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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.
  May April March
3-month Treasury bill rate (percent) .12 .12 .11
10-year Treasury bond rate (percent) .69 .61 .99
Yield curve slope (basis points) 57 49 88
Prediction for GDP growth (percent) 1.9 1.9 2.2
Probability of recession in 1 year (percent) 19.4 20.0 20.6
  • Yield-Curve-Predicted GDP Growth
  • Probability of Recession Calculated from the Yield Curve
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