Here is a snapshot of four key term spreads spreads through November (an examination prompted by a Deutsche Bank missive title “The Looming Recession” which dropped into my inbox today).
Category Archives: recession
GS “Recession Watch” Odds at 35%
From M. Abecasis/GS today:
Employment Release and Business Cycle Indicators
NFP employment increase of 263K surprises on upside (vs. Bloomberg consensus of 200K). This is the resulting picture for some key indicators followed by the NBER Business Cycle Dating Committee.
Business Cycle Indicators at the Beginning of December 2022
With the release of personal consumption and income for October, we have the following picture of key series followed by the NBER BCDC (along with monthly GDP from IHS Markit, formerly from Macroeconomic Advisers).
2022Q3 2nd Release, Alternative Measures of Activity, and a Recession of 2022H1?
Here’s GDP, GDO, and GDP+ through 2022Q3, and monthly indicators through 2022M10. I (still) don’t see a recession in 2022H1.
Guest Contribution: “The Strong Dollar, Global Inflation, and Global Recession”
Today, we are pleased to present a guest contribution by Steven Kamin (AEI), formerly Director of the Division of International Finance at the Federal Reserve Board. The views presented represent those of the authors, and not necessarily those of the institutions the authors are affiliated with.
Maximum AUROC Term Spreads as of 11/25
In 2019, Fed economist David Miller undertook a comprehensive assessment of term spread predictive power for recessions (There is No Single Best Predictor of Recessions). For the 1984-2018 period, he found the following:
Did the Yield Curve Predict a 2022H1 Recession?
No.
Term Spread Recession Forecasts
Yesterday’s Bloomberg article “Fed Staff Sees a 50-50 Chance of Recession” spurred me to examine the implications of the latest readings on term spreads. Figure 1 depicts the recession probabilities estimated using a simple probit model based on the 10yr-3mo and 10yr-2yr spreads, through November 23rd.
CFNAI on the Putative Recession of 2022H1
Regarding the view the US economy was in recession earlier this year (e.g., this observer less than a month ago), the CFNAI has the following takes: