I added the highlights in yellow and the dashed red line.
私はもとのチャートに黄色と赤点線で強調した。
The New York Fed Recession Model is based on yield curve inversions between the 10-year Treasury Note and the 3-Month Treasury Bill.
the New York FED 景気後退モデルは米国債１０Y3Mの金利スプレッド反転に基づいている。
The model uses monthly averages.
このモデルは毎月の平均値を採用している。
Smoothed Recession Odds
平滑化された景気後退可能性
I do not know the makeup of the smoothed recession chart but it is
clearly useless. The implied odds hover around zero, and are frequently
under 20% even in the middle of recession.
The GDP-based recession model is hugely lagging. The current estimate
is 2.4%. This model will not spike until there is at least one quarter
of negative or near-zero GDP.
With regard to the short-term rate, earlier research suggests that
the three-month Treasury rate, when used in conjunction with the
ten-year Treasury rate, provides a reasonable combination of accuracy
and robustness in predicting U.S. recessions over long periods.
Maximum accuracy and predictive power are obtained with the secondary
market three-month rate expressed on a bond-equivalent basis, rather
than the constant maturity rate, which is interpolated from the daily
yield curve for Treasury securities.
Spreads based on any of the rates mentioned are highly correlated
with one another and may be used to predict recessions. Note, however,
that the spreads may turn negative—that is, the yield curve may
invert—at different points and with different frequencies.
Our preferred combination of Treasury rates proves very successful in
predicting the recessions of recent decades. The monthly average spread
between the ten-year constant maturity rate and the three-month
secondary market rate on a bond equivalent basis has turned negative
before each recession in the period from January 1968 to July 2006
(Chart1). If we convert this spread into a probability of recession
twelve months ahead using the probit model described earlier (estimated
with Treasury data from January 1959 to December 2005), we can match the
probabilities with the recessions (Chart 2). The chart shows that the
estimated probability of recession exceeded 30 percent in the case of
each recession and ranged as high as 98 percent in the 1981-82
recession.
The article mentions "The ten-year minus two-year spread tends to
turn negative earlier and more frequently than the ten-year minus
three-month spread, which is usually larger."
こういう記事もある「１０Y2Yのほうが１０Y3Mよりももっと早期に反転し頻度も多い」。
That is certainly not the case today.
現在の状況はこれには当てはまらない。
The 2-year yield is 1.882 whereas the 10-year yield is 2.041.
２年ものの金利は１．８８２であり１０年ものの金利は２．０４１だ。
Chalk this up to QE, Fed manipulation, taper tantrums, and hedge funds front-running expected rate cut moves. この手法で、QEもFED市場操作、テーパータンタラム、そしてヘッジファンドの金利カット先行予想もすべてうまく取り込めている。
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