Average Movements in 2s10s Slope Around U.S. Recessions Historically, when the U.S. 2s10s yield curve has been inverted by more than -100bps, a U.S. recession is currently happening or will happen within 8 months. Is it different this time? Image: Deutsche Bank
U.S. Recession Probability Based on Front-End Yield Curve Slope The probability of a recession in the United States is still low over the next 12 months. Image: BofA Global Research
Yield Curve – 2-Year/10-Year U.S. Treasury Slope Will the U.S. Treasury yield curve continue to flatten? Image: BCA Research
U.S. 2s10s Yield Curve Slope and U.S. 10-Year Rates (3-Month Implied Volatility) U.S. 10-year rates volatility is higher with stepper U.S. 2s10s yield curve. Image: Goldman Sachs Global Investment Research
Yield Curve – 2s-10s U.S. Treasury Slope Around the U.S. Election Date in 2016 and 2020 The U.S. Treasury yield curve could steepen following the presidential election. Image: J.P. Morgan
Probability of U.S. Recession in 12 Months Based on the Slope of the Yield Curve The yield curve slope suggests odds of a recession in the next 12 months at less than 30% in the U.S., and the continuation of economic expansion. Image: NBF Economics and Strategy
Distribution of Forward Returns by 200MA Slope This great chart shows the distribution of forward returns when the slope of S&P 500’s 200-day moving average is lower, flat or higher. Image: Ritholtz Wealth Management
Interest Rates – Fed Funds Futures Curve After the Federal Reserve’s recent meeting, the slope of the fed funds futures curve has increased slightly, indicating a shift in market expectations regarding future interest rate movements. Image: The Daily Shot
U.S. 10Y-2Y Yield Curve Slope A positive yield curve is good news for the U.S. economy. However, recession probability models based on the yield curve slope point to elevated odds of a recession in the next year. Could this time be an exception? Image: Deutsche Bank
3-Month Rate 1-Year Forward vs. 3-Month Leads U.S. GDP This chart suggests that the 1y3m-3m slope leads U.S. GDP. The 1y3m-3m slope has turned down sharply and is informative for year-head growth. Image: BofA Merrill Lynch
U.S. Recession Probabilities Over the Next Year from the Yield Curve Deutsche Bank has calculated the U.S. recession probabilities over the next year, using the slope of various yield curves. PCA (Principal Component Analysis) is used to estimate the effects of yield curve movements. Image: Deutsche Bank