In a simple test of 15 yield-curve variants, we found that the 2s10s spread ranks second to last, based on its correlation with one-year-forward real-GDP growth since 1978. The three best measures employed the 3-month bill as the “short” rate. The spread between the 5-year note and 3-month bill showed the strongest correlation with subsequent economic growth.
Apr
07
2022
The Terrible “Two-Year”
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2-Year Treasurys 10-Year Treasurys Yield Spread Yield Curve Economy GDP Growth Recession IndicatorsLogin
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