{"id":273663,"date":"2025-04-09T00:52:04","date_gmt":"2025-04-09T00:52:04","guid":{"rendered":"https:\/\/michigandigitalnews.com\/index.php\/2025\/04\/09\/the-yield-curve-steepening-and-inverting\/"},"modified":"2025-06-25T17:08:56","modified_gmt":"2025-06-25T17:08:56","slug":"the-yield-curve-steepening-and-inverting","status":"publish","type":"post","link":"https:\/\/michigandigitalnews.com\/index.php\/2025\/04\/09\/the-yield-curve-steepening-and-inverting\/","title":{"rendered":"The Yield Curve: Steepening *and* Inverting"},"content":{"rendered":"

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The time series, for 3m10s, 2s10s, as well as 1yr-FFR spread Miller (2019) identifies as max AUROC recession predictor at 1 month horizon.<\/p>\n

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Figure 1:<\/strong>\u00a010yr-3mo Treasury term spread (blue, left scale), 10yr-2yr Treasury term spread (red, left scale), 1yr-Fed funds (light green), all in %,\u00a0 VIX at close (green, right scale). Source: Treasury, CBOE\u00a0 via FRED.\u00a0<\/em><\/p>\n

Lee, Semenova, Tsekova, Reinecke\/Bloomberg suggest an expanding budget deficit due to slowing anticipated growth driven by tariffs is pushing up yields; indeed the 5 year TIPS has risen by 15 bps over the last two days, as the nominal 5 year has risen 16 bps.<\/p>\n

In any case, I find the evolution of yields at the 1 to 2 year maturities of key interest.<\/p>\n

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Figure 2:<\/strong> Treasury yield curves for 11\/5 (blue), 1\/21\/2025 (orange), 4\/8\/2025 (green), all in %. Source: Treasury.<\/em><\/p>\n

The inversion is deepening at the 6 month to 2 year part of the spectrum. The implied one year rate one year ahead is 3.59%, according to the expectations hypothesis.<\/p>\n<\/p><\/div>\n

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[ad_1] The time series, for 3m10s, 2s10s, as well as 1yr-FFR spread Miller (2019) identifies as max AUROC recession predictor at 1 month horizon. Figure<\/p>\n","protected":false},"author":1,"featured_media":273664,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_monsterinsights_skip_tracking":false,"_uf_show_specific_survey":0,"_uf_disable_surveys":false,"footnotes":""},"categories":[155],"tags":[],"_links":{"self":[{"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/posts\/273663"}],"collection":[{"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/comments?post=273663"}],"version-history":[{"count":0,"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/posts\/273663\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/media\/273664"}],"wp:attachment":[{"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/media?parent=273663"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/categories?post=273663"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/michigandigitalnews.com\/index.php\/wp-json\/wp\/v2\/tags?post=273663"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}