Stats › Valuation › Yield curve
The Fed says the 2 to 10 spread adds no information
| 10 year minus 2 year | Near term forward spread | |
|---|---|---|
| What it contains | Rate expectations plus the term premium | Expected Fed policy over about 18 months |
| Moved by quantitative easing and pension demand | Yes | No, removed by construction |
| The Fed researchers' finding | Adds no incremental information | Predicts recessions, GDP growth and equity returns |
Source: Federal Reserve, Don't Fear the Yield Curve, Reprise, FEDS Notes, 25 March 2022.
An inverted yield curve means short rates sit above long rates. The Federal Reserve's own researchers find the popular 10 year minus 2 year spread adds no information once a near term forward spread is counted. The curve reports pessimism rather than causing it.
about 18 monthsBetter spread's horizon
no informationPopular spread adds
reverse causalityMechanism
eight or nineUS recessions in sample
Members only
The rest of this page is for members
Below this point there are 5 sections and 2 named sources, roughly 650 words of it. Every figure carries the source it came from and the date the data is from.
You can keep browsing every statistic in the library for free. The intro and the summary are always open.