Inversion (Again)!

Figure 1: Treasury 10yr-3mo spread (blue), 10yr-2yr (red), 5yr-3mo (teal), in %. Source: Fed via FRED, US Treasury.

Figure 2: Treasury 10yr-3mo spread (blue), 10yr-2yr (red), 5yr-3mo (teal), in %, in 2019. Source: Fed via FRED, US Treasury.

Over the last month, the 10yr-3mo spread has averaged 4 bps — so not quite inversion on a monthly basis.

3 thoughts on “Inversion (Again)!

  1. pgl

    We are back in 2005 with Greenspan’s bond conundrum:

    https://www.frbsf.org/economic-research/publications/economic-letter/2017/november/new-conundrum-in-bond-market/

    “When the Federal Reserve raises short-term interest rates, the rates on longer-term Treasuries are generally expected to rise. However, even though the Fed has raised short-term interest rates three times since December 2016 and started reducing its asset holdings, Treasury yields have dropped instead. This decoupling of short-term and long-term rates is reminiscent of the “Greenspan conundrum” of 2004–05.”

    Gee the term structure is flat. I never thought the flat structure some 13-14 years ago was that surprising. Michael Bauer patiently explains why a flat term structure today is not that surprising either.

  2. Moses Herzog

    I took the presumption that our good hosts Professor Chinn and Professor Hamilton would whole-heartedly applaud such a web address and such a regular podcast and therefor decided to share it.
    https://www.stlouisfed.org/timely-topics/women-in-economics

    Of course, it is an egregious sin (EGREGIOUS I SAY!!!!!!!!) they have not invited my favorite female economist from West Bengal way. But….. [ he said seething ] we can bide them some time to correct this sloppy and unprofessional error.

  3. Willie

    My fearless and completely untechnical prediction is getting more fearless. Fearlessness stops at predicting timing.

Comments are closed.