In Search of... the Inverted Yield Curve

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grayfox
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Joined: Sat Sep 15, 2007 4:30 am

In Search of... the Inverted Yield Curve

Post by grayfox » Sat Jul 21, 2018 1:41 pm

I'm seeing posts about inverted yield curves. There are some theories that they can predict that a recession is imminent. So I decided to looked at the yield curve prior to the last recession, a.k.a The Great Recession.

According to NBER, the last recession started in Dec-2007 and ended Jun-2009. The contraction, from peak to trough, lasted 18 months. The prior expansion lasted 73 months.

I downloaded Daily Treasury Yield Curve Rates for 2005-08 and Effective Federal Funds Rate (FEDFUNDS). Then I computed the deltas across the yield curve. Usually, the yield curve is rising and the deltas are positive. Negative deltas indicate some inversion. The numbers are in basis points (bps) which is 1/100 of 1 percent or parts per 10,000.

Code: Select all

Date			1M–FFR	3M-1M	6M-3M	1Y-6M	2Y-1Y	3Y-2Y	5Y-3Y	7Y-5Y	10Y-7Y	20Y-10Y	30Y-20Y

Code: Select all

01/03/05		-29	33	31	16	31	18	36	30	29	61	
01/04/05		-23	28	30	19	38	18	34	30	27	62	
01/05/05		-24	29	30	20	39	17	34	29	27	59	
01/06/05		-24	27	32	19	36	18	35	30	28	59	
01/07/05		-25	29	31	19	38	20	33	30	26	59	
01/10/05		-21	29	31	19	37	18	34	28	26	57	
01/11/05		-25	31	33	19	38	17	32	27	26	57	
01/12/05		-27	33	30	20	38	16	34	28	25	56	
01/13/05		-22	29	30	19	37	15	32	27	25	55	
01/14/05		-22	31	31	19	37	17	30	26	26	53	
01/18/05		-23	34	32	19	36	16	30	25	24	52	
01/19/05		-33	42	32	19	38	16	31	24	23	51	
01/20/05		-39	46	32	18	36	17	30	26	23	53	
01/21/05		-26	34	30	17	33	17	32	27	24	53	
01/24/05		-23	32	32	17	34	16	29	25	24	51	
01/25/05		-15	26	31	18	35	16	32	26	23	52	
01/26/05		-12	25	30	19	37	16	30	25	23	51	
01/27/05		-12	28	28	19	37	17	30	25	22	51	
01/28/05		-16	34	25	18	36	16	28	24	23	50	
01/31/05		-22	45	28	17	33	14	28	21	22	50	
02/01/05		-27	28	26	18	34	14	28	22	22	50	
02/02/05		-28	29	25	19	37	15	26	20	22	48	
02/03/05		-32	30	28	20	38	17	25	21	21	46	
02/04/05		-30	27	28	18	36	15	24	20	21	45	
02/07/05		-23	24	27	18	35	15	21	20	20	42	
02/08/05		-16	15	29	19	36	14	21	18	19	41	
02/09/05		-16	17	26	16	31	14	20	21	21	43	
02/10/05		-15	16	27	18	33	14	22	21	21	45	
02/11/05		-14	19	28	17	34	14	22	20	20	45	
02/14/05		-13	22	25	19	35	13	19	18	20	43	
02/15/05		-10	19	27	17	34	14	20	20	19	45	
02/16/05		-11	18	29	19	36	15	22	19	19	44	
02/17/05		-10	18	27	18	35	17	23	21	20	46	
02/18/05		-11	22	29	19	36	17	24	21	20	45	
02/22/05		-7	24	27	18	34	16	26	21	20	46	
02/23/05		-3	20	27	18	34	17	24	21	19	46	
02/24/05		-2	21	25	19	39	15	24	19	19	45	
02/25/05		0	24	21	20	39	14	23	18	18	45	
02/28/05		1	25	25	19	39	16	25	18	18	43	
03/01/05		-8	20	25	20	39	17	26	17	19	42	
03/02/05		-9	20	26	19	38	18	25	20	18	44	
03/03/05		-8	21	24	19	40	17	26	18	19	43	
03/04/05		-7	20	25	19	37	16	24	18	17	41	
03/07/05		-4	17	26	20	39	15	23	16	16	39	
03/08/05		-2	14	28	20	39	17	26	17	16	40	
03/09/05		-3	16	27	21	42	21	29	19	17	40	
03/10/05		-3	15	29	21	43	19	26	16	19	37	
03/11/05		-3	16	30	22	45	21	28	17	17	37	
03/14/05		-1	18	30	22	43	20	25	16	16	38	
03/15/05		7	11	29	22	43	21	26	16	16	39	
03/16/05		5	12	29	21	42	20	26	17	17	39	
03/17/05		5	11	29	21	41	19	25	16	17	40	
03/18/05		7	11	30	21	40	19	27	16	17	41	
03/21/05		9	13	28	20	39	21	25	17	18	41	
03/22/05		14	12	28	23	46	20	25	14	18	38	
03/23/05		9	11	31	24	46	21	25	15	16	38	
03/24/05		7	14	32	25	47	18	24	14	16	37	
03/28/05		6	15	35	24	47	19	24	15	16	37	
03/29/05		7	14	33	24	46	18	25	14	16	38	
03/30/05		8	12	32	24	47	17	23	14	16	37	
03/31/05		0	16	34	22	45	16	22	15	17	38	
04/01/05		-13	14	33	21	41	15	23	16	17	39	
04/04/05		-15	16	34	20	40	16	23	17	17	37	
04/05/05		-16	16	34	21	41	16	24	16	17	39	
04/06/05		-19	16	35	20	39	16	23	17	18	41	
04/07/05		-18	16	35	20	40	17	24	17	19	41	
04/08/05		-18	18	35	21	42	17	23	15	18	38	
04/11/05		-19	16	41	20	38	16	22	15	17	39	
04/12/05		-17	14	40	18	37	14	20	15	18	40	
04/13/05		-17	15	38	17	34	17	20	17	18	42	
04/14/05		-17	16	36	16	30	16	23	18	20	43	
04/15/05		-16	16	33	14	28	14	22	19	18	46	
04/18/05		-12	23	25	14	26	14	21	18	19	43	
04/19/05		-6	18	22	13	24	14	21	17	19	43	
04/20/05		-14	22	24	14	27	13	21	17	19	44	
04/21/05		-20	29	25	18	34	12	20	16	19	41	
04/22/05		-15	29	21	16	32	11	19	16	18	42	
04/25/05		-12	26	26	15	30	11	19	14	18	39	
04/26/05		-9	21	27	17	32	10	19	14	18	39	
04/27/05		-14	24	28	16	31	11	17	14	19	40	
04/28/05		-19	28	27	15	29	8	18	14	20	41	
04/29/05		-9	20	27	16	33	7	17	13	18	40	
05/02/05		-32	25	26	15	30	7	17	14	19	40	
05/03/05		-35	26	28	16	33	5	17	13	18	39	
05/04/05		-41	28	30	15	31	7	17	14	19	44	
05/05/05		-40	21	33	15	29	7	17	16	21	45	
05/06/05		-36	23	32	18	36	7	15	14	19	41	
05/09/05		-34	25	31	18	36	7	16	12	18	40	
05/10/05		-40	30	30	17	32	10	14	11	19	42	
05/11/05		-40	27	31	17	33	10	13	10	20	40	
05/12/05		-42	30	29	17	32	9	12	12	19	41	
05/13/05		-53	36	30	16	32	10	12	12	17	44	
05/16/05		-52	41	29	15	28	10	12	7	23	43	
05/17/05		-40	28	29	15	29	10	11	6	24	42	
05/18/05		-40	26	29	14	27	11	10	6	24	42	
05/19/05		-37	24	27	17	33	9	11	2	25	41	
05/20/05		-34	24	27	18	34	8	11	1	24	39	
05/23/05		-31	28	22	16	30	8	10	0	24	39	
05/24/05		-18	12	23	15	29	7	10	2	24	39	
05/25/05		-21	16	22	15	29	7	13	4	23	40	
05/26/05		-23	17	21	16	33	8	10	10	16	41	
05/27/05		-23	20	17	17	33	8	10	10	16	41	
05/31/05		-20	19	19	14	28	5	11	10	14	40	
06/01/05		-25	18	15	13	25	5	8	11	17	40	
06/02/05		-24	17	16	13	26	4	9	9	15	39	
06/03/05		-22	19	12	15	29	6	10	10	15	36	
06/06/05		-21	19	13	15	29	5	9	9	14	35	
06/07/05		-22	20	12	14	29	5	8	8	14	34	
06/08/05		-21	19	13	15	30	5	8	8	14	34	
06/09/05		-23	18	15	17	33	4	8	8	14	33	
06/10/05		-22	19	13	19	38	4	9	8	13	34	
06/13/05		-22	21	19	16	33	6	10	9	13	35	
06/14/05		-26	23	21	17	32	7	11	10	14	36	
06/15/05		-26	22	22	17	33	7	11	9	13	37	
06/16/05		-28	22	23	17	32	6	11	9	13	36	
06/17/05		-25	20	24	16	33	4	12	9	12	35	
06/20/05		-23	21	24	16	30	6	10	10	13	35	
06/21/05		-19	17	26	14	29	4	9	9	13	34	
06/22/05		-20	19	22	12	25	3	7	9	14	36	
06/23/05		-25	28	20	12	24	3	8	8	14	36	
06/24/05		-26	31	18	11	21	4	6	9	14	36	
06/27/05		-19	30	18	9	18	2	7	8	13	35	
06/28/05		-5	15	21	11	19	3	8	8	13	33	
06/29/05		-9	18	20	11	21	4	8	8	14	34	
06/30/05		-5	14	21	11	21	1	5	8	14	34	
07/01/05		-24	15	21	13	25	1	7	8	14	31	
07/05/05		-23	19	21	12	24	3	8	8	13	32	
07/06/05		-22	15	22	12	24	3	6	9	13	32	
07/07/05		-26	15	22	11	23	4	8	9	13	32	
07/08/05		-27	18	22	13	26	4	7	9	13	31	
07/11/05		-28	21	27	12	23	4	6	8	12	31	
07/12/05		-24	19	27	11	23	6	6	9	12	31	
07/13/05		-23	19	24	13	25	5	7	8	13	30	
07/14/05		-22	19	24	13	26	5	7	8	13	30	
07/15/05		-22	22	22	13	25	6	6	8	12	29	
07/18/05		-20	24	24	12	23	5	7	9	12	31	
07/19/05		-13	18	23	11	23	5	6	8	13	30	
07/20/05		-15	19	24	12	24	3	6	7	11	30	
07/21/05		-13	22	25	12	24	5	8	7	12	30	
07/22/05		-10	22	23	11	20	5	7	7	12	29	
07/25/05		-6	24	24	9	18	4	7	8	11	28	
07/26/05		-1	18	24	9	19	5	6	8	10	29	
07/27/05		-3	17	27	10	22	5	5	7	11	28	
07/28/05		-1	16	25	9	21	4	4	6	10	28	
07/29/05		-1	17	27	11	22	4	6	7	9	28	
08/01/05		-20	18	25	10	21	5	7	6	10	27	
08/02/05		-15	14	24	11	22	4	7	7	10	28	
08/03/05		-16	12	26	10	20	5	6	7	10	28	
08/04/05		-16	13	25	11	21	5	6	7	10	28	
08/05/05		-15	17	23	12	24	5	8	6	10	26	
08/08/05		-12	16	28	11	23	6	6	6	8	26	
08/09/05		-13	15	27	11	23	6	6	6	10	25	
08/10/05		-12	13	27	12	23	5	6	6	10	25	
08/11/05		-19	20	27	11	21	4	4	6	8	28	
08/12/05		-18	20	27	9	17	3	3	5	8	28	
08/15/05		-22	26	28	9	17	3	4	5	7	26	
08/16/05		-18	22	26	8	15	3	4	5	8	26	
08/17/05		-19	21	28	9	18	3	5	5	8	25	
08/18/05		-20	20	28	8	15	3	4	5	8	27	
08/19/05		-17	19	29	8	14	2	3	5	8	26	
08/22/05		-16	19	29	7	14	3	2	6	8	26	
08/23/05		-16	19	28	7	13	2	4	5	8	26	
08/24/05		-16	19	28	6	12	4	3	5	8	27	
08/25/05		-16	20	27	6	13	3	3	5	7	27	
08/26/05		-14	19	27	8	16	1	2	4	7	26	
08/29/05		-8	12	29	8	15	1	1	5	7	25	
08/30/05		-10	14	25	6	12	4	2	5	8	27	
08/31/05		-9	11	22	3	7	-1	4	6	9	28	
09/01/05		-27	13	14	4	6	8	5	6	11	29	
09/02/05		-24	8	17	4	8	4	6	7	11	30	
09/06/05		-23	13	18	3	7	3	6	8	12	30	
09/07/05		-26	13	24	4	10	2	4	8	14	31	
09/08/05		-31	17	25	4	10	2	5	9	12	30	
09/09/05		-30	17	24	5	10	2	4	7	13	31	
09/12/05		-29	18	28	4	9	1	5	8	12	32	
09/13/05		-32	17	30	4	7	0	5	8	13	33	
09/14/05		-37	17	34	5	9	1	5	8	13	33	
09/15/05		-39	22	32	4	9	3	6	9	14	34	
09/16/05		-39	27	31	5	11	3	5	8	13	35	
09/19/05		-39	35	26	3	6	2	7	9	14	35	
09/20/05		-33	32	28	3	8	1	5	8	12	33	
09/21/05		-60	39	42	5	8	0	5	7	11	33	
09/22/05		-63	48	34	5	9	0	4	8	12	33	
09/23/05		-56	42	34	7	13	1	4	7	11	32	
09/26/05		-43	33	36	7	12	1	3	7	12	30	
09/27/05		-47	34	38	8	13	1	4	7	10	30	
09/28/05		-50	34	41	8	14	0	2	6	9	29	
09/29/05		-53	45	35	8	16	0	1	6	9	30	
09/30/05		-47	40	38	8	17	0	0	5	11	28	
10/03/05		-56	39	41	7	12	2	2	6	8	28	
10/04/05		-43	28	39	7	13	0	2	6	8	28	
10/05/05		-44	24	42	7	14	-1	3	5	8	27	
10/06/05		-44	27	39	7	13	1	2	5	9	27	
10/07/05		-43	28	37	6	12	1	4	5	7	27	
10/11/05		-37	32	37	4	8	1	4	5	7	26	
10/12/05		-29	21	40	4	10	3	5	5	8	26	
10/13/05		-28	25	34	5	10	3	5	6	10	29	
10/14/05		-29	29	30	7	12	3	4	6	8	28	
10/17/05		-25	33	31	4	8	2	5	5	9	27	
10/18/05		-21	28	30	4	8	3	4	6	9	29	
10/19/05		-21	29	29	3	7	3	4	6	9	29	
10/20/05		-32	39	31	4	7	2	4	5	8	29	
10/21/05		-30	39	29	2	4	1	3	5	8	29	
10/24/05		-27	41	28	2	3	3	4	5	8	29	
10/25/05		-7	22	28	5	8	2	5	5	8	26	
10/26/05		-8	20	31	6	11	4	4	6	8	27	
10/27/05		-6	16	32	6	10	3	4	6	8	27	
10/28/05		-3	18	29	6	12	2	4	5	7	26	
10/31/05		-1	21	28	5	9	1	4	4	8	27	
11/01/05		-22	18	29	6	11	2	3	4	7	27	
11/02/05		-23	17	31	6	12	3	4	4	7	27	
11/03/05		-19	13	33	6	14	3	5	4	6	29	
11/04/05		-20	18	29	7	13	3	6	4	6	29	
11/07/05		-19	15	35	5	11	3	5	4	6	28	
11/08/05		-12	8	34	4	9	4	2	3	5	29	
11/09/05		-9	8	33	5	12	4	2	3	6	29	
11/10/05		-11	8	33	4	10	4	1	2	4	30	
11/14/05		-7	9	33	5	10	2	2	3	4	29	
11/15/05		1	0	33	4	9	3	1	1	4	27	
11/16/05		0	0	30	4	8	1	0	2	4	28	
11/17/05		-2	3	29	2	5	2	0	3	4	29	
11/18/05		-5	6	30	3	6	1	2	2	5	29	
11/21/05		-7	7	30	3	6	0	0	3	4	30	
11/22/05		-6	-1	30	3	6	1	1	3	6	33	
11/23/05		-6	1	34	2	5	0	2	3	6	33	
11/25/05		-9	4	32	2	4	0	1	3	6	33	
11/28/05		-6	4	33	1	1	-1	0	3	6	30	
11/29/05		-1	-1	34	3	5	0	0	2	6	30	
11/30/05		0	-5	36	3	8	-1	1	3	4	32	
12/01/05		-17	-2	35	4	9	-1	1	2	5	31	
12/02/05		-16	-1	32	4	8	0	2	3	4	29	
12/05/05		-15	3	31	4	8	1	2	3	4	28	
12/06/05		-32	20	29	3	6	-1	1	2	5	30	
12/07/05		-32	19	29	3	7	0	1	3	6	28	
12/08/05		-49	27	33	3	7	-1	0	3	8	28	
12/09/05		-54	32	33	6	10	0	1	3	7	29	
12/12/05		-57	31	44	4	7	0	1	3	7	26	
12/13/05		-55	30	43	3	6	0	1	3	7	27	
12/14/05		-55	28	41	2	5	-1	0	2	7	28	
12/15/05		-56	33	38	2	4	0	1	3	6	28	
12/16/05		-60	37	37	2	5	-2	1	3	6	27	
12/19/05		-60	40	41	1	0	-1	0	2	6	27	
12/20/05		-61	40	42	2	3	-1	-1	1	6	27	
12/21/05		-60	42	37	3	5	0	-1	2	5	26	
12/22/05		-61	43	34	3	5	-2	0	1	5	25	
12/23/05		-68	51	33	1	4	-3	-2	1	5	25	
12/27/05		-65	47	37	0	0	-4	-1	1	3	24	
12/28/05		-59	38	38	1	3	-3	-2	2	4	24	
12/29/05		-49	34	33	1	3	-3	-2	1	3	23	
12/30/05		-15	7	29	1	3	-4	-2	1	3	22	
01/03/06		-24	11	24	-2	-4	-4	0	2	5	25	
01/04/06		-26	16	18	-2	-4	-3	0	3	5	24	
01/05/06		-24	15	17	-1	-4	-3	0	2	5	25	
01/06/06		-23	16	17	-1	-2	-4	0	1	5	25	
01/09/06		-20	14	17	-1	-3	-4	0	2	4	25	
01/10/06		-14	14	13	0	-1	-5	0	2	5	25	
01/11/06		-13	14	15	-1	0	-5	0	2	5	24	
01/12/06		-13	16	11	-1	-3	-4	0	2	5	24	
01/13/06		-16	20	10	-3	-6	-5	-1	2	6	23	
01/17/06		-18	27	9	-5	-9	-5	-1	2	5	23	
01/18/06		-25	31	11	-4	-9	-4	-1	2	4	24	
01/19/06		-31	37	12	-4	-6	-5	-1	2	5	23	
01/20/06		-34	40	13	-4	-7	-5	-1	1	5	22	
01/23/06		-31	40	12	-5	-10	-4	-1	1	5	23	
01/24/06		-5	16	11	-5	-9	-4	-1	2	6	23	
01/25/06		-7	20	12	-3	-5	-5	0	2	6	23	
01/26/06		-12	28	9	-2	-3	-4	-1	2	7	23	
01/27/06		-10	26	10	-1	-3	-5	-1	2	5	23	
01/30/06		-11	30	14	-3	-7	-5	-1	3	5	23	
01/31/06		8	10	12	-1	-4	-5	-2	2	4	21	
02/01/06		-16	14	13	0	-1	-5	-3	1	5	20	
02/02/06		-17	16	14	-1	-2	-5	-3	2	4	19	
02/03/06		-18	17	15	-1	-3	-5	-4	1	3	16	
02/06/06		-17	16	20	-2	-4	-5	-6	1	3	14	
02/07/06		-16	16	18	-2	-4	-4	-5	2	3	16	
02/08/06		-15	16	17	-1	-2	-3	-6	0	1	19	
02/09/06		-17	20	15	-1	0	-4	-7	0	-1	18	-21
02/10/06		-13	17	17	0	-1	-2	-8	0	0	17	-21
02/13/06		-11	17	16	-1	-2	-2	-8	0	0	18	-20
02/14/06		-7	13	17	-1	-2	-1	-7	0	1	18	-20
02/15/06		-10	16	15	0	1	-3	-8	0	1	17	-20
02/16/06		-11	17	14	0	0	-2	-8	0	0	18	-20
02/17/06		-10	15	15	-1	-2	-2	-9	-1	0	17	-20
02/21/06		-7	14	17	0	-2	-3	-9	-1	-1	15	-19
02/22/06		-5	13	13	-1	-1	-2	-9	-2	-2	15	-20
02/23/06		-5	15	14	0	-1	-2	-7	-5	-2	14	-19
02/24/06		-4	15	13	0	1	-4	-6	-4	-2	13	-19
02/27/06		-1	14	14	0	-2	-3	-5	-5	-2	15	-19
02/28/06		-2	15	12	-1	-4	-2	-6	-4	-2	15	-19
03/01/06		-14	15	15	-1	-3	-3	-5	-3	-1	15	-18
03/02/06		-14	17	13	-1	-2	0	-4	-2	-2	16	-18
03/03/06		-14	17	13	0	1	-1	-4	-2	-1	16	-18
03/06/06		-15	16	17	0	0	0	-1	-2	0	17	-19
03/07/06		-12	13	17	0	0	2	-3	-1	-1	17	-19
03/08/06		-14	13	19	-1	-4	5	-2	-1	-1	18	-19
03/09/06		-15	16	17	-1	-4	5	-2	-1	0	17	-19
03/10/06		-13	16	16	-1	-3	6	-3	-1	0	17	-19
03/13/06		-14	16	22	-3	-6	7	-3	0	-1	18	-18
03/14/06		-10	10	21	-5	-9	6	-4	1	2	18	-18
03/15/06		-9	13	18	-4	-8	3	-3	1	3	20	-18
03/16/06		-10	13	15	-5	-10	0	-2	1	4	21	-16
03/17/06		-9	14	14	-4	-9	-1	-2	1	5	21	-17
03/20/06		-3	10	13	-5	-9	-3	-1	1	4	21	-17
03/21/06		8	2	13	-3	-7	-1	-3	1	2	20	-17
03/22/06		8	2	12	-3	-4	-2	-3	1	0	21	-18
03/23/06		7	1	14	-1	-3	-3	-1	0	0	20	-18
03/24/06		7	-1	13	-2	-4	-5	-1	0	1	20	-17
03/27/06		7	-3	17	-3	-5	-3	0	0	1	21	-18
03/28/06		12	-6	18	-1	-1	-2	0	0	0	19	-18
03/29/06		10	-6	20	0	-1	-1	-2	0	2	21	-18
03/30/06		8	-6	23	0	0	0	-1	0	3	21	-18
03/31/06		6	-2	18	1	0	1	-1	1	3	21	-17
04/03/06		-13	1	19	0	0	-1	0	1	2	20	-18
04/04/06		-15	4	17	0	-1	-1	-1	2	3	22	-18
04/05/06		-17	5	16	-1	-1	-2	0	1	4	23	-17
04/06/06		-14	3	17	0	-1	-1	1	2	4	23	-17
04/07/06		-15	5	16	1	3	0	0	3	5	23	-16
04/10/06		-15	5	20	0	0	0	0	3	5	24	-17
04/11/06		-16	7	18	0	0	-2	0	2	5	24	-17
04/12/06		-17	8	21	0	0	-1	1	2	5	24	-17
04/13/06		-25	16	24	1	1	0	1	3	5	23	-17
04/17/06		-24	17	21	0	-2	0	2	3	5	24	-17
04/18/06		-25	18	18	-2	-4	2	1	5	7	24	-16
04/19/06		-25	19	17	-1	-3	1	4	5	8	25	-16
04/20/06		-24	18	17	0	-1	0	3	5	7	25	-15
04/21/06		-21	17	15	0	0	-1	3	3	6	24	-15
04/24/06		-21	17	18	-1	-3	-1	2	4	5	23	-15
04/25/06		-16	16	17	-1	0	-1	4	4	5	24	-15
04/26/06		-14	14	19	0	1	0	3	4	6	22	-16
04/27/06		-15	14	15	0	-2	1	3	5	9	23	-14
04/28/06		-19	17	14	-1	-3	0	5	6	9	24	-14
05/01/06		-33	21	16	-1	-3	1	4	5	10	24	-15
05/02/06		-28	15	17	-2	-4	2	4	5	9	23	-15
05/03/06		-29	17	18	-2	-4	2	5	5	9	23	-14
05/04/06		-33	19	21	-1	-3	2	4	5	8	22	-15
05/05/06		-33	22	17	-2	-4	2	3	4	9	23	-15
05/08/06		-30	23	16	-2	-4	2	2	4	7	22	-15
05/09/06		-22	16	15	-2	-4	1	3	4	8	22	-15
05/10/06		-25	19	15	-1	-1	-1	3	3	7	21	-15
05/11/06		-30	18	17	0	0	2	3	3	7	24	-15
05/12/06		-30	21	15	0	1	2	5	4	7	25	-15
05/15/06		-26	18	16	-1	-2	2	3	4	7	26	-15
05/16/06		-18	7	16	-1	-2	1	2	4	7	26	-14
05/17/06		-19	8	17	-1	-2	3	3	5	8	26	-14
05/18/06		-19	8	15	-2	-2	0	2	4	8	24	-14
05/19/06		-19	7	18	-2	-2	-1	1	2	7	23	-14
05/22/06		-20	9	19	-3	-5	0	0	2	8	24	-15
05/23/06		-19	9	18	-2	-3	0	1	2	7	23	-14
05/24/06		-20	8	17	-2	-3	-2	1	3	7	24	-14
05/25/06		-20	8	19	-1	-2	-1	0	2	8	24	-14
05/26/06		-19	9	18	-2	-4	-2	1	2	9	24	-14
05/30/06		-18	8	20	-2	-3	0	0	2	8	24	-14
05/31/06		-19	11	22	-1	-3	-1	1	2	6	23	-14
06/01/06		-24	8	23	-1	-1	-2	1	2	6	23	-14
06/02/06		-24	6	20	-3	-6	-1	-1	2	8	24	-14
06/05/06		-22	8	19	-2	-3	-4	0	2	5	22	-14
06/06/06		-19	6	19	-2	-4	-3	-1	1	5	21	-14
06/07/06		-19	6	20	-1	-3	-3	-2	1	4	21	-14
06/08/06		-21	9	19	-2	-3	-4	-2	1	4	20	-14
06/09/06		-21	10	19	-2	-4	-5	-1	0	3	19	-14
06/12/06		-21	15	20	-4	-7	-5	-2	1	3	18	-14
06/13/06		-27	17	24	-4	-7	-6	-3	1	3	18	-14
06/14/06		-31	22	27	-2	-4	-5	-3	1	1	18	-14
06/15/06		-39	25	31	-1	-1	-4	-2	0	2	17	-14
06/16/06		-36	25	31	-1	-2	-3	-3	0	3	18	-14
06/19/06		-32	26	32	-2	-4	-4	-3	1	1	18	-14
06/20/06		-29	22	32	-1	-4	-3	-3	1	1	18	-14
06/21/06		-33	26	31	-1	-2	-4	-2	0	2	16	-13
06/22/06		-44	37	32	0	-1	-2	-3	0	2	17	-14
06/23/06		-38	37	29	0	0	-4	-2	0	2	17	-14
06/26/06		-26	30	29	-2	-3	-2	-3	1	2	17	-14
06/27/06		-13	19	26	-3	-4	-2	-3	1	1	17	-14
06/28/06		-20	22	30	-1	-1	-3	-3	0	2	17	-14
06/29/06		-31	33	25	-1	-4	-2	-2	1	4	17	-13
06/30/06		-45	47	23	-3	-5	-3	-3	1	4	16	-12
07/03/06		-55	39	23	-5	-9	-3	-3	1	3	18	-13
07/05/06		-43	20	31	-3	-5	-3	-2	0	4	16	-12
07/06/06		-44	20	31	-3	-6	-5	-2	1	3	16	-12
07/07/06		-41	19	26	-3	-8	-4	-3	0	4	15	-11
07/10/06		-38	20	26	-5	-10	-4	-3	0	3	16	-12
07/11/06		-34	15	25	-4	-9	-6	-4	1	2	16	-12
07/12/06		-32	14	24	-4	-9	-5	-4	1	1	16	-12
07/13/06		-36	17	22	-5	-10	-5	-3	1	3	15	-11
07/14/06		-37	19	20	-6	-12	-3	-3	1	4	16	-12
07/17/06		-33	20	19	-6	-12	-5	-3	0	3	16	-13
07/18/06		-30	19	20	-5	-9	-6	-3	0	3	16	-13
07/19/06		-33	20	17	-6	-10	-6	-4	0	4	16	-12
07/20/06		-37	21	16	-6	-12	-5	-3	1	4	17	-12
07/21/06		-36	22	15	-6	-11	-6	-3	1	5	16	-11
07/24/06		-33	19	17	-6	-11	-7	-4	1	5	17	-11
07/25/06		-23	12	12	-4	-10	-6	-3	1	4	17	-11
07/26/06		-24	11	10	-5	-10	-4	-3	1	4	18	-12
07/27/06		-22	8	10	-4	-9	-6	-3	2	7	15	-11
07/28/06		-26	9	8	-5	-12	-4	-2	2	6	17	-10
07/31/06		-22	8	8	-7	-14	-4	-2	2	6	18	-10
08/01/06		-5	-8	6	-7	-14	-6	-1	2	7	18	-10
08/02/06		-5	-10	8	-7	-14	-7	-2	2	6	18	-9
08/03/06		-7	-7	8	-7	-14	-6	-2	1	5	17	-9
08/04/06		-10	-6	6	-8	-16	-5	-2	1	6	18	-9
08/07/06		-7	-6	8	-8	-16	-7	-3	1	6	16	-9
08/08/06		-6	-9	6	-8	-17	-5	-1	1	7	18	-9
08/09/06		-11	-7	8	-8	-16	-3	-2	1	5	21	-8
08/10/06		-13	-7	11	-8	-15	-4	-3	1	6	22	-9
08/11/06		-13	-5	13	-8	-16	-3	-2	1	5	21	-9
08/14/06		-10	-3	12	-7	-16	-3	-3	1	4	21	-9
08/15/06		-7	-8	9	-8	-17	-3	-3	1	4	20	-8
08/16/06		-9	-9	9	-10	-19	-4	-2	1	5	21	-8
08/17/06		-10	-6	9	-10	-19	-5	-2	0	5	21	-8
08/18/06		-12	-3	9	-11	-21	-5	-4	0	6	21	-8
08/21/06		-10	-4	7	-11	-22	-6	-2	0	5	22	-8
08/22/06		-8	-7	7	-10	-20	-8	-2	0	5	21	-8
08/23/06		-8	-8	8	-10	-20	-6	-4	1	4	21	-8
08/24/06		-9	-7	8	-10	-19	-8	-2	0	3	21	-8
08/25/06		-8	-6	5	-10	-20	-7	-3	0	3	22	-8
08/28/06		-8	-7	8	-10	-20	-8	-3	0	3	21	-7
08/29/06		-6	-12	9	-10	-19	-8	-2	0	2	21	-7
08/30/06		-9	-11	9	-11	-20	-7	-4	0	4	22	-7
08/31/06		-13	-7	6	-10	-22	-8	-1	0	4	21	-7
09/01/06		-18	-5	8	-11	-22	-7	-2	1	4	22	-8
09/05/06		-29	4	13	-11	-22	-7	0	1	4	23	-8
09/06/06		-36	8	15	-10	-20	-6	-1	1	4	22	-7
09/07/06		-36	8	16	-11	-20	-6	-2	1	5	21	-7
09/08/06		-42	10	17	-10	-20	-7	-2	1	6	21	-7
09/11/06		-40	8	20	-10	-20	-6	-3	1	5	22	-7
09/12/06		-50	15	22	-10	-20	-8	-3	2	5	20	-7
09/13/06		-47	13	17	-9	-19	-8	-2	2	5	20	-7
09/14/06		-44	14	17	-10	-19	-6	-3	1	4	20	-7
09/15/06		-48	19	15	-8	-16	-8	-3	1	3	20	-8
09/18/06		-49	18	18	-8	-16	-8	-3	1	3	20	-8
09/19/06		-53	22	15	-10	-20	-7	-3	0	5	20	-8
09/20/06		-52	20	16	-9	-19	-8	-3	0	3	20	-8
09/21/06		-53	20	12	-11	-22	-10	-1	1	4	21	-8
09/22/06		-52	20	9	-12	-23	-9	-3	1	4	22	-8
09/25/06		-53	16	13	-13	-25	-9	-3	0	5	21	-7
09/26/06		-61	24	14	-11	-23	-9	-4	0	4	20	-8
09/27/06		-65	28	13	-12	-23	-7	-3	0	4	21	-8
09/28/06		-72	34	14	-11	-22	-8	-3	1	5	21	-8
09/29/06		-65	29	13	-11	-20	-9	-3	1	4	20	-7
10/02/06		-58	21	14	-12	-24	-7	-3	1	5	21	-7
10/03/06		-54	19	12	-12	-23	-8	-3	1	5	21	-7
10/04/06		-47	15	7	-13	-27	-7	-3	2	5	22	-7
10/05/06		-44	13	9	-13	-25	-7	-3	1	5	23	-8
10/06/06		-49	19	10	-11	-20	-7	-3	1	5	22	-8
10/10/06		-44	19	10	-10	-18	-7	-4	0	4	21	-8
10/11/06		-35	12	9	-9	-17	-7	-3	0	3	21	-8
10/12/06		-32	13	7	-10	-18	-7	-4	0	5	20	-8
10/13/06		-32	12	8	-8	-18	-8	-2	0	4	21	-8
10/16/06		-24	8	6	-10	-20	-7	-2	0	3	21	-8
10/17/06		-19	3	6	-11	-21	-6	-4	1	4	21	-8
10/18/06		-20	4	5	-10	-19	-8	-3	-1	4	20	-8
10/19/06		-23	8	6	-11	-20	-6	-4	0	4	20	-8
10/20/06		-25	9	5	-9	-18	-7	-4	0	3	20	-8
10/23/06		-20	7	6	-9	-19	-6	-4	0	3	20	-8
10/24/06		-10	-2	6	-9	-19	-7	-3	0	2	20	-8
10/25/06		-11	-2	6	-10	-20	-9	-4	0	3	20	-9
10/26/06		-9	-4	6	-12	-25	-7	-5	1	3	20	-9
10/27/06		-11	-3	4	-13	-26	-8	-4	0	4	20	-8
10/30/06		-10	-5	6	-13	-25	-10	-4	0	4	20	-10
10/31/06		-7	-10	5	-14	-28	-9	-5	0	4	20	-9
11/01/06		-6	-12	3	-15	-29	-10	-4	0	5	20	-9
11/02/06		-7	-11	6	-16	-30	-7	-5	1	4	20	-8
11/03/06		-7	-9	9	-12	-24	-8	-4	0	2	18	-9
11/06/06		-8	-8	9	-12	-24	-8	-5	0	2	18	-10
11/07/06		-5	-12	8	-13	-26	-8	-6	0	3	19	-9
11/08/06		-5	-10	6	-14	-27	-10	-4	0	3	18	-9
11/09/06		-6	-10	7	-14	-27	-9	-6	0	2	20	-9
11/10/06		-5	-10	6	-15	-28	-10	-6	0	2	19	-9
11/13/06		-8	-8	7	-13	-27	-10	-6	0	1	19	-9
11/14/06		-1	-15	6	-14	-27	-11	-6	0	0	19	-10
11/15/06		-1	-15	7	-12	-24	-11	-7	0	-1	19	-11
11/16/06		-3	-13	8	-11	-21	-10	-8	-1	0	18	-10
11/17/06		-6	-10	5	-12	-26	-9	-7	0	1	18	-10
11/20/06		-6	-11	7	-13	-26	-10	-6	-1	1	18	-10
11/21/06		1	-19	8	-13	-27	-10	-7	0	0	18	-10
11/22/06		0	-20	10	-14	-27	-11	-6	0	0	19	-11
11/24/06		-4	-17	9	-13	-27	-11	-7	0	0	19	-11
11/27/06		-3	-17	9	-14	-29	-11	-6	0	0	19	-11
11/28/06		2	-23	9	-15	-31	-10	-7	0	1	19	-11
11/29/06		1	-22	9	-15	-29	-11	-7	0	1	20	-11
11/30/06		-3	-19	7	-16	-32	-10	-7	0	1	20	-10
12/01/06		-3	-18	2	-18	-35	-9	-4	0	4	21	-10
12/04/06		-11	-12	3	-17	-35	-9	-4	0	4	22	-10
12/05/06		-36	11	4	-17	-34	-9	-4	1	5	22	-10
12/06/06		-33	8	6	-15	-31	-11	-4	0	4	21	-9
12/07/06		-32	6	7	-15	-32	-10	-3	0	4	21	-10
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12/11/06		-39	8	14	-13	-27	-12	-5	0	2	21	-10
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02/28/07		-2	-8	-4	-16	-31	-10	-3	1	3	22	-10
03/01/07		-1	-10	-4	-16	-32	-9	-4	1	5	22	-10
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03/28/07		-8	-12	2	-18	-37	-4	1	3	9	28	-7
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04/13/07		-27	4	7	-11	-22	-5	-3	2	6	25	-8
04/16/07		-28	4	8	-12	-23	-6	-1	2	5	24	-9
04/17/07		-31	7	6	-14	-25	-7	0	1	7	24	-8
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04/20/07		-32	6	6	-14	-27	-6	-1	3	8	25	-8
04/23/07		-32	5	6	-14	-28	-7	0	2	9	25	-8
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04/25/07		-31	3	6	-13	-27	-8	0	2	9	25	-8
04/26/07		-34	5	8	-12	-25	-7	-1	2	8	26	-8
04/27/07		-40	10	8	-12	-24	-6	-2	3	9	25	-7
04/30/07		-45	11	12	-14	-29	-6	-3	4	8	25	-7
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05/04/07		-51	16	13	-12	-23	-9	-4	3	7	23	-8
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05/14/07		-53	13	9	-7	-14	-8	-4	2	6	24	-7
05/15/07		-46	4	8	-6	-10	-9	-3	2	6	24	-7
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05/17/07		-45	1	9	-4	-8	-7	-3	1	7	23	-8
05/18/07		-47	6	14	-6	-10	-7	-1	1	6	22	-7
05/21/07		-40	3	13	-6	-14	-7	-3	2	6	23	-8
05/22/07		-24	-8	9	-6	-13	-6	-1	2	5	23	-8
05/23/07		-25	-9	10	-5	-11	-6	0	1	6	23	-8
05/24/07		-26	-8	8	-5	-9	-5	-1	1	6	23	-9
05/25/07		-28	-9	9	-4	-8	-4	-1	2	4	23	-8
05/29/07		-30	-5	10	-4	-8	-5	-1	1	5	21	-8
05/30/07		-31	-9	14	-3	-7	-4	-2	1	4	21	-8
05/31/07		-47	-5	23	-1	-3	-4	-2	1	3	20	-9
06/01/07		-45	-1	19	0	-1	-3	-2	0	3	20	-9
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06/06/07		-47	2	15	1	1	-3	0	0	3	20	-9
06/07/07		-45	0	17	2	4	0	2	2	4	18	-9
06/08/07		-49	1	16	3	5	2	3	2	4	18	-8
06/11/07		-55	3	23	2	3	2	4	3	4	18	-8
06/12/07		-60	7	25	4	7	5	5	3	5	18	-9
06/13/07		-63	4	28	4	10	2	3	3	4	16	-8
06/14/07		-74	14	28	5	12	3	3	3	4	16	-9
06/15/07		-79	10	31	6	12	2	3	2	4	18	-8
06/18/07		-78	16	30	2	6	4	2	3	5	19	-8
06/19/07		-81	21	26	1	2	4	2	3	6	19	-8
06/20/07		-83	32	23	0	0	4	4	4	5	18	-8
06/21/07		-108	53	26	0	2	3	5	4	6	20	-8
06/22/07		-96	44	22	-1	-2	5	5	5	7	20	-9
06/25/07		-82	39	19	-5	-9	5	5	4	8	19	-8
06/26/07		-72	29	19	-4	-7	5	4	4	7	21	-9
06/27/07		-101	53	18	-2	-2	2	4	5	7	19	-8
06/28/07		-117	70	17	0	1	2	4	4	6	18	-8
06/29/07		-97	54	11	-2	-4	2	3	4	7	18	-9
07/02/07		-71	40	7	-5	-11	0	4	3	7	18	-9
07/03/07		-49	18	7	-4	-9	1	5	4	6	17	-8
07/05/07		-50	19	8	-1	-3	1	5	5	6	16	-8
07/06/07		-55	24	6	-1	-1	3	8	4	5	17	-8
07/09/07		-58	29	8	-2	-6	3	7	4	5	16	-7
07/10/07		-52	21	8	-6	-12	2	6	4	6	18	-7
07/11/07		-53	22	9	-5	-10	1	8	4	7	17	-8
07/12/07		-53	24	8	-3	-8	3	6	5	5	16	-7
07/13/07		-54	25	8	-4	-7	1	6	4	6	16	-8
07/16/07		-51	23	10	-7	-12	0	6	4	6	16	-7
07/17/07		-49	19	12	-6	-11	1	6	4	6	16	-8
07/18/07		-49	19	9	-7	-14	2	5	4	7	16	-8
07/19/07		-48	20	8	-6	-13	1	6	4	6	16	-8
07/20/07		-50	21	8	-9	-17	-1	7	5	6	18	-7
07/23/07		-38	14	8	-10	-20	1	5	4	7	18	-8
07/24/07		-21	-3	6	-11	-20	-1	6	5	7	19	-8
07/25/07		-22	-5	6	-10	-21	0	6	5	7	20	-8
07/26/07		-28	-6	4	-13	-27	-2	7	7	11	23	-7
07/27/07		-37	-4	9	-12	-26	-3	7	8	12	23	-8
07/30/07		-31	1	4	-13	-28	-2	7	7	11	23	-8
07/31/07		-13	-17	3	-14	-29	-1	5	7	11	22	-8
08/01/07		3	-16	7	-14	-26	-3	7	6	10	23	-9
08/02/07		0	-13	6	-12	-24	-2	5	6	9	23	-9
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08/07/07		3	-11	4	-14	-28	-1	5	6	11	24	-9
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08/10/07		-64	19	23	-11	-22	4	8	9	13	30	-8
08/13/07		-41	13	16	-15	-29	3	8	8	13	31	-8
08/14/07		-40	2	17	-14	-28	3	9	9	13	33	-7
08/15/07		-84	3	27	-7	-14	4	10	11	17	38	-7
08/16/07		-189	66	43	-4	-10	7	11	13	21	39	-7
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08/20/07		-255	65	105	-2	-4	8	13	12	20	40	-6
08/21/07		-185	42	49	-1	-2	7	15	14	19	40	-5
08/22/07		-190	55	41	2	5	4	15	12	17	38	-5
08/23/07		-123	10	30	0	1	4	12	11	15	36	-5
08/24/07		-78	0	8	-1	-1	1	11	8	13	32	-7
08/27/07		-28	-11	6	-14	-27	0	11	8	13	32	-5
08/28/07		-42	-20	8	-12	-23	1	11	11	17	37	-4
08/29/07		-100	-4	32	-6	-10	5	12	10	16	36	-5
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08/31/07		-100	-1	20	-2	-4	1	9	11	18	33	-4
09/04/07		-39	-8	5	-13	-26	3	10	12	18	32	-4
09/05/07		-53	-5	5	-13	-25	2	11	13	19	34	-4
09/06/07		-66	1	13	-12	-22	1	11	12	19	33	-5
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09/10/07		-101	3	24	-11	-22	2	11	13	21	34	-3
09/11/07		-81	-2	16	-11	-21	2	10	12	18	31	-3
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09/13/07		-90	4	19	-7	-12	3	11	11	16	30	-4
09/14/07		-109	16	21	-6	-11	2	11	12	17	30	-5
09/17/07		-112	33	16	-8	-15	3	10	11	16	28	-4
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09/19/07		-132	31	16	-3	-6	6	14	13	20	33	-3
09/20/07		-148	33	32	-1	0	9	16	14	20	30	-3
09/21/07		-170	50	36	-1	-3	9	16	13	20	31	-6
09/24/07		-159	49	27	-2	-4	9	17	13	19	31	-6
09/25/07		-160	45	27	-2	-4	9	17	15	22	31	-5
09/26/07		-169	48	33	-3	-6	10	20	16	20	32	-5
09/27/07		-164	41	36	-4	-8	7	20	15	21	31	-5
09/28/07		-151	39	27	-4	-8	6	20	15	21	30	-6
10/01/07		-124	40	23	-4	-9	3	19	13	19	29	-6
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10/05/07		-118	42	20	-4	-8	8	17	13	19	29	-7
10/09/07		-104	34	22	-5	-8	6	17	11	18	26	-6
10/10/07		-95	25	21	-4	-8	6	16	12	16	28	-7
10/11/07		-78	14	15	-5	-9	5	18	12	18	29	-8
10/12/07		-64	8	11	-3	-5	4	15	11	17	28	-7
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10/18/07		-155	55	33	-6	-10	5	19	14	21	32	-6
10/19/07		-131	41	21	-9	-18	5	18	16	22	33	-6
10/22/07		-107	31	15	-10	-20	3	20	13	21	31	-5
10/23/07		-78	0	14	-11	-20	5	20	14	21	33	-5
10/24/07		-93	2	15	-9	-17	5	20	15	22	33	-5
10/25/07		-84	2	8	-9	-19	4	23	14	22	33	-4
10/26/07		-79	-1	9	-9	-19	2	25	15	22	32	-5
10/29/07		-80	5	9	-10	-21	5	20	15	20	32	-5
10/30/07		-73	-7	11	-9	-16	3	21	14	20	32	-4
10/31/07		-75	-7	15	-5	-10	0	22	13	19	31	-5
11/01/07		-59	-9	14	-6	-12	3	22	14	20	33	-5
11/02/07		-76	-12	18	-5	-8	2	25	16	22	34	-4
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11/08/07		-93	-18	29	-6	-14	-1	35	19	28	42	-3
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11/20/07		-84	-40	16	-9	-18	1	37	22	32	45	-2
11/21/07		-95	-45	19	-10	-19	4	37	25	35	49	-3
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11/30/07		-86	-48	22	-11	-22	5	32	23	33	47	-4
12/03/07		-69	-49	22	-13	-25	3	35	25	36	49	-4
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12/21/07		-180	56	38	-7	-12	1	38	26	34	44	-4
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12/31/07		-148	60	13	-15	-29	2	38	25	34	46	-5
01/02/08		-85	17	6	-15	-29	1	39	26	37	48	-4
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01/09/08		-60	-12	0	-18	-35	0	41	30	42	53	-3
01/10/08		-57	-13	-3	-17	-33	3	42	33	42	56	-3
01/11/08		-71	-14	-2	-16	-32	2	45	32	44	58	-1
01/14/08		-74	-1	-12	-17	-32	3	47	31	42	58	-2
01/15/08		-79	2	-12	-18	-34	2	45	30	42	58	-2
01/16/08		-80	0	-9	-19	-35	4	45	32	42	60	-2
01/17/08		-87	0	-6	-20	-37	2	44	32	44	61	-2
01/18/08		-131	23	0	-17	-33	3	47	34	46	64	-2
01/22/08		-179	20	6	-12	-21	4	52	37	51	71	0
01/23/08		-187	14	4	-6	-10	3	52	37	50	72	0
01/24/08		-175	18	11	-8	-15	5	55	36	47	69	-1
01/25/08		-187	23	11	-7	-11	5	53	34	46	69	-2
01/28/08		-182	22	2	-6	-10	7	53	35	46	69	-1
01/29/08		-181	15	8	-3	-4	4	54	36	46	66	-1
01/30/08		-201	28	8	1	0	14	52	36	46	67	-1
01/31/08		-230	32	11	4	6	10	55	37	48	68	0
02/01/08		-123	35	5	-2	-4	13	53	38	49	69	1
02/04/08		-83	12	-5	-5	-9	15	55	40	50	69	0
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02/08/08		-74	-1	-11	-7	-12	17	59	42	53	77	2
02/11/08		-63	-4	-18	-7	-13	17	57	42	53	76	3
02/12/08		-43	-24	-19	-6	-12	19	58	42	53	77	3
02/13/08		-48	-22	-18	-7	-12	20	60	43	56	78	4
02/14/08		-48	-19	-19	-7	-12	25	63	47	57	78	4
02/15/08		-58	-19	-14	-5	-11	24	61	45	55	79	3
02/19/08		-61	-9	-14	-3	-5	25	62	44	52	74	3
02/20/08		-58	-15	-8	-1	-2	29	59	43	48	70	2
02/21/08		-63	-15	-10	-5	-7	25	57	44	53	75	2
02/22/08		-65	-13	-6	-6	-10	26	57	45	53	76	3
02/25/08		-64	-14	-7	0	0	26	59	43	50	74	2
02/26/08		-64	-20	-5	-2	-3	28	60	44	52	76	2
02/27/08		-77	-23	4	0	-1	24	64	44	52	77	3
02/28/08		-90	-18	5	-3	-5	23	63	44	54	80	4
02/29/08		-91	-22	-2	-6	-12	22	63	46	57	84	4
03/03/08		-62	-29	10	-6	-13	23	64	48	58	83	5
03/04/08		-60	-35	10	-4	-7	21	67	49	61	83	6
03/05/08		-70	-38	22	-3	-6	25	68	51	60	85	5
03/06/08		-88	-34	22	-2	-6	24	73	50	62	90	5
03/07/08		-96	-20	11	-1	-2	22	70	49	62	93	6
03/10/08		-98	-28	10	1	1	20	70	47	62	93	6
03/11/08		-79	-34	16	3	7	19	68	43	56	88	5
03/12/08		-93	-20	8	2	5	18	68	44	56	86	5
03/13/08		-105	-21	15	4	9	21	69	46	57	86	5
03/14/08		-141	-2	14	5	10	18	72	47	60	86	5
03/17/08		-145	-5	20	1	3	17	71	48	63	90	5
03/18/08		-190	21	40	8	18	16	68	46	60	82	5
03/19/08		-235	35	61	11	21	14	68	44	58	82	2
03/20/08		-224	26	57	13	26	12	65	42	56	81	2
03/24/08		-194	57	36	8	16	15	65	40	52	75	2
03/25/08		-114	-18	27	8	15	14	68	39	51	78	1
03/26/08		-125	-7	19	8	15	15	69	41	55	80	2
03/27/08		-129	-2	19	8	16	15	73	41	54	81	1
03/28/08		-132	4	17	6	11	13	71	40	56	85	1
03/31/08		-139	16	13	4	7	17	67	42	57	85	0
04/01/08		-73	-15	13	9	18	14	71	39	53	83	0
04/02/08		-73	-14	15	11	21	17	67	37	51	80	-2
04/03/08		-72	-16	16	12	23	17	67	36	50	80	-1
04/04/08		-78	-15	18	10	20	15	65	36	51	82	0
04/07/08		-86	3	16	11	23	15	65	34	48	80	-1
04/08/08		-94	7	17	10	19	19	66	36	50	79	0
04/09/08		-122	25	20	9	17	18	64	38	52	81	1
04/10/08		-130	29	22	12	23	18	64	39	50	78	1
04/11/08		-138	29	21	12	24	18	63	40	52	79	2
04/14/08		-143	23	33	12	25	19	63	40	53	79	3
04/15/08		-144	26	32	14	28	21	63	40	52	78	4
04/16/08		-142	26	37	16	33	22	62	39	51	77	5
04/17/08		-141	36	35	19	36	18	59	37	48	75	4
04/18/08		-138	45	33	17	34	16	60	34	48	75	-1
04/21/08		-138	44	34	18	34	17	58	33	47	73	0
04/22/08		-156	55	37	20	40	19	53	33	45	73	-1
04/23/08		-150	48	38	19	39	23	53	34	45	72	0
04/24/08		-147	45	40	25	50	20	54	29	43	69	0
04/25/08		-148	54	39	24	47	20	56	29	42	70	0
04/28/08		-134	49	31	21	41	22	56	30	42	71	0
04/29/08		-100	18	28	20	41	20	56	31	43	71	-1
04/30/08		-111	26	21	21	44	20	54	31	43	72	0
05/01/08		-75	22	28	21	43	16	53	30	42	71	0
05/02/08		-73	25	22	25	50	17	54	30	41	68	0
05/05/08		-64	19	23	22	44	20	52	31	43	70	0
05/06/08		-45	10	13	20	42	24	53	36	42	71	0
05/07/08		-41	10	8	19	37	25	53	36	42	74	0
05/08/08		-43	11	8	17	34	22	52	35	45	76	-5
05/09/08		-38	9	5	17	34	25	48	35	44	75	1
05/12/08		-25	4	10	14	29	24	46	34	44	74	1
05/13/08		-12	-3	6	19	39	23	47	32	41	71	1
05/14/08		-12	-4	8	21	42	25	44	28	42	71	0
05/15/08		-14	-1	7	18	37	25	40	29	44	72	1
05/16/08		-13	-1	7	18	38	24	41	31	42	72	1
05/19/08		-5	-11	7	18	35	25	42	31	43	72	1
05/20/08		-1	-11	4	15	29	24	44	33	43	74	1
05/21/08		-3	-9	4	17	34	27	41	29	43	72	2
05/22/08		-1	-11	9	20	41	27	41	28	40	70	1
05/23/08		-6	-6	8	17	35	27	42	28	42	71	1
05/27/08		-7	-2	5	21	40	27	43	27	41	72	0
05/28/08		9	-18	11	21	41	31	43	27	40	69	-1
05/29/08		4	-12	3	23	51	27	47	27	40	69	-1
05/30/08		0	-9	12	21	44	27	48	27	38	68	-2
06/02/08		-6	-9	14	18	34	31	46	28	42	71	-1
06/03/08		-4	-11	15	14	31	30	46	29	42	72	-1
06/04/08		-15	-1	15	15	33	31	48	29	43	74	-1
06/05/08		-21	6	15	15	37	32	50	29	43	71	-2
06/06/08		-25	10	15	12	28	33	47	30	44	73	-2
06/09/08		-20	9	23	17	44	30	38	24	37	66	-4
06/10/08		0	2	22	29	38	29	34	23	34	65	-6
06/11/08		-9	5	22	29	36	33	33	24	37	66	-4
06/12/08		-8	8	28	34	41	32	33	22	33	60	-6
06/13/08		-14	13	31	34	41	33	35	22	32	59	-7
06/16/08		-11	18	35	26	34	31	40	21	31	59	-7
06/17/08		-18	17	34	25	36	31	41	23	34	62	-7
06/18/08		-30	23	36	24	36	30	38	24	35	61	-5
06/19/08		-41	32	38	29	41	29	39	22	33	60	-6
06/20/08		-51	38	36	26	39	29	40	24	35	60	-5
06/23/08		-45	32	44	26	41	29	38	22	32	58	-6
06/24/08		-42	25	42	28	34	27	38	24	34	60	-5
06/25/08		-51	32	41	26	34	29	43	24	34	60	-7
06/26/08		-58	32	42	23	29	29	47	25	38	60	-5
06/27/08		-71	39	44	23	30	27	44	26	37	59	-5
06/30/08		-40	30	27	19	27	28	43	27	38	60	-6
07/01/08		-9	-5	26	25	25	27	43	29	39	59	-5
07/02/08		-14	-5	28	25	25	27	44	29	39	58	-6
07/03/08		-15	-2	25	21	24	28	46	31	40	59	-5
07/07/08		-21	7	23	16	21	31	45	30	42	60	-4
07/08/08		-15	0	23	17	21	31	41	30	42	60	-5
07/09/08		-19	0	23	16	20	30	40	31	43	62	-5
07/10/08		-53	19	34	19	24	28	38	30	43	64	-5
07/11/08		-63	24	40	28	29	29	39	28	41	61	-5
07/14/08		-60	11	43	28	24	32	41	29	41	62	-5
07/15/08		-52	-10	51	25	24	31	42	31	44	65	-4
07/16/08		-65	1	52	27	28	31	45	32	45	67	-5
07/17/08		-70	12	49	34	32	31	46	30	42	63	-5
07/18/08		-73	20	43	35	40	31	45	29	40	60	-5
07/21/08		-69	16	45	37	36	31	44	28	40	60	-5
07/22/08		-51	5	40	38	41	31	43	27	39	59	-6
07/23/08		-42	0	32	49	41	29	41	26	39	60	-7
07/24/08		-32	-4	25	36	35	31	45	27	39	63	-6
07/25/08		-29	3	20	40	35	31	44	28	40	62	-6
07/28/08		-33	5	19	36	31	31	44	30	42	63	-6
07/29/08		-28	-1	24	40	29	30	44	29	41	61	-6
07/30/08		-35	4	20	43	31	29	43	29	42	62	-5
07/31/08		-46	13	21	38	25	29	44	31	43	64	-4
08/01/08		-48	14	22	37	26	28	44	31	43	64	-4
08/04/08		-39	14	22	30	26	28	42	32	43	64	-4
08/05/08		-27	2	22	29	28	29	45	32	44	63	-4
08/06/08		-47	11	28	34	30	29	45	32	44	65	-3
08/07/08		-47	13	26	25	26	29	44	32	44	66	-2
08/08/08		-37	7	25	24	32	29	41	30	43	64	-3
08/11/08		-23	10	18	22	29	28	43	30	42	65	-3
08/12/08		-27	13	19	13	27	28	43	31	44	67	-3
08/13/08		-20	5	15	19	31	27	44	30	43	67	-4
08/14/08		-24	13	11	14	31	27	43	31	43	66	-3
08/15/08		-27	12	14	13	28	27	44	31	42	66	-3
08/18/08		-23	5	21	12	20	27	45	32	43	65	-3
08/19/08		-17	-3	17	14	21	29	46	32	44	67	-3
08/20/08		-26	-3	19	16	19	29	46	34	45	67	-3
08/21/08		-27	-1	23	15	23	29	46	32	44	65	-3
08/22/08		-33	3	27	20	25	28	44	31	42	63	-4
08/25/08		-34	8	22	16	21	29	42	32	43	63	-2
08/26/08		-33	4	24	24	16	29	42	31	42	64	-3
08/27/08		-42	9	26	23	15	27	44	32	43	64	-3
08/28/08		-37	11	24	21	18	25	47	33	37	62	-3
08/29/08		-37	9	25	20	19	24	50	35	38	64	-4
09/02/08		-17	8	21	19	14	25	49	37	37	65	-3
09/03/08		-24	13	20	18	18	22	47	34	42	65	-4
09/04/08		-25	13	20	15	16	21	46	34	43	67	-4
09/05/08		-28	15	22	17	16	21	47	33	42	65	-4
09/08/08		-22	12	21	20	18	19	47	30	40	64	-4
09/09/08		-22	7	23	17	17	20	47	31	41	62	-4
09/10/08		-23	7	22	19	16	20	49	32	42	62	-4
09/11/08		-28	8	24	16	17	20	49	34	43	61	-5
09/12/08		-44	12	35	18	21	22	52	35	42	62	-4
09/15/08		-145	66	53	11	12	23	58	40	48	67	-2
09/16/08		-158	61	68	20	17	23	52	38	46	64	-4
09/17/08		-174	-4	100	47	14	27	61	41	48	71	-4
09/18/08		-155	-3	56	74	25	27	62	41	46	65	-5
09/19/08		-106	24	55	51	11	26	59	36	41	64	-6
09/22/08		-105	52	48	30	7	28	63	38	41	65	-7
09/23/08		-151	50	83	38	10	29	63	38	44	65	-7
09/24/08		-168	36	96	45	13	23	65	40	49	68	-8
09/25/08		-142	37	81	40	19	26	67	35	44	60	-8
09/26/08		-160	66	67	27	30	27	67	36	44	59	-8
09/29/08		-165	78	55	11	10	26	74	42	49	60	-8
09/30/08		-79	-10	68	18	22	28	70	40	47	58	-12
10/01/08		-31	19	64	23	10	30	75	42	48	56	-11
10/02/08		-76	42	58	24	17	29	77	45	53	62	-12
10/03/08		-82	36	63	27	19	26	78	45	54	63	-15
10/06/08		-78	35	58	11	20	26	76	47	56	64	-13
10/07/08		-58	43	32	13	20	22	76	46	59	65	-14
10/08/08		-74	45	39	21	37	23	82	45	57	59	-22
10/09/08		-78	41	47	26	32	28	86	46	59	57	-27
10/10/08		-90	18	59	24	54	25	90	50	62	52	-26
10/14/08		-90	27	73	15	60	24	95	47	60	49	-30
10/15/08		-92	17	70	22	50	27	99	50	64	53	-32
10/16/08		-85	34	72	11	32	29	94	49	66	60	-34
10/17/08		-84	70	42	9	30	26	93	47	68	68	-34
10/20/08		-44	71	50	-5	2	29	82	44	65	69	-34
10/21/08		-26	39	51	13	-16	28	77	45	68	76	-32
10/22/08		-37	45	48	11	-11	26	77	44	65	77	-35
10/23/08		-58	59	53	10	-7	22	81	43	63	71	-35
10/24/08		-64	56	54	17	-3	23	84	45	67	68	-33
10/27/08		-66	53	52	21	2	24	84	45	67	64	-31
10/28/08		-55	35	48	28	12	20	90	46	68	62	-32
10/29/08		-56	21	48	31	17	21	98	47	69	66	-33
10/30/08		-83	27	59	36	23	23	102	46	70	67	-37
10/31/08		-85	34	48	40	22	24	100	49	72	73	-39
11/03/08		-19	29	58	24	14	24	102	50	75	77	-40
11/04/08		-10	19	55	25	11	20	97	50	75	77	-38
11/05/08		-23	24	50	32	14	28	86	49	74	76	-36
11/06/08		-26	19	51	34	11	35	83	55	74	77	-33
11/07/08		-26	18	52	37	13	38	85	55	72	74	-32
11/10/08		-28	18	62	25	11	51	73	55	76	68	-29
11/12/08		-29	8	57	28	16	41	77	63	75	69	-27
11/13/08		-31	14	71	23	8	38	81	64	77	73	-23
11/14/08		-33	9	75	24	8	31	80	61	78	71	-21
11/17/08		-33	6	69	27	14	31	79	60	76	74	-22
11/18/08		-29	2	64	29	10	29	78	57	74	79	-18
11/19/08		-30	-2	59	31	12	27	72	56	74	79	-21
11/20/08		-34	-2	49	35	13	20	74	49	67	77	-23
11/21/08		-36	-1	43	38	26	26	67	51	67	73	-23
11/24/08		-38	12	41	41	36	22	71	47	64	66	-23
11/25/08		-35	6	43	42	20	26	65	43	62	74	-22
11/26/08		-37	3	43	45	16	29	63	42	56	78	-23
11/28/08		-37	-1	43	46	10	27	66	42	58	78	-26
12/01/08		-7	-2	37	37	9	26	55	42	59	79	-29
12/02/08		-12	2	36	35	13	22	53	43	60	79	-29
12/03/08		-14	0	33	35	17	20	53	43	64	78	-28
12/04/08		-15	1	24	35	21	20	49	42	62	80	-29
12/05/08		-14	0	21	31	39	26	48	42	58	74	-30
12/08/08		-15	2	25	25	44	30	49	41	60	68	-29
12/09/08		-12	-1	22	24	35	31	46	42	64	68	-29
12/10/08		-16	#VALUE!	#VALUE!	28	37	35	41	43	64	70	-30
12/11/08		-16	1	21	29	28	32	44	44	65	71	-28
12/12/08		-13	-1	19	29	28	27	50	43	62	76	-29
12/15/08		-16	3	25	22	25	27	48	42	61	76	-31
12/16/08		-11	-1	19	22	20	23	46	43	60	79	-30
12/17/08		-13	2	14	26	28	25	37	35	50	81	-35
12/18/08		-13	#VALUE!	#VALUE!	28	25	24	34	33	49	78	-33
12/19/08		-16	2	12	30	30	28	33	31	47	76	-34
12/22/08		-15	0	26	13	47	25	28	30	46	76	-32
12/23/08		-15	1	24	15	49	23	40	28	37	75	-30
12/24/08		-16	#VALUE!	#VALUE!	17	50	24	40	29	37	74	-31
12/26/08		-15	2	20	15	51	19	43	29	36	75	-30
12/29/08		-12	2	19	11	42	18	49	30	38	81	-31
12/30/08		-5	-1	16	8	41	19	53	29	35	77	-30
12/31/08		-5	0	16	10	39	24	55	32	38	80	-36
First, I will mention that the Fed started raising the FFR starting about Jun-2004 and it was immediately higher than the 1-Month Treasury. So the delta 1M-FFR was negative for most days from 2004 (not shown) until 2008. So I would not focus so much on the first column, I only included it for completeness.

Play-by-Play Commentary
Except for 1M-FFR, the rest of the deltas were positive double digit bps for all of 2004 (not shown) and most of 2005.
I would call this a normal, non-inverted yield curve.

However, the deltas were getting smaller for most of 2005, i.e. flattening yield curve.

About 11/15/2005, some deltas hit 0. Then a few 0's and -1's. [My spreadsheet shows the negative numbers in RED.]
In Jan-2006, started to see some delta -3, -4, -5, -6, -7, -9
On Feb 9, 2006, they added a 30-year Treasury bond, which immediately had a lower yield than the 20-year bond by about 20 bps. Very strange!

Through Jun-2006 small negative deltas.
Second half of 2006 started to see double digit negative deltas, especially 2Y-1Y.
More double digit negatives which spread and continued through the rest of 2006

By Jan-2007, 2Y-1Y was -24bps, and the rest of the yield curve was turning red (negative delta).
By Mar-2007, 2Y-Y was -36 bps and double digit red up to 5 year.

During May-2007, the yield curve became less inverted.
By Jun-2007, there was no longer inverted. For a short time.
Then the yield curve started inverting again, and by Aug-2007, the 2Y-1Y was back to -30 bps.
The curve stayed slightly inverted right through the official beginning of the recession in Dec-2017.

:arrow: Summary: The recession officially started in Dec-2007, but the yield curve first showed small signs of inversion in Nov-2005, about two years earlier. Greater amount of inversion didn't appear until about Jun-2006, about 1-1/2 years prior to the recession start. Greatest amount of inversion was about Mar-2007, 9 months before the recession start.

:idea: Lesson: If yield curve does foreshadow a recession, it would start showing inversion about 1-1/2 to 2 years beforehand.

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willthrill81
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Re: In Search of... the Inverted Yield Curve

Post by willthrill81 » Sat Jul 21, 2018 9:43 pm

Thanks for the interesting analysis.

I wonder how well an inverted yield curve foreshadowed other recessions. And whether this effect was similar in other nations.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

fennewaldaj
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Re: In Search of... the Inverted Yield Curve

Post by fennewaldaj » Sat Jul 21, 2018 9:47 pm

willthrill81 wrote:
Sat Jul 21, 2018 9:43 pm
Thanks for the interesting analysis.

I wonder how well an inverted yield curve foreshadowed other recessions. And whether this effect was similar in other nations.
Ben Carlson talked about that very topic this week

http://awealthofcommonsense.com/2018/07 ... eld-curve/

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Kevin M
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Re: In Search of... the Inverted Yield Curve

Post by Kevin M » Sat Jul 21, 2018 9:59 pm

A common measure of the yield curve is the 10-year yield minus the 2-year yield. We can chart that directly using FRED, and see how it relates to recessions:

Image

There's a longer history for the 1-year Treasury, so let's look at 10-year minus 1-year instead:

Image

When the 10-2 or 10-1 goes negative, we could say that the yield curve is inverted. We can see that it does tend to go negative before recessions, but there also are some false alarms, and the timing is not consistent.

Kevin
Wiki ||.......|| Suggested format for Asking Portfolio Questions (edit original post)

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willthrill81
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Re: In Search of... the Inverted Yield Curve

Post by willthrill81 » Sat Jul 21, 2018 10:05 pm

fennewaldaj wrote:
Sat Jul 21, 2018 9:47 pm
willthrill81 wrote:
Sat Jul 21, 2018 9:43 pm
Thanks for the interesting analysis.

I wonder how well an inverted yield curve foreshadowed other recessions. And whether this effect was similar in other nations.
Ben Carlson talked about that very topic this week

http://awealthofcommonsense.com/2018/07 ... eld-curve/
Thanks. It's an interesting post.

It appears that an inverted yield curve has been a good precursor to recessions going back at least 40 years, albeit with a lag time between inversion and the beginning of the recession ranging from 10-24 months, during which time markets generally did quite well. But this effect has been stronger in the U.S. than in most other nations.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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grayfox
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Re: In Search of... the Inverted Yield Curve

Post by grayfox » Sun Jul 22, 2018 10:18 am

OK, what about today? I did the same with the Treasury Daily Yield Curve for 2017-2018

Code: Select all

Date			1M–FFR	3M-1M	6M-3M	1Y-6M	2Y-1Y	3Y-2Y	5Y-3Y	7Y-5Y	10Y-7Y	20Y-10Y	30Y-20Y

Code: Select all

01/03/17		-13	1	12	24	33	28	44	32	19	33	26
01/04/17		-16	4	10	24	37	26	44	32	20	32	27
01/05/17		-14	1	10	21	34	26	43	32	19	32	27
01/06/17		-15	3	8	24	37	28	42	31	19	31	27
01/09/17		-15	0	10	22	39	26	42	29	20	31	28
01/10/17		-14	1	8	22	37	28	42	29	20	31	28
01/11/17		-14	1	8	22	38	27	42	29	20	30	28
01/12/17		-13	0	7	22	37	27	42	30	19	32	33
01/13/17		-13	1	8	21	39	27	42	30	20	31	28
01/17/17		-13	3	7	18	37	25	42	30	19	33	27
01/18/17		-17	5	10	19	41	28	42	31	18	32	26
01/19/17		-18	5	10	21	42	28	44	31	19	30	27
01/20/17		-19	4	12	20	38	30	45	33	20	31	26
01/23/17		-19	5	8	20	37	27	45	31	22	31	27
01/24/17		-15	1	11	19	40	28	45	33	20	31	27
01/25/17		-17	2	11	21	41	29	47	34	20	31	26
01/26/17		-16	2	11	20	39	28	46	35	21	31	26
01/27/17		-16	3	11	19	40	26	46	34	21	31	26
01/30/17		-16	2	12	18	41	26	46	34	21	33	26
01/31/17		-15	2	12	20	35	27	44	34	21	33	27
02/01/17		-16	1	14	18	39	27	44	34	21	32	28
02/02/17		-16	2	12	20	37	27	44	35	21	32	29
02/03/17		-17	2	12	19	39	28	44	34	22	33	29
02/06/17		-18	5	9	17	37	27	43	33	23	34	29
02/07/17		-15	2	10	17	36	27	42	32	23	34	28
02/08/17		-14	2	9	16	36	25	41	33	20	34	28
02/09/17		-15	3	10	16	40	26	42	32	20	34	28
02/10/17		-15	4	9	17	39	27	42	33	19	34	26
02/13/17		-16	2	11	19	38	28	44	32	19	34	26
02/14/17		-15	3	12	18	41	28	45	31	18	34	26
02/15/17		-13	1	13	19	41	30	44	32	18	33	25
02/16/17		-15	2	13	16	40	28	45	31	19	35	25
02/17/17		-16	3	13	16	39	27	44	31	19	36	25
02/21/17		-17	4	16	14	39	28	43	31	19	35	26
02/22/17		-19	5	16	14	40	27	43	31	19	36	26
02/23/17		-27	12	15	15	37	26	43	33	18	37	27
02/24/17		-26	12	13	15	32	26	42	32	19	38	26
02/27/17		-22	6	18	13	39	26	41	31	18	36	26
02/28/17		-26	13	16	19	34	27	40	30	17	34	27
03/01/17		-33	17	16	13	37	28	42	30	17	35	25
03/02/17		-27	15	17	14	34	28	43	29	17	35	25
03/03/17		-23	15	13	14	34	27	43	30	17	34	25
03/06/17		-23	18	9	14	34	29	42	30	17	35	26
03/07/17		-24	21	11	15	30	30	43	29	18	33	26
03/08/17		-25	19	13	17	33	29	43	30	19	32	26
03/09/17		-29	23	15	16	33	30	46	30	17	34	25
03/10/17		-19	15	14	14	33	30	45	29	18	36	22
03/13/17		-10	10	14	13	34	29	45	29	19	35	23
03/14/17		-2	1	15	13	34	28	45	29	18	34	23
03/15/17		-8	2	16	13	31	26	43	29	20	36	24
03/16/17		-11	5	16	12	34	28	42	29	19	36	25
03/17/17		-8	2	14	13	33	27	43	28	19	36	25
03/20/17		-9	6	13	12	29	27	43	28	19	36	25
03/21/17		-3	1	14	9	27	27	42	28	19	36	25
03/22/17		-5	3	13	9	28	25	43	27	18	36	26
03/23/17		-6	3	14	9	27	26	43	28	18	35	26
03/24/17		-6	5	11	11	26	26	41	29	18	34	26
03/27/17		-6	5	13	9	27	24	42	27	18	35	25
03/28/17		-4	3	14	11	27	26	41	28	17	35	25
03/29/17		-3	2	14	12	22	27	40	28	18	35	25
03/30/17		-4	3	13	12	25	27	41	29	17	36	25
03/31/17		-5	2	15	12	24	23	43	29	18	36	26
04/03/17		-17	6	13	10	22	23	41	28	19	36	27
04/04/17		-13	2	13	11	22	22	41	28	20	36	27
04/05/17		-13	3	13	10	21	20	41	29	20	37	27
04/06/17		-12	1	15	11	19	21	42	28	19	38	27
04/07/17		-13	5	13	13	21	23	40	28	18	36	26
04/10/17		-13	5	15	10	22	23	39	27	19	35	27
04/11/17		-16	8	12	11	19	21	39	27	21	35	26
04/12/17		-13	4	14	9	20	20	37	28	19	37	27
04/13/17		-14	5	13	9	18	19	37	28	19	38	27
04/17/17		-14	7	11	10	17	21	37	28	19	39	27
04/18/17		-14	6	12	8	16	17	36	27	20	38	28
04/19/17		-15	6	13	8	17	19	36	28	19	38	28
04/20/17		-17	6	14	8	20	20	37	28	18	37	28
04/21/17		-18	7	13	7	21	20	37	28	19	37	28
04/24/17		-16	7	15	7	22	19	37	28	19	37	28
04/25/17		-17	9	16	11	20	20	38	28	20	36	28
04/26/17		-16	9	16	8	21	18	38	28	20	37	28
04/27/17		-20	11	17	8	19	19	37	29	20	38	28
04/28/17		-22	12	19	8	21	17	36	29	19	38	29
05/01/17		-24	16	15	11	19	20	36	29	20	38	29
05/02/17		-19	10	17	9	19	18	36	28	20	39	29
05/03/17		-18	12	15	10	20	20	36	28	19	37	27
05/04/17		-20	15	14	11	21	19	37	29	19	37	27
05/05/17		-20	19	11	9	22	20	37	28	19	37	26
05/08/17		-18	18	11	10	21	20	38	28	20	37	26
05/09/17		-17	17	13	10	23	20	37	28	20	37	25
05/10/17		-20	19	14	9	22	21	38	28	19	38	24
05/11/17		-23	21	15	9	22	20	38	27	19	39	25
05/12/17		-22	19	15	8	18	20	36	28	20	41	24
05/15/17		-18	17	12	9	20	18	37	28	20	42	24
05/16/17		-19	18	14	7	18	19	38	27	20	41	25
05/17/17		-19	18	10	8	18	16	34	27	19	43	26
05/18/17		-18	20	9	7	18	17	34	26	19	41	26
05/19/17		-20	21	11	7	18	17	34	26	18	40	27
05/22/17		-21	23	12	7	17	16	35	26	19	39	27
05/23/17		-15	16	16	6	17	18	35	26	19	39	27
05/24/17		-15	17	14	11	11	17	33	28	19	39	27
05/25/17		-19	22	14	8	14	16	32	28	19	40	27
05/26/17		-16	19	14	9	13	16	33	27	19	40	27
05/30/17		-14	16	14	9	12	16	32	26	19	40	27
05/31/17		-5	12	10	9	11	16	31	27	19	39	27
06/01/17		-22	16	9	9	12	17	31	26	19	39	27
06/02/17		-22	16	8	10	12	14	29	25	19	38	27
06/05/17		-21	13	10	10	16	13	29	25	19	38	28
06/06/17		-21	14	11	8	14	12	29	24	19	39	28
06/07/17		-20	16	9	8	15	13	29	25	19	38	28
06/08/17		-24	21	10	8	14	14	28	25	19	38	28
06/09/17		-24	21	12	7	15	15	27	25	19	38	27
06/12/17		-22	16	11	10	16	15	28	24	19	38	27
06/13/17		-15	11	12	10	16	13	28	23	19	39	27
06/14/17		-14	11	11	8	15	13	26	22	19	38	26
06/15/17		-18	16	11	8	14	14	27	22	18	36	26
06/16/17		-19	18	10	8	11	16	27	22	19	36	26
06/19/17		-19	17	11	9	14	16	28	22	17	34	26
06/20/17		-16	13	13	8	14	14	27	22	17	33	25
06/21/17		-19	14	13	10	14	14	28	22	16	32	25
06/22/17		-24	16	14	12	12	14	28	22	17	32	25
06/23/17		-28	21	13	11	13	14	29	21	17	33	23
06/26/17		-23	18	11	10	16	12	29	20	17	32	24
06/27/17		-15	11	13	9	16	15	30	21	17	31	23
06/28/17		-15	13	10	9	13	17	30	24	17	33	22
06/29/17		-16	16	10	9	15	15	32	25	17	32	23
06/30/17		-20	19	11	10	14	17	34	25	17	30	23
07/03/17		-19	10	7	11	17	19	33	26	16	30	21
07/05/17		-18	8	10	9	17	18	33	25	16	30	22
07/06/17		-20	9	10	9	17	20	34	27	16	31	22
07/07/17		-21	11	9	8	18	20	35	27	17	32	22
07/10/17		-20	9	9	10	17	19	34	27	18	32	23
07/11/17		-18	8	9	6	17	20	35	26	19	32	23
07/12/17		-21	11	8	8	14	18	35	26	19	32	24
07/13/17		-20	10	9	9	14	18	34	27	19	34	23
07/14/17		-22	11	8	10	13	19	33	26	20	34	24
07/17/17		-20	12	3	12	14	17	33	26	19	34	24
07/18/17		-20	12	4	8	17	16	30	26	19	34	24
07/19/17		-16	12	1	11	14	15	31	26	18	34	24
07/20/17		-15	15	-3	10	15	14	31	26	19	33	23
07/21/17		-15	16	-6	12	14	14	31	24	19	33	24
07/24/17		-15	17	-5	11	14	16	30	24	19	33	24
07/25/17		-19	22	-3	9	16	16	34	25	18	34	24
07/26/17		-13	11	1	9	13	14	33	26	20	36	24
07/27/17		-14	10	2	9	14	16	32	28	20	36	25
07/28/17		-15	8	5	9	12	17	32	27	20	35	24
07/31/17		-15	7	6	10	11	17	33	27	19	36	23
08/01/17		-16	8	7	7	12	16	30	27	19	35	25
08/02/17		-14	6	7	9	12	16	30	26	19	33	25
08/03/17		-16	8	5	9	12	15	30	26	19	32	25
08/04/17		-16	8	6	9	13	15	31	26	19	34	23
08/07/17		-17	3	12	8	14	16	29	26	19	34	24
08/08/17		-16	6	10	8	12	17	31	26	19	34	23
08/09/17		-15	5	9	6	12	17	31	25	18	35	23
08/10/17		-14	3	9	8	11	16	29	25	17	35	24
08/11/17		-17	4	11	7	9	13	31	26	19	36	24
08/14/17		-21	7	11	10	10	15	29	27	18	35	24
08/15/17		-19	7	12	7	12	16	32	26	18	33	24
08/16/17		-19	5	11	11	9	16	30	25	19	35	23
08/17/17		-21	5	11	13	8	14	30	25	18	35	24
08/18/17		-19	5	11	11	9	14	30	24	18	35	24
08/21/17		-21	5	11	12	9	14	30	24	18	34	25
08/22/17		-23	7	13	11	9	15	32	24	18	33	24
08/23/17		-18	2	11	11	10	13	31	23	18	34	24
08/24/17		-18	4	9	12	10	14	31	23	18	34	24
08/25/17		-17	4	8	12	12	12	30	23	17	34	24
08/28/17		-17	-1	14	12	9	13	28	25	17	35	25
08/29/17		-20	7	10	10	10	10	27	26	17	35	26
08/30/17		-20	7	8	12	10	11	28	25	18	34	26
08/31/17		-21	6	7	15	10	11	26	25	17	35	26
09/01/17		-19	6	8	14	11	11	27	26	17	35	26
09/05/17		15	-27	10	10	7	10	25	25	17	36	26
09/06/17		-11	3	10	7	6	12	27	24	17	36	26
09/07/17		-17	7	10	6	6	11	25	25	17	35	26
09/08/17		-19	8	10	8	5	12	25	25	17	35	26
09/11/17		-18	8	11	8	8	12	27	25	18	35	26
09/12/17		-16	4	13	11	6	13	29	24	18	35	26
09/13/17		-16	5	12	11	8	13	30	23	19	33	26
09/14/17		-16	6	12	11	9	13	29	22	19	32	25
09/15/17		-17	7	12	13	9	14	28	23	16	32	25
09/18/17		-19	9	13	12	10	14	29	23	17	33	24
09/19/17		-18	7	15	12	9	15	29	23	17	33	24
09/20/17		-17	6	16	12	13	15	29	23	16	31	23
09/21/17		-16	5	15	12	14	14	30	22	16	30	23
09/22/17		-18	6	16	11	16	12	30	22	16	31	23
09/25/17		-18	8	14	11	14	12	29	22	15	31	23
09/26/17		-19	10	13	12	14	12	30	21	16	30	24
09/27/17		-16	8	13	13	14	13	31	23	17	31	24
09/28/17		-18	9	12	13	14	14	30	24	18	32	24
09/29/17		-19	10	14	11	16	15	30	24	17	30	23
10/02/17		-20	6	21	9	18	14	31	23	17	30	23
10/03/17		-14	6	14	11	15	15	30	23	18	30	24
10/04/17		-15	8	13	12	14	15	30	23	18	31	23
10/05/17		-13	5	14	14	14	14	31	23	18	30	24
10/06/17		-12	4	15	13	19	12	31	23	17	31	23
10/10/17		-12	5	18	16	9	13	31	23	17	30	23
10/11/17		-11	6	15	15	11	15	29	22	18	29	24
10/12/17		-16	10	18	14	10	15	29	21	17	29	24
10/13/17		-18	12	17	13	12	13	27	21	16	30	23
10/16/17		-18	13	14	18	12	14	27	20	15	28	24
10/17/17		-16	10	16	16	13	15	28	18	15	28	22
10/18/17		-16	10	15	18	17	11	29	20	15	28	23
10/19/17		-16	11	15	16	17	11	29	20	15	27	23
10/20/17		-16	12	16	16	17	12	31	21	15	28	22
10/23/17		-15	9	16	17	16	12	31	21	16	28	23
10/24/17		-15	12	15	16	17	13	32	21	16	28	22
10/25/17		-14	11	15	16	18	13	32	22	16	28	23
10/26/17		-16	12	18	14	20	13	31	23	16	28	22
10/27/17		-17	12	18	14	17	14	30	23	16	29	22
10/30/17		-18	15	12	18	16	13	29	22	15	29	22
10/31/17		-16	16	13	15	17	13	28	22	15	28	22
11/01/17		-10	12	12	16	15	13	27	21	15	26	22
11/02/17		-14	15	12	17	15	12	27	21	14	26	22
11/03/17		-14	16	13	18	14	11	25	20	15	25	23
11/06/17		-13	16	11	20	11	12	26	18	15	26	22
11/07/17		-11	17	11	16	14	12	24	18	15	24	21
11/08/17		-11	18	12	18	12	12	24	18	13	25	22
11/09/17		-9	17	12	17	10	12	26	19	13	26	22
11/10/17		-10	17	14	17	13	12	27	21	13	27	21
11/13/17		-9	17	13	18	15	12	26	19	13	27	20
11/14/17		-10	20	14	15	13	13	25	20	12	26	20
11/15/17		-8	17	14	16	13	11	25	17	12	25	19
11/16/17		-8	19	15	17	13	11	24	18	12	25	19
11/17/17		-8	21	13	18	13	10	23	17	12	24	19
11/20/17		-7	21	16	16	15	9	23	17	11	23	18
11/21/17		-1	15	15	17	15	11	23	16	9	22	18
11/22/17		0	13	16	16	13	10	21	17	10	25	18
11/24/17		-2	15	16	16	14	10	22	16	11	24	18
11/27/17		-1	12	14	21	12	10	22	15	11	25	19
11/28/17		0	14	16	15	14	10	22	17	10	24	19
11/29/17		1	12	16	16	17	8	23	18	10	25	19
11/30/17		-2	13	17	18	16	12	24	17	11	23	18
12/01/17		-16	13	18	17	16	12	23	15	9	21	18
12/04/17		-14	13	16	21	14	13	22	14	8	21	19
12/05/17		-9	9	18	16	19	11	21	13	8	19	18
12/06/17		-12	12	18	20	10	14	19	14	8	20	18
12/07/17		-14	13	18	20	13	12	22	15	8	21	18
12/08/17		-16	14	17	20	15	12	22	15	9	21	18
12/11/17		-12	15	14	22	13	13	21	14	9	20	18
12/12/17		-4	8	15	21	13	12	23	14	8	20	19
12/13/17		-8	8	17	21	11	11	22	14	10	20	18
12/14/17		-9	11	16	22	12	10	22	13	8	18	18
12/15/17		-6	7	17	23	13	11	21	12	7	17	16
12/18/17		-4	12	13	19	14	10	23	13	9	18	17
12/19/17		-5	12	14	20	16	10	26	14	9	20	16
12/20/17		-8	16	13	21	15	11	26	16	9	22	17
12/21/17		-9	14	19	19	16	12	25	13	9	20	16
12/22/17		-15	18	21	19	18	10	25	14	8	20	15
12/26/17		-6	23	5	23	17	10	23	13	9	19	16
12/27/17		-12	26	9	22	14	10	23	12	8	17	16
12/28/17		-11	20	15	22	15	9	23	13	7	17	15
12/29/17		-2	11	14	23	13	9	22	13	7	18	16
01/02/18		-12	15	17	22	9	9	24	13	8	18	17
01/03/18		-12	12	18	22	13	8	23	12	7	18	16
01/04/18		-13	13	19	22	14	9	22	11	8	16	17
01/05/18		-14	12	19	22	16	10	23	11	7	17	17
01/08/18		-11	15	15	19	17	11	22	12	8	16	16
01/09/18		-14	17	16	18	20	11	24	13	9	17	16
01/10/18		-10	11	17	19	20	10	24	15	8	18	15
01/11/18		-9	11	15	19	21	11	23	14	8	18	19
01/12/18		-10	12	16	19	21	13	23	13	7	16	14
01/16/18		-8	12	18	16	24	9	24	12	6	15	14
01/17/18		-10	13	19	16	26	10	24	12	6	14	13
01/18/18		-12	16	18	16	26	12	26	12	7	15	13
01/19/18		-13	16	18	17	27	14	25	12	7	14	13
01/22/18		-14	17	21	14	29	13	25	13	7	13	14
01/23/18		-15	18	19	15	28	12	25	12	8	14	13
01/24/18		-16	18	20	16	29	12	23	14	8	15	13
01/25/18		-18	19	22	16	28	12	21	14	8	13	13
01/26/18		-17	17	23	16	33	11	23	13	6	13	12
01/29/18		-13	16	22	14	31	15	23	14	7	12	12
01/30/18		8	-5	22	22	25	14	24	14	8	13	12
01/31/18		2	3	20	24	24	15	23	14	6	11	12
02/01/18		-1	7	16	25	27	17	23	16	6	12	11
02/02/18		-2	8	17	23	27	18	25	18	8	13	11
02/05/18		-2	11	16	18	23	17	25	18	9	15	12
02/06/18		6	4	17	18	23	20	22	18	9	15	12
02/07/18		-6	19	18	18	24	18	24	18	9	17	11
02/08/18		-10	23	18	18	22	19	25	19	9	18	11
02/09/18		-11	24	18	16	16	21	26	20	11	19	12
02/12/18		-7	27	20	11	16	21	26	21	9	16	12
02/13/18		-8	25	21	15	15	20	24	20	9	16	12
02/14/18		-10	26	23	17	19	23	25	19	7	16	11
02/15/18		-12	28	24	17	20	21	25	18	7	14	11
02/16/18		-7	27	21	17	21	17	25	18	6	15	11
02/20/18		-3	27	21	14	24	15	25	16	7	16	11
02/21/18		-2	24	21	18	23	18	25	17	8	17	11
02/22/18		-8	29	21	18	23	17	24	18	8	17	12
02/23/18		-4	26	21	17	23	14	23	17	9	16	12
02/26/18		-3	27	21	16	19	15	23	17	9	17	12
02/27/18		7	17	21	21	19	16	24	16	7	16	11
02/28/18		8	15	21	21	18	17	23	15	7	15	11
03/01/18		-1	13	22	20	17	14	22	16	7	16	12
03/02/18		-1	15	21	20	19	15	23	16	7	16	12
03/05/18		2	17	16	20	18	17	24	16	7	16	12
03/06/18		5	12	19	19	19	17	23	16	7	15	11
03/07/18		6	11	19	18	20	17	23	16	8	15	11
03/08/18		6	10	22	16	20	17	21	16	7	15	12
03/09/18		6	10	22	14	24	18	20	17	8	14	12
03/12/18		9	11	18	16	22	16	21	15	8	13	13
03/13/18		13	9	17	13	23	15	21	15	7	14	12
03/14/18		20	5	18	11	21	15	20	14	6	13	11
03/15/18		19	7	18	12	22	13	20	14	6	12	11
03/16/18		20	7	18	12	23	13	21	13	7	11	12
03/19/18		19	10	19	9	23	14	20	13	7	12	12
03/20/18		25	5	16	11	26	15	20	13	7	12	11
03/21/18		20	3	21	11	25	15	23	13	7	12	11
03/22/18		16	5	23	10	24	14	20	13	7	11	12
03/23/18		18	5	18	12	24	13	20	13	8	12	12
03/26/18		20	8	15	12	27	11	20	14	7	11	12
03/27/18		18	8	16	17	16	13	19	12	8	12	13
03/28/18		14	8	22	17	16	13	18	13	5	12	12
03/29/18		12	10	20	16	18	12	17	12	6	11	12
04/02/18		-1	9	15	16	17	12	18	12	6	12	12
04/03/18		1	5	17	17	19	13	19	13	6	11	12
04/04/18		-2	4	19	17	21	14	19	12	6	12	12
04/05/18		-2	5	21	14	23	15	19	12	7	12	12
04/06/18		-1	5	18	15	21	13	18	12	7	12	12
04/09/18		-2	9	17	15	21	14	17	12	6	11	13
04/10/18		-6	11	19	16	23	13	17	12	6	9	13
04/11/18		-5	9	22	14	23	13	17	10	7	8	12
04/12/18		-4	10	20	16	23	15	18	11	5	9	13
04/13/18		-5	12	21	15	25	14	16	10	5	9	12
04/16/18		-5	15	19	14	27	13	17	9	5	8	12
04/17/18		-1	12	22	14	25	11	16	9	5	7	11
04/18/18		-2	14	20	16	25	15	16	10	4	8	11
04/19/18		-2	15	19	20	23	14	19	10	5	9	10
04/20/18		-4	16	20	21	24	16	18	11	5	8	10
04/23/18		0	18	17	21	24	15	19	11	4	7	10
04/24/18		1	17	18	20	23	15	20	12	5	8	10
04/25/18		-4	20	18	23	23	15	20	13	6	9	9
04/26/18		-7	20	20	23	24	14	19	13	5	8	10
04/27/18		-7	20	20	22	25	13	18	12	4	7	10
04/30/18		-4	22	17	20	25	13	17	12	4	6	10
05/01/18		-2	17	20	21	24	16	16	11	4	6	10
05/02/18		-1	15	19	21	25	15	16	12	5	7	10
05/03/18		-2	16	18	22	25	13	16	12	4	8	10
05/04/18		-3	17	19	21	27	12	15	12	5	7	10
05/07/18		-1	17	19	20	24	15	14	12	5	7	10
05/08/18		-1	18	18	21	25	15	15	12	4	7	9
05/09/18		-2	20	17	22	27	14	16	12	4	7	9
05/10/18		-1	21	15	22	27	15	14	11	3	7	8
05/11/18		-2	24	14	22	26	15	15	10	3	6	7
05/14/18		0	23	16	19	27	15	15	11	4	6	7
05/15/18		-1	23	17	22	27	17	17	12	4	6	6
05/16/18		-1	23	17	23	26	18	18	11	4	7	5
05/17/18		0	22	18	22	25	18	19	13	4	8	6
05/18/18		-2	23	18	23	23	16	19	12	4	8	6
05/21/18		1	22	21	21	23	15	17	12	4	7	7
05/22/18		3	20	20	21	25	14	17	12	4	8	7
05/23/18		6	16	19	18	24	14	16	12	6	8	8
05/24/18		4	17	18	19	22	15	17	11	5	8	7
05/25/18		0	20	17	20	21	12	16	12	5	8	8
05/29/18		7	16	13	11	15	11	15	13	6	10	9
05/30/18		7	17	14	15	19	11	14	12	5	9	8
05/31/18		6	17	15	15	17	14	14	10	5	8	9
06/01/18		4	18	18	18	19	14	13	11	4	7	8
06/04/18		-5	17	19	17	22	12	14	11	5	6	8
06/05/18		0	12	19	19	17	13	14	11	5	7	8
06/06/18		-1	14	18	19	20	13	16	12	4	8	8
06/07/18		-4	16	18	19	19	13	14	11	5	7	8
06/08/18		-4	15	19	18	20	13	14	11	5	7	8
06/11/18		0	12	17	21	20	14	14	11	5	6	8
06/12/18		-1	11	18	21	23	13	14	10	5	6	7
06/13/18		0	12	15	26	24	12	14	10	3	6	6
06/14/18		-1	13	13	28	24	10	12	9	4	5	6
06/15/18		0	12	13	28	20	13	13	8	4	5	7
06/18/18		2	10	19	22	21	11	13	9	3	6	7
06/19/18		3	9	19	21	20	10	13	7	5	6	7
06/20/18		3	9	20	22	20	11	13	9	4	6	7
06/21/18		3	9	18	22	22	9	12	9	4	7	7
06/22/18		1	10	18	22	23	9	12	9	4	7	7
06/25/18		-2	13	20	21	20	9	12	8	4	8	7
06/26/18		-3	14	21	19	20	10	12	9	4	7	8
06/27/18		-3	14	17	23	19	7	12	8	4	7	7
06/28/18		-6	17	18	22	19	8	13	8	3	7	6
06/29/18		-5	16	18	22	19	11	10	8	4	6	7
07/02/18		8	8	16	20	23	8	10	8	4	5	7
07/03/18		9	7	14	21	20	10	9	7	4	6	7
07/05/18		5	9	15	21	23	10	9	6	4	4	7
07/06/18		4	11	16	21	19	11	7	7	4	5	7
07/09/18		5	11	17	19	23	9	9	7	4	4	6
07/10/18		6	11	16	21	23	10	8	6	4	4	6
07/11/18		7	8	17	22	22	9	7	8	3	4	6
07/12/18		7	9	19	22	21	8	7	8	2	4	6
07/13/18		5	11	18	21	22	7	7	7	3	4	7
07/16/18		8	11	18	20	20	8	8	7	3	5	6
07/17/18		11	9	17	20	23	7	7	7	3	5	6
07/18/18		8	10	17	26	17	9	8	7	4	5	6
07/19/18		7	11	16	24	20	7	7	7	3	6	6
07/20/18		4	13	17	25	19	8	9	8	4	7	7
Starting in Jan-2017, each delta was positive double digits. Normal monotonically increasing yield curve.
About late Jun-2017, 6M-3M went slightly negative for a few days, but then back to normal.

After that, the yield curve has been normal, but the deltas did become smaller (slightly flatter).
About Dec-2017, the 10M-7M go to single-digit positive.
from about Apr-2018 to Jun-2018, more deltas got to single-digit positive
But no actual inversion for the past year or so.

Summary: The Yield Curve is not inverted at this time. Yield curve has flattened over the past few months.

Conclusion: Articles and posts about Yield Curve inversion are pre-maturing. It hasn't inverted. It has only got flatten, so it's not as steep. And if 2007 Recession is a guide, a recession won't start for about 1-1/2 - 2 years once it does show inversion.

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grayfox
Posts: 4939
Joined: Sat Sep 15, 2007 4:30 am

Re: In Search of... the Inverted Yield Curve

Post by grayfox » Sun Jul 22, 2018 10:28 am

Kevin M wrote:
Sat Jul 21, 2018 9:59 pm
A common measure of the yield curve is the 10-year yield minus the 2-year yield. We can chart that directly using FRED, and see how it relates to recessions:

Image
That measure also shows not inverted at this time.

And there is a long lag in each case. If an inverted yield has a causal effect on recession, it seems that the inversion must be prolonged for whatever economic effect it is having to work. And then the effect shows up a year or two later as a recession.

I will also point out that at the official start of the recession Dec-2007, most people were not aware that a recession started. I recall a few doom-and-gloomers who always think a recession is coming, but no-one else. I recall it took many months before everyone agreed that there was a recession.

Top Business Economists Predict U.S. Could Face Recession in 2020

If they are predicting a recession by end of 2020, that is 2-1/2 years out. The yield curve needs to start inverting soon to meet their schedule.

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willthrill81
Posts: 6573
Joined: Thu Jan 26, 2017 3:17 pm
Location: USA

Re: In Search of... the Inverted Yield Curve

Post by willthrill81 » Sun Jul 22, 2018 2:20 pm

Kevin M wrote:
Sat Jul 21, 2018 9:59 pm
We can see that it does tend to go negative before recessions, but there also are some false alarms, and the timing is not consistent.
With the 10-2, I'm not seeing any false alarms, only variable time until the recession started.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Kevin M
Posts: 10306
Joined: Mon Jun 29, 2009 3:24 pm
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Re: In Search of... the Inverted Yield Curve

Post by Kevin M » Sun Jul 22, 2018 2:36 pm

willthrill81 wrote:
Sun Jul 22, 2018 2:20 pm
Kevin M wrote:
Sat Jul 21, 2018 9:59 pm
We can see that it does tend to go negative before recessions, but there also are some false alarms, and the timing is not consistent.
With the 10-2, I'm not seeing any false alarms, only variable time until the recession started.
Yeah, I was looking at the 10-1 for the false alarm. More history, more data points to consider.

Kevin
Wiki ||.......|| Suggested format for Asking Portfolio Questions (edit original post)

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grayfox
Posts: 4939
Joined: Sat Sep 15, 2007 4:30 am

Re: In Search of... the Inverted Yield Curve

Post by grayfox » Sat Jul 28, 2018 11:11 am

This may be a useful resource: Paper and Data on Yield Curve from the Fed:

The Federal Reserve Board
The U.S. Treasury Yield Curve: 1961 to the Present
Refet S. Gurkaynak, Brian Sack, and Jonathan H. Wright
2006-28
https://www.federalreserve.gov/pubs/fed ... 28abs.html

Added: Trying to read. I'm not making any sense of it.
Also downloaded the Excel file. Cannot open on my computer with Libre Office. 110 Mb. Too big?

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Kevin M
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Joined: Mon Jun 29, 2009 3:24 pm
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Re: In Search of... the Inverted Yield Curve

Post by Kevin M » Sat Jul 28, 2018 3:15 pm

grayfox wrote:
Sat Jul 28, 2018 11:11 am
This may be a useful resource: Paper and Data on Yield Curve from the Fed:

The Federal Reserve Board
The U.S. Treasury Yield Curve: 1961 to the Present
Refet S. Gurkaynak, Brian Sack, and Jonathan H. Wright
2006-28
https://www.federalreserve.gov/pubs/fed ... 28abs.html

Added: Trying to read. I'm not making any sense of it.
Also downloaded the Excel file. Cannot open on my computer with Libre Office. 110 Mb. Too big?
The data also is in a set of 30 html pages/tables, with about two years of data in each table. The most recent data, from 1/10/2017 through 7/20/2018 (as of today), is here: http://www.federalreserve.gov/econresda ... 28_30.html. Note that the URL is the same for each page except for the page number at the end.

If you use Google Sheets, you can load this table with this:

Code: Select all

=importhtml("http://www.federalreserve.gov/econresdata/researchdata/feds200628_30.html","table",3)
Only takes a few seconds to load one of the tables.

For tables 1-29, which now are static, you could copy/paste-values once you've imported it, so you don't have to import it each time. You still might have some size problems if trying to work with all the data.

Another approach is to just save the BETAs and TAUs, which takes up much less space, and then use the formulas in the paper to calculate the values you're interested in.

Kevin
Wiki ||.......|| Suggested format for Asking Portfolio Questions (edit original post)

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Re: In Search of... the Inverted Yield Curve

Post by Valuethinker » Sun Jul 29, 2018 8:00 am

grayfox wrote:
Sun Jul 22, 2018 10:28 am


Top Business Economists Predict U.S. Could Face Recession in 2020

If they are predicting a recession by end of 2020, that is 2-1/2 years out. The yield curve needs to start inverting soon to meet their schedule.
If you believe that indicator.

Recessions are no longer caused by Fed tightening. That was not the key factor in 2000-03 nor in 2007-8.

We seem to be back to a 19th century model, where the economy and financial markets run under their own steam, and recessions, and depressions, are caused by excessive speculation and when they just run out of steam. Schumpeterian cycles of creation and destruction, if you will. Our hand on the throttle of the economy is no longer so sure.

See Japan since 1990. Yes there were policy mistakes, particularly by the Bank of Japan in the 1990s. But greater stimulation since has not been able to overcome the natural forces of the economy.

If the US or the world economy hit recessions now, then monetary policy will have little purchase on the problem. Interest rates are too close to zero to have a lot of impact.

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Re: In Search of... the Inverted Yield Curve

Post by texas lawdog » Sun Jul 29, 2018 9:33 am

Is the NBER definition at the end of the two negative qtrs of GDP?

I'm wondering if you should backdate the recession to the beginning month of the first two negative qtrs of the last recession (i.e. Jun 2007) and narrow the gap somewhat between a bond yield inversion and a recession begins.

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grayfox
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Re: In Search of... the Inverted Yield Curve

Post by grayfox » Sun Jul 29, 2018 10:30 am

I think that the two quarters of negative GDP is just a rule-of-thumb used by some, but not necessarily by NBER.

From The NBER's Recession Dating Procedure
Business Cycle Dating Committee, National Bureau of Economic Research
January 7, 2008
The period from a peak to a trough is a recession
and the period from a trough to a peak is an expansion.
NBER tries the best to pinpoint the start of the recession, which is the previous peak. So there should be no reason to adjust their dates.

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Re: In Search of... the Inverted Yield Curve

Post by sperry8 » Mon Jul 30, 2018 12:12 am

fennewaldaj wrote:
Sat Jul 21, 2018 9:47 pm
willthrill81 wrote:
Sat Jul 21, 2018 9:43 pm
Thanks for the interesting analysis.

I wonder how well an inverted yield curve foreshadowed other recessions. And whether this effect was similar in other nations.
Ben Carlson talked about that very topic this week

http://awealthofcommonsense.com/2018/07 ... eld-curve/
Here is a recent article by Ken Fisher's firm that talks about using the Global Yield curve which is a better indicator (and ensuring we use the right spread when identifying actual inversion):

https://www.fisherinvestments.com/en-us ... urve-fears

My take away is that we are not yet close to inversion (which differs from what the media would have us believe).
Humbling BH contest results: 2017: #516 of 647 | 2016: #121 of 610 | 2015: #18 of 552 | 2014: #225 of 503 | 2013: #383 of 433 | 2012: #366 of 410 | 2011: #113 of 369 | 2010: #53 of 282

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Re: In Search of... the Inverted Yield Curve

Post by grayfox » Thu Aug 02, 2018 1:09 am

Fed leaves rates unchanged but upgrades view of the US economy to 'strong'
The Federal Open Market Committee votes unanimously to keep the target range for its benchmark rate at 1.75 percent to 2 percent.
The Yield curve is still not inverted.

Code: Select all

Date		1 Mo	3 Mo	6 Mo	1 Yr	2 Yr	3 Yr	5 Yr	7 Yr	10 Yr	20 Yr	30 Yr
08/01/18	1.93	2.03	2.22	2.45	2.67	2.78	2.87	2.96	3.00	3.07	3.13
The next meeting is Sep 26, 2018. Right now 91.2% chance the rate will be raised to 200-225 at the next meeting.

Fed Rate Monitor Tool
CME FedWatch Tool

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dratkinson
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Re: In Search of... the Inverted Yield Curve

Post by dratkinson » Thu Aug 02, 2018 3:50 pm

sperry8 wrote:
Mon Jul 30, 2018 12:12 am
fennewaldaj wrote:
Sat Jul 21, 2018 9:47 pm
willthrill81 wrote:
Sat Jul 21, 2018 9:43 pm
Thanks for the interesting analysis.

I wonder how well an inverted yield curve foreshadowed other recessions. And whether this effect was similar in other nations.
Ben Carlson talked about that very topic this week

http://awealthofcommonsense.com/2018/07 ... eld-curve/
Here is a recent article by Ken Fisher's firm that talks about using the Global Yield curve which is a better indicator (and ensuring we use the right spread when identifying actual inversion):

https://www.fisherinvestments.com/en-us ... urve-fears

My take away is that we are not yet close to inversion (which differs from what the media would have us believe).
Interesting. Is the data for a global yield curve easily available?

Didn't immediately find anything simple by searching: http://www.google.com/search?q=global+yield+curve
d.r.a, not dr.a. | I'm a novice investor, you are forewarned.

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Re: In Search of... the Inverted Yield Curve

Post by sperry8 » Thu Aug 02, 2018 11:41 pm

dratkinson wrote:
Thu Aug 02, 2018 3:50 pm
sperry8 wrote:
Mon Jul 30, 2018 12:12 am
fennewaldaj wrote:
Sat Jul 21, 2018 9:47 pm
willthrill81 wrote:
Sat Jul 21, 2018 9:43 pm
Thanks for the interesting analysis.

I wonder how well an inverted yield curve foreshadowed other recessions. And whether this effect was similar in other nations.
Ben Carlson talked about that very topic this week

http://awealthofcommonsense.com/2018/07 ... eld-curve/
Here is a recent article by Ken Fisher's firm that talks about using the Global Yield curve which is a better indicator (and ensuring we use the right spread when identifying actual inversion):

https://www.fisherinvestments.com/en-us ... urve-fears

My take away is that we are not yet close to inversion (which differs from what the media would have us believe).
Interesting. Is the data for a global yield curve easily available?

Didn't immediately find anything simple by searching: http://www.google.com/search?q=global+yield+curve
In the article Fisher states he constructs it using the 3 mo v 10 yr country by country overlayed with weightings based on MSCI World ratios. I suppose one could build a google xsheet if they wanted to monitor this themselves in real time. I don't, I figure he'll announce when his tracking shows global to invert.
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Re: In Search of... the Inverted Yield Curve

Post by grayfox » Wed Dec 05, 2018 9:20 am

Update: 12/5/2018 5 months later. FFR = 2.20%.
They also added 8-week Treasury (2M) on 10/16/2018.
5Y went less than 3Y on 12/3/2018

Code: Select all

Date		1M – FFR	1M-2M	2M-3M	6M-3M	1Y-6M	2Y-1Y	3Y-2Y	5Y-3Y	7Y-5Y	10Y-7Y	20Y-10Y	30Y-20Y	10Y-2Y

Code: Select all

07/02/18		-1			16	20	23	8	10	8	4	5	7	30
07/03/18		0			14	21	20	10	9	7	4	6	7	30
07/05/18		-4			15	21	23	10	9	6	4	4	7	29
07/06/18		-5			16	21	19	11	7	7	4	5	7	29
07/09/18		-4			17	19	23	9	9	7	4	4	6	29
07/10/18		-3			16	21	23	10	8	6	4	4	6	28
07/11/18		-2			17	22	22	9	7	8	3	4	6	27
07/12/18		-2			19	22	21	8	7	8	2	4	6	25
07/13/18		-4			18	21	22	7	7	7	3	4	7	24
07/16/18		-1			18	20	20	8	8	7	3	5	6	26
07/17/18		2			17	20	23	7	7	7	3	5	6	24
07/18/18		-1			17	26	17	9	8	7	4	5	6	28
07/19/18		-2			16	24	20	7	7	7	3	6	6	24
07/20/18		-5			17	25	19	8	9	8	4	7	7	29
07/23/18		-3			20	23	22	8	11	9	4	8	6	32
07/24/18		1			17	23	21	11	9	8	4	7	6	32
07/25/18		-1			19	22	24	8	8	8	4	6	6	28
07/26/18		-2			20	22	28	9	8	9	3	7	5	29
07/27/18		-1			20	23	24	9	8	8	4	7	6	29
07/30/18		0			17	22	23	11	8	9	4	7	6	32
07/31/18		3			18	23	23	10	8	7	4	7	5	29
08/01/18		2			19	23	22	11	9	9	4	7	6	33
08/02/18		-2			20	23	21	10	9	8	5	8	6	32
08/03/18		-1			22	20	20	11	8	9	4	8	6	32
08/06/18		1			18	21	20	9	7	9	5	8	6	30
08/07/18		5			17	22	23	8	8	8	6	8	6	30
08/08/18		2			18	20	24	9	6	9	4	9	7	28
08/09/18		0			19	19	20	10	6	9	4	8	7	29
08/10/18		1			18	19	19	7	7	7	5	9	7	26
08/13/18		2			16	20	19	7	7	7	6	9	8	27
08/14/18		5			17	19	19	8	6	7	5	9	8	26
08/15/18		5			16	22	16	7	5	8	5	9	8	25
08/16/18		5			17	21	18	7	5	7	5	8	8	24
08/17/18		4			19	20	17	7	7	7	5	8	8	26
08/20/18		2			19	18	17	5	5	7	5	9	8	22
08/21/18		3			17	20	16	6	6	7	5	8	7	24
08/22/18		4			15	19	17	5	5	7	5	9	8	22
08/23/18		3			15	20	18	5	6	6	4	8	7	21
08/24/18		4			16	19	19	5	4	6	4	7	8	19
08/27/18		5			13	22	20	3	4	7	4	7	8	18
08/28/18		5			15	19	20	6	4	7	4	8	7	21
08/29/18		6			15	20	19	8	3	7	4	7	6	22
08/30/18		6			17	19	17	8	3	7	4	7	7	22
08/31/18		4			17	18	16	8	4	7	5	9	7	24
09/04/18		5			16	20	17	7	5	7	5	9	8	24
09/05/18		5			16	19	17	6	5	8	5	10	8	24
09/06/18		3			17	20	14	7	5	7	5	10	8	24
09/07/18		3			16	23	18	7	4	7	5	9	8	23
09/10/18		3			18	22	19	5	5	6	5	8	7	21
09/11/18		7			16	24	21	7	4	7	4	8	7	22
09/12/18		6			17	23	18	8	5	6	4	7	7	23
09/13/18		6			18	22	21	7	4	6	4	7	7	21
09/14/18		7			17	23	22	7	5	6	3	8	6	21
09/17/18		7			19	22	21	7	4	7	3	8	6	21
09/18/18		10			19	22	23	7	6	7	4	9	6	24
09/19/18		8			20	22	23	8	7	8	4	8	7	27
09/20/18		8			20	21	23	8	7	7	4	8	6	26
09/21/18		10			20	20	23	8	6	8	4	7	6	26
09/24/18		12			16	22	23	6	7	8	4	7	6	25
09/25/18		17			17	21	24	8	8	7	4	7	6	27
09/26/18		16			17	21	25	6	7	6	4	8	5	23
09/27/18		15			19	21	25	6	7	6	4	7	6	23
09/28/18		17			17	23	22	7	6	7	4	8	6	24
10/01/18		-6			17	20	22	8	6	8	5	9	6	27
10/02/18		-5			18	20	21	6	6	7	4	9	6	23
10/03/18		-4			18	21	23	9	8	8	5	9	6	30
10/04/18		-3			20	21	24	10	8	9	5	10	6	32
10/05/18		-4			18	23	24	11	8	11	5	11	6	35
10/09/18		-2			21	19	23	10	7	10	6	9	7	33
10/10/18		-1			18	22	21	9	8	10	7	11	6	34
10/11/18		-5			17	22	19	9	6	9	5	11	7	29
10/12/18		-5			16	22	19	8	7	9	6	10	7	30
10/15/18		-2			16	20	18	9	7	9	6	11	7	31
10/16/18		0	3	8	16	20	21	8	7	8	6	10	6	29
10/17/18		1	3	8	16	19	23	8	7	9	6	10	6	30
10/18/18		0	4	9	15	20	20	8	8	8	6	11	8	30
10/19/18		0	4	8	17	19	25	7	6	9	6	11	7	28
10/22/18		-1	7	9	15	19	24	7	6	8	7	11	7	28
10/23/18		2	2	10	15	19	22	6	6	9	7	12	8	28
10/24/18		1	3	11	13	17	20	5	5	8	8	14	9	26
10/25/18		0	5	10	13	19	20	6	6	9	7	13	8	28
10/26/18		-3	5	12	14	16	18	4	6	9	8	15	9	27
10/29/18		-2	4	13	15	15	17	5	5	9	8	15	10	27
10/30/18		2	5	7	15	18	18	6	4	9	9	14	10	28
10/31/18		1	6	8	15	20	18	6	5	9	8	15	9	28
11/01/18		2	7	4	17	18	17	7	5	10	8	15	9	30
11/02/18		0	9	5	17	20	21	7	6	9	9	15	9	31
11/05/18		1	9	7	15	20	20	8	4	9	8	14	9	29
11/06/18		4	6	6	17	20	21	8	4	9	8	13	8	29
11/07/18		4	6	8	14	23	22	7	4	8	7	13	8	26
11/08/18		2	8	6	17	22	24	7	4	8	7	12	7	26
11/09/18		2	9	6	16	21	21	7	4	8	6	13	8	25
11/13/18		5	8	6	15	19	17	6	4	8	7	14	8	25
11/14/18		5	9	5	14	19	15	6	3	9	8	14	9	26
11/15/18		1	12	5	14	19	16	5	3	8	9	16	9	25
11/16/18		2	10	5	14	18	13	4	5	9	9	15	10	27
11/19/18		4	9	6	14	14	13	3	5	10	9	16	10	27
11/20/18		4	12	4	12	16	12	4	5	9	9	16	9	27
11/21/18		6	9	7	11	15	14	3	5	9	8	16	9	25
11/23/18		6	10	6	11	15	14	2	5	9	8	16	10	24
11/26/18		5	11	6	13	16	14	2	4	8	9	15	10	23
11/27/18		12	6	4	12	17	13	3	3	9	8	16	10	23
11/28/18		12	6	3	13	16	12	3	3	10	9	17	11	25
11/29/18		12	3	3	15	17	12	2	2	9	9	18	12	22
11/30/18		12	2	4	15	18	10	3	1	8	9	18	11	21
12/03/18		10	5	3	18	16	11	1	-1	7	8	17	12	15
12/04/18		17	5	0	16	13	9	1	-2	5	7	14	11	11
With the 5Y is less than the 3Y, the Yield Curve is no longer monotonically increasing.
Whether or not it is called Inverted Yield Curve depends on your definition.
Some define Inverted when 10Y - 2Y is negative. Right now is +11 bps. So not inverted by that definition.

However, the average 10Y - 2Y was 93 during 2017 so its a lot closer to being inverted.

Next FOMC meeting is Dec 19, 2018. 79% chance of raising to 2.25 - 2.50.

Everything is going according to plan. Recession scheduled for Dec-2020. :D

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corn18
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Re: In Search of... the Inverted Yield Curve

Post by corn18 » Wed Dec 05, 2018 9:34 am

I think the 10-2 is something to keep an eye on. If for no other reason than to have something to talk about on the fora. If the Fed raises rates this year, IMHO they will ensure a recession by 2020. If they don't, I think they will ensure a recession. Either way, we get a recession.

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Re: In Search of... the Inverted Yield Curve

Post by robertmcd » Wed Dec 05, 2018 9:56 am

I don't think the inverted yield curve is AS important this time, mainly due to the Fed balance sheet holding down the long end. What is more important is simply interest rates across the board, and whether the Fed hikes once more, twice more, or stops, its current QT program will cause a collapse in asset prices. That loud sucking noise you hear is 50 billion a month of blood being drawn out of the zombie patient we call the markets. Get ready for Fed cuts, QE4eva, and a little taste of NIRP.

finite_difference
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Re: In Search of... the Inverted Yield Curve

Post by finite_difference » Wed Dec 05, 2018 10:02 am

Valuethinker wrote:
Sun Jul 29, 2018 8:00 am
grayfox wrote:
Sun Jul 22, 2018 10:28 am


Top Business Economists Predict U.S. Could Face Recession in 2020

If they are predicting a recession by end of 2020, that is 2-1/2 years out. The yield curve needs to start inverting soon to meet their schedule.
If you believe that indicator.

Recessions are no longer caused by Fed tightening. That was not the key factor in 2000-03 nor in 2007-8.

We seem to be back to a 19th century model, where the economy and financial markets run under their own steam, and recessions, and depressions, are caused by excessive speculation and when they just run out of steam. Schumpeterian cycles of creation and destruction, if you will. Our hand on the throttle of the economy is no longer so sure.

See Japan since 1990. Yes there were policy mistakes, particularly by the Bank of Japan in the 1990s. But greater stimulation since has not been able to overcome the natural forces of the economy.

If the US or the world economy hit recessions now, then monetary policy will have little purchase on the problem. Interest rates are too close to zero to have a lot of impact.
I agree that 2000 was caused by excessive speculation by investors. But I haven’t studied that one in detail.

However, 2008 was caused by excessive speculation due to proper lack of oversight by the credit bureaus and the deregulation of by banks (whereby they were allowed to become too big to fail, and allowed to take on too much risk, and did not need to undergo proper tests/checks).

Basically if you have no regulation, and no Federal Reserve, then we are back to the 19th century laissez-faire economy. With the Federal Reserve and the proper amount of regulation, the economy will be optimal, people will propser and our environment will be conserved. On the other hand, if there is too much regulation, that will hinder the economy. So it’s all about striking a balance, which few people seem to understand. It’s always easier to just pick being on one side or the other.
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Re: In Search of... the Inverted Yield Curve

Post by aristotelian » Wed Dec 05, 2018 10:14 am

It seems almost like a tautology. 100% of the time, stock market crashes are preceded by stocks going up. We know the Fed lowers rates to stimulate the economy, then raises rates to control inflation. When rates are increasing, the curve inverts. At some point there will be a recession and rates will drop.

I wonder what the results would be if you cashed out the day of yield curve inversion and then DCA back in over X years. Would the yield curve timer outperform a buy and hold investor?

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Re: In Search of... the Inverted Yield Curve

Post by willthrill81 » Wed Dec 05, 2018 10:16 am

aristotelian wrote:
Wed Dec 05, 2018 10:14 am
It seems almost like a tautology. 100% of the time, stock market crashes are preceded by stocks going up. We know the Fed lowers rates to stimulate the economy, then raises rates to control inflation. When rates are increasing, the curve inverts. At some point there will be a recession and rates will drop.

I wonder what the results would be if you cashed out the day of yield curve inversion and then DCA back in over X years. Would the yield curve timer outperform a buy and hold investor?
I haven't heard of a 'Fed driven strategy' that even backtested well. But perhaps there is one out there that would actually work going forward.
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Re: In Search of... the Inverted Yield Curve

Post by geospatial » Wed Dec 05, 2018 10:51 am

https://www.federalreserve.gov/aboutthe ... udited.htm

This is the Fed's quarterly financial report from September. Table 2 (labeled "Domestic SOMA portfolio holdings") shows a breakdown of treasuries holdings in terms of bills, notes, and bonds. But does anybody know if there's a place that shows the maturities of their holdings within those categories?

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Re: In Search of... the Inverted Yield Curve

Post by Oicuryy » Wed Dec 05, 2018 11:11 am

geospatial wrote:
Wed Dec 05, 2018 10:51 am
But does anybody know if there's a place that shows the maturities of their holdings within those categories?
SOMA holdings are here.
https://www.newyorkfed.org/markets/soma ... ccholdings

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Re: In Search of... the Inverted Yield Curve

Post by nisiprius » Wed Dec 05, 2018 11:28 am

aristotelian wrote:
Wed Dec 05, 2018 10:14 am
It seems almost like a tautology. 100% of the time, stock market crashes are preceded by stocks going up. We know the Fed lowers rates to stimulate the economy, then raises rates to control inflation. When rates are increasing, the curve inverts. At some point there will be a recession and rates will drop.

I wonder what the results would be if you cashed out the day of yield curve inversion and then DCA back in over X years. Would the yield curve timer outperform a buy and hold investor?
My thoughts precisely.

First, Jeremy Siegel devotes a full chapter of Stocks for the Long Run to the business cycle, and shows that even though the stock market has a causal connection with, and an obvious correlation with the business cycle, nevertheless market timing backtesting based on the NBER dates of recessions hardly works at all. Siegel found that an investor that (magically) knew NBER recession dates as they occurred--rather than when the NBER announces them after the recession is over--could only improve return by 1/2%.
Thus, even if the yield curve reliably predicted recessions, that does not mean that you could use its predictions as market timing signals to improve stock market investment returns.

It seems bizarre to suppose that knowing a crash in advance wouldn't help, but it's quite possible. To be accurate, a prediction must be reliable both ways, and reasonably precise in timing.

By "reliable both ways" I mean that even if it is true that virtually every crash is "preceded" by a yield curve inversion, that is not valuable unless it is also true that virtually every yield curve inversion is followed by a crash. And even if every yield curve inversion is followed by a crash, that is not valuable unless you know when. Most of the value of any prediction is in the time frame. "Sooner or late a crash is coming and it may be terrific" is not in itself actionable. Neither is a statement, in late 1996, that
But how do we know when irrational exuberance has unduly escalated asset values, which then become subject to unexpected and prolonged contractions as they have in Japan over the past decade?
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Re: In Search of... the Inverted Yield Curve

Post by ReformedSpender » Wed Dec 05, 2018 1:48 pm

Yield inversion is only one of several potential indicators of looming recessions/bear markets. For instance, when there is a yield inversion AND equities fall below the 10 month moving average (typically used by trend followers as a tactical timing model), we've seen significant declines. You can read more about the 10 month MA here: https://papers.ssrn.com/sol3/papers.cfm ... _id=962461

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Re: In Search of... the Inverted Yield Curve

Post by columbia » Thu Dec 06, 2018 6:13 am

The Best Investments in Case of an Inverted Yield Curve

https://www.google.com/amp/s/www.wsj.co ... 1536545041

Also, per this author, 2/10 yr. inversion has correctly saged a recession 7 times in a row since 1969.

YMMV

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Re: In Search of... the Inverted Yield Curve

Post by nisiprius » Thu Dec 06, 2018 7:07 am

columbia wrote:
Thu Dec 06, 2018 6:13 am
The Best Investments in Case of an Inverted Yield Curve

https://www.google.com/amp/s/www.wsj.co ... 1536545041

Also, per this author, 2/10 yr. inversion has correctly saged a recession 7 times in a row since 1969.

YMMV
1) I don't think this can be repeated often enough: predicting a recession is not predicting the stock market, and correctly predicting a recession would not necessarily beat buy-and-hold. Jeremy Siegel devotes a full chapter of Stocks for the Long Run to this very case, and found that even market timing on exact recession starting and ending dates--which is impossible since the NBER does not announce them until after the recession is over--would give you only an 0.5% improvement over simply buying and holding.

2) Knowing "the best investments in case of X" is useless and a mental trap. By the time you know that X is actually occurring, it's too late to buy those investments, and before it occurs you're relying on predictions.

I believe salesmen use this trap intentionally. The sales pitch is to feign great interest in your wise and well-informed opinions about where the market is going, and get you to more or less commit to a prediction yourself. They can then say, quite honestly, "well, if that happens then X will be a good investment, so let me sell you some X." Since they haven't made the prediction themselves, you can't hold them accountable for its accuracy.

3) "2/10 yr. inversion has correctly saged a recession 7 times in a row since 1969." Much the same can be said of the so-called "HIndenburg omen," and as with the Hindenburg omen I find it very interesting that there are so many different and inconsistent definitions of exactly what an "inverted yield curve is." Why 2/10? Don't you suspect that the writer checked at 1/5 and 2/20 and 5/7 and 7/30 year inversions to see what was best, before settling on 2/10?

4) In order to be valuable, as in dollars, predictions need to be time-limited--the timing is the most valuable thing about the prediction--and accurate both ways. "Sooner or later a crash is coming and it may be terrific" is not actionable, no matter how well it would have worked in 1929. "But how do we know when irrational exuberance has unduly escalated asset values, which then become subject to unexpected and prolonged contractions as they have in Japan over the past decade?" in late 1996, induced me to cut back my stock allocation somewhat, three years too early. The value of (partly) avoiding some of the hit in 2000 was just about balanced by the loss of value in (partly) missing out on three years of wonderful gains.

"Presidents elected in a year ending in zero die in office" was accurate seven times in a row, 1840-1960 inclusive, and of course people have attempted to add "assassination attempts" in order to extend it to include 1980 and 2000. I'm sure we will be hearing about this in 2020.

5) I've been quite surprised just how often it occurs that "good investments if X happens" turn out not to be particularly good investments when X really does happen. Even more by how often it turns out when you check the record that they were not even good investments when X happened in the past! I once saw an article once that specifically named three dividend stock ETFs "to help you sleep well at night" that "offered downside protection in a crash," all three of which had actually declined more than Total Stock during 2008-2009.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

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Re: In Search of... the Inverted Yield Curve

Post by Valuethinker » Thu Dec 06, 2018 8:18 am

finite_difference wrote:
Wed Dec 05, 2018 10:02 am
Valuethinker wrote:
Sun Jul 29, 2018 8:00 am
grayfox wrote:
Sun Jul 22, 2018 10:28 am


Top Business Economists Predict U.S. Could Face Recession in 2020

If they are predicting a recession by end of 2020, that is 2-1/2 years out. The yield curve needs to start inverting soon to meet their schedule.
If you believe that indicator.

Recessions are no longer caused by Fed tightening. That was not the key factor in 2000-03 nor in 2007-8.

We seem to be back to a 19th century model, where the economy and financial markets run under their own steam, and recessions, and depressions, are caused by excessive speculation and when they just run out of steam. Schumpeterian cycles of creation and destruction, if you will. Our hand on the throttle of the economy is no longer so sure.

See Japan since 1990. Yes there were policy mistakes, particularly by the Bank of Japan in the 1990s. But greater stimulation since has not been able to overcome the natural forces of the economy.

If the US or the world economy hit recessions now, then monetary policy will have little purchase on the problem. Interest rates are too close to zero to have a lot of impact.
I agree that 2000 was caused by excessive speculation by investors. But I haven’t studied that one in detail.

However, 2008 was caused by excessive speculation due to proper lack of oversight by the credit bureaus and the deregulation of by banks (whereby they were allowed to become too big to fail, and allowed to take on too much risk, and did not need to undergo proper tests/checks).
I do not disagree. The general wave of deregulation, including the gradual abolition of Glass-Steagal.

My point though was that the 2008 recession was not caused by Central Bank tightening. This is the world of what Paul Krugman called "the post modern recession" (present in 2000 & 2008, also 1990 came at the end of a period of wild financial speculation and fraud (the former: junk bonds, the latter: the S&L debacle).

In which the conventional story of Fed tightening causing a recession just is not the causation - or at least is only one factor. Instead it all feels very 19th century, thinking the 1872 (?) crash, of wild speculation then collapse.

The argument that monetary policy caused the 1929 Crash I think is quite weak. Similarly Ben Bernanke's assertion that bad monetary policy turned the Crash into the Great Depression does not seem so strong now that we have experimented with extremes of monetary policy looseness and found its limits in terms of stimulating the real economy. I might subtitle it "come back, Bank of Japan, all is forgiven" ;-).
Basically if you have no regulation, and no Federal Reserve, then we are back to the 19th century laissez-faire economy. With the Federal Reserve and the proper amount of regulation, the economy will be optimal, people will propser and our environment will be conserved. On the other hand, if there is too much regulation, that will hinder the economy. So it’s all about striking a balance, which few people seem to understand. It’s always easier to just pick being on one side or the other.
I think all sides would claim they are "striking a balance" ;-). It is, in practice, a very difficult thing to achieve. In fact you really only know when you have failed to strike a balance - ie when you have a crash ;-).

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Re: In Search of... the Inverted Yield Curve

Post by columbia » Thu Dec 06, 2018 9:18 am

nisiprius wrote:
Thu Dec 06, 2018 7:07 am
columbia wrote:
Thu Dec 06, 2018 6:13 am
The Best Investments in Case of an Inverted Yield Curve

https://www.google.com/amp/s/www.wsj.co ... 1536545041

Also, per this author, 2/10 yr. inversion has correctly saged a recession 7 times in a row since 1969.

YMMV
1) I don't think this can be repeated often enough: predicting a recession is not predicting the stock market, and correctly predicting a recession would not necessarily beat buy-and-hold. Jeremy Siegel devotes a full chapter of Stocks for the Long Run to this very case, and found that even market timing on exact recession starting and ending dates--which is impossible since the NBER does not announce them until after the recession is over--would give you only an 0.5% improvement over simply buying and holding.

2) Knowing "the best investments in case of X" is useless and a mental trap. By the time you know that X is actually occurring, it's too late to buy those investments, and before it occurs you're relying on predictions.

I believe salesmen use this trap intentionally. The sales pitch is to feign great interest in your wise and well-informed opinions about where the market is going, and get you to more or less commit to a prediction yourself. They can then say, quite honestly, "well, if that happens then X will be a good investment, so let me sell you some X." Since they haven't made the prediction themselves, you can't hold them accountable for its accuracy.

3) "2/10 yr. inversion has correctly saged a recession 7 times in a row since 1969." Much the same can be said of the so-called "HIndenburg omen," and as with the Hindenburg omen I find it very interesting that there are so many different and inconsistent definitions of exactly what an "inverted yield curve is." Why 2/10? Don't you suspect that the writer checked at 1/5 and 2/20 and 5/7 and 7/30 year inversions to see what was best, before settling on 2/10?

4) In order to be valuable, as in dollars, predictions need to be time-limited--the timing is the most valuable thing about the prediction--and accurate both ways. "Sooner or later a crash is coming and it may be terrific" is not actionable, no matter how well it would have worked in 1929. "But how do we know when irrational exuberance has unduly escalated asset values, which then become subject to unexpected and prolonged contractions as they have in Japan over the past decade?" in late 1996, induced me to cut back my stock allocation somewhat, three years too early. The value of (partly) avoiding some of the hit in 2000 was just about balanced by the loss of value in (partly) missing out on three years of wonderful gains.

"Presidents elected in a year ending in zero die in office" was accurate seven times in a row, 1840-1960 inclusive, and of course people have attempted to add "assassination attempts" in order to extend it to include 1980 and 2000. I'm sure we will be hearing about this in 2020.

5) I've been quite surprised just how often it occurs that "good investments if X happens" turn out not to be particularly good investments when X really does happen. Even more by how often it turns out when you check the record that they were not even good investments when X happened in the past! I once saw an article once that specifically named three dividend stock ETFs "to help you sleep well at night" that "offered downside protection in a crash," all three of which had actually declined more than Total Stock during 2008-2009.
I’m not his PR guy ;) so no idea what all he looked into.

Also: he was clear about returns from the time of inversion and not retroactively from the beginning of a recession.

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Re: In Search of... the Inverted Yield Curve

Post by long_gamma » Thu Dec 06, 2018 10:30 am

From today's Daily Shot:

Image
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Re: In Search of... the Inverted Yield Curve

Post by hornet1 » Thu Dec 06, 2018 11:16 am

Thanks everyone above for the inverted yield curve analysis

So if this is the sort of environment we're in would it be a bad time to put into vanguard BND or total bond funds? Should we instead be investing in short term or holding more 'cash'?

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