8 0.2603 1 0
2002 0.488 1 0
2002.2 0.2945 0 0
2002.5 0.1438 0 0
2002.8 0.1861 0 0
2003 0.2414 0 0
2003.2 0.214 0 0
2003.5 0.141 0 0
2003.8 0.0688 0 0
2004 0.0635 0 0
2004.2 0.0468 0 0
2004.5 0.0434 0 0
2004.8 0.0639 0 0
2005 0.0961 0 0
2005.2 0.0806 0 0
2005.5 0.0677 0 0
2005.8 0.0541 0 0
2006 0.0757 0 0
2006.2 0.0699 0 0
2006.5 0.0696 0 0
2006.8 0.0966 0 0
2007 0.1498 0 0
2007.2 0.1314 0 0
2007.5 0.14 0 0
2007.8 0.1695 0 0
2008 0.2251 0 0
2008.2 0.4291 1 0
2008.5 0.2867 1 0
2008.8 0.4657 1 0
2009 0.7478 1 0
2009.2 0.7398 1 1
2009.5 0.4647 1 1
2009.8 0.2373 0 1
2010 0.1588 0 1
2010.2 0.1162 0 1
2010.5 0.0981 0 1
2010.8 0.1681 0 1
2011 0.1288 0 1
2011.2 0.0708 0 1
2011.5 0.0847 0 1
2011.8 0.2092 0 1
2012 0.1657 0 1
2012.2 0.1341 0 1
2012.5 0.1216 0 1
2012.8 0.1699 0 1
2013 0.2304 0 1
2013.2 0.1799 0 1
2013.5 0.1432 0 1
2013.8 0.1121 0 1
2014 0.1112 0 1
2014.2 0.093 0 1
2014.5 0.1006 0 1
2014.8 0.0974 0 1
2015 0.1032 0 1
2015.2 0.093 0 1
2015.5 0.1103 0 1
2015.8 0.1004 0 1
2016 0.13 0 1
2016.2 0.1469 0 0
2016.5 0.1463 0 0
2016.8 0.1564 0 0
2017 0.1395 0 0
2017.2 0.1121 0 0
2017.5 0.1092 0 0
2017.8 0.1046 0 0
2018 0.1044 0 0
2018.2 0.0908 0 0
2018.5 0.0859 0 0
2018.8 0.1053 0 0
2019 0.106 0 0
2019.2 0.1124 0 0
2019.5 0.1314 0 0
2019.8 0.1425 0 0
2020 0.1814 0 0
2020.2 0.1488 1 1
2020.5 0.4377 0 1
2020.8 0.2036 0 1
2021 0.2036 0 1
2021.2 0.1274 0 1
2021.5 0.0731 0 1
2021.8 0.095 0 1
2022 0.1333 0 1
2022.2 0.1481 0 1

Notes: Recession probability is for the subsequent calendar quarter. The dark gray shading represents recession dates, and the light blue shading represents the effective lower bound period.

Sources: Survey of Processional Forecasters and NBER.

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Last Update: March 25, 2022