Treasury Yield Curve
Curve Shape
Loading curve shape analysis...
Data Source
Treasury yield data is sourced from the Federal Reserve Economic Data (FRED) maintained by the St. Louis Fed.
Data updates daily around 4:00 PM ET on business days.
Key Yield Spreads
Recession Probability NY Fed Model
12-month probability
Loading probability context...
Methodology: Recession probability calculated using the Federal Reserve Bank of New York's model (Estrella, A. and Mishkin, F., 1996).
This indicator reflects historical patterns and is not a prediction or financial advice.
Current Treasury Rates
| Maturity | Yield | Date |
|---|---|---|
| Loading rates... | ||
Understanding the Yield Curve
What is the Yield Curve?
The yield curve is a graphical representation of interest rates on U.S. Treasury securities across different maturities, from short-term (1 month) to long-term (30 years). Under normal economic conditions, longer-term bonds offer higher yields than shorter-term ones, creating an upward-sloping curve. This compensates investors for the additional risk of holding bonds for longer periods.
Why Do Yield Curve Inversions Matter?
An inverted yield curve occurs when short-term Treasury yields exceed long-term yields. This is unusual and historically significant because it suggests investors expect economic weakness ahead. When the yield curve inverts, it indicates that investors are willing to accept lower long-term yields, often because they anticipate the Federal Reserve will cut interest rates in response to a slowing economy.
Historically, inversions of the 10-year minus 3-month Treasury spread have preceded most U.S. recessions since 1970. However, the timing between inversion and recession onset varies from 6 to 24 months, and not every inversion leads to a recession.
The NY Fed Recession Model
The recession probability displayed on this page is calculated using a model developed by Arturo Estrella and Frederic Mishkin at the Federal Reserve Bank of New York in 1996. The model uses a probit regression to estimate the probability of a recession occurring within the next 12 months based on the spread between 10-year and 3-month Treasury yields.
The model's formula is: P(Recession) = Φ(-0.5333 - 0.6330 × Spread),
where Φ is the standard normal cumulative distribution function and Spread is the
10-year minus 3-month Treasury yield in percentage points.
Historical Track Record
The yield curve model has correctly signaled the last seven U.S. recessions before they began. However, it has also produced some false positives where inversions did not lead to recessions. The model should be viewed as one of many economic indicators, not a definitive predictor.
Limitations and Caveats
- The model is based on historical relationships that may not hold in the future
- Monetary policy interventions (like quantitative easing) can distort yield curves
- The timing of recessions after inversions is highly variable
- Not all inversions lead to recessions
- This indicator should not be used as the sole basis for investment decisions
Frequently Asked Questions
Important Disclaimer
The recession probability displayed on this page is calculated using the Federal Reserve Bank of New York's methodology developed by Arturo Estrella and Frederic Mishkin (1996). This indicator is based on historical statistical relationships between yield curve inversions and subsequent recessions.
This is NOT a prediction of future economic conditions. Past relationships may not hold in the future. This tool is for educational and informational purposes only and should NOT be used as the sole basis for investment decisions.
Treasury yield data is sourced from the Federal Reserve Economic Data (FRED) maintained by the Federal Reserve Bank of St. Louis. Always consult with a qualified financial advisor before making investment decisions.
