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Yield Curve and Predicted GDP Growth

  • Background: The yield curve—which measures the spread between the yields on short- and long-term maturity bonds—is often used to predict recessions.
  • Description: We use past values of the slope of the yield curve and GDP growth to provide predictions of future GDP growth and the probability that the economy will fall into a recession over the next year.
  June May April
3-month Treasury bill rate (percent) 2.18 2.38 2.43
10-year Treasury bond rate (percent) 2.05 2.37 2.58
Yield curve slope (basis points) -13 -1 15
Prediction for GDP growth (percent) 2.3 2.3 2.3
Probability of recession in 1 year (percent) 37.8 34.8 31.0
  • Yield-Curve-Predicted GDP Growth
  • Probability of Recession Calculated from the Yield Curve
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