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Pastimes : Clown-Free Zone... sorry, no clowns allowed
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To: Terry Whitman who wrote (7817)8/2/2000 11:29:12 AM
From: Defrocked  Read Replies (3) of 436258
 
Yield curve inversion history, 4-to-7 Mos. before Peak
of BEA business cycle:

Inv.Curve Peak(Beg) Trough(End) 10Yr Rate 3Mo. Rate 10Yr-3Mo.
Oct-59 Apr 1960 Feb 1961 4.69 4.70 -0.01
Jun-69 Dec 1969 Nov 1970 6.57 6.88 -0.31
Jun-73 Nov 1973 Mar 1975 6.90 7.75 -0.85
Jul-79 Jan 1980 Jul 1980 8.95 10.18 -1.23
Jan-81 Jul 1981 Nov 1982 11.75 13.15 -1.40
Dec-89 Jul 1990 Mar 1991 7.84 8.26 -0.42

NOW Jan? 2001? 6.00 6.23 -0.23

This indicator has a 86% forecasting accuracy.
Only during the 1966/67 time period did successive monthly
yield curve inversions not forecast a recession.

These estimates are the best I can do and are from the
St. Louis FRED's GS10 and TB3MS(adjusted to yield basis)
series.
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