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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.
Highlights
  September August July
3-month Treasury bill rate (percent) 0.10 0.10 0.12
10-year Treasury bond rate (percent) 0.67 0.67 0.60
Yield curve slope (basis points) 57 57 48
Prediction for GDP growth (percent) -0.2 -0.2 -0.3
Probability of recession in 1 year (percent) 20.0 20.8 21.1
  • Yield-Curve-Predicted GDP Growth
  • Probability of Recession Calculated from the Yield Curve
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