Sources of Fluctuation in Short-Term Yields and Recession Probabilities

Andrea Ajello, Luca Benzoni, Makena Schwinn, Yannick Timmer and Francisco Vazquez-Grande
Additional contact information
Francisco Vazquez-Grande: https://www.federalreserve.gov/econres/francisco-vazquez-grande.htm

Chicago Fed Letter, 2022, No 469

Abstract: An inverted yield curve—defined as an episode in which long-maturity Treasury yields fall below their short-maturity counterparts—is a powerful near-term predictor of recessions. While most previous studies focus on the predictive power of the spread between the long- and short-term Treasury yields, Engstrom and Sharpe (2019) have recently shown that a measure of the nominal near-term forward spread (NTFS), given by the difference between the six-quarter-ahead forward Treasury yield and the current three-month Treasury bill rate, dominates long-term spreads as a leading indicator of economic activity.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.chicagofed.org/publications/chicago-fed-letter/2022/469

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedhle:94681

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Chicago Fed Letter from Federal Reserve Bank of Chicago Contact information at EDIRC.
Bibliographic data for series maintained by Lauren Wiese ().