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Term Spreads and Breakevens | Econbrowser

As of today:

Figure 1, Panel A: Ten year-three month term spread (blue), ten year-two year (red), and five year-Fed funds (green), in %. Panel B: Five year Treasury minus five year TIPS spread (blue), and expected five year inflation (red), in %. Source: Treasury via FRED, KWW (accessed 5/9), and author’s calculations.

The top panel shows two familiar spreads, while the third (5 yr-Fed funds) has the highest AUROC for a six month ahead forecast of recession. As is clear, all the spreads remain inverted.

The bottom panel indicates that inflation expectations for the next five years have fallen, but perhaps not as much as indicated by simple break-even calculations would indicate.


This entry was posted on by Menzie Chinn.


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