In a VoxEU post by Laurent Ferrara, Matteo Mogliani, and Jean-Guillaume Sahuc today, applying a growth-at-risk (GaR) approach (Ferrara et al. 2022, ungated 2020 WP version) they estimate they downside risk to Euro area vs. US GDP q/q growth.
Category Archives: recession
What to Make of the 10yr-2yr and 10yr-3mo Spreads
As is well known, the recession talk has surged in the wake of the (short-lived) inversion in the 10yr-2yr spread.
Recession in 2023?
From Folkerts-Landau and Hooper at Deutsche Bank, yesterday:
…inflation in the US and Europe has now reached levels that have forced the Fed and
the ECB to pivot their monetary policy stances dramatically. As a result, we now
expect the US economy to be in outright recession by late next year, and the EA
in a growth recession in 2024…
Ten year-two year Spreads around the World
There’s been a lot of commentary regarding the inversion of the US yield curve, specifically a negative 10yr-2yr spread. Here’s a graph depicting 10yr-2yr spreads (aka “2s10s”) for several economies.
The Employment Release and Business Cycle Indicators as of April 1
Here’s a picture of several key macro indicators followed by the NBER BCDC, including today’s employment release and monthly GDP, and yesterday’s consumption and mfg/trade industry sales numbers. The recovery continues.
Plain Vanilla Term Spread Forecasts of Recession
What do simple 10yr-3mo and 10yr-2yr Treasury spreads imply about recession probabilities?
More Recession Talk
Articles regarding the signals emanating yield curve appear in Reuters, CNBC, FoxBusiness, Bloomberg, CNN . Here’s a relevant picture:
Recession Talk
Andrew Sorkin et al. mention “mixed signals” regarding the prospects of recession. I thought it useful to plot some indicators. First, standard term spreads and one credit spread.
Oil sanctions and recession
After a wild ride up to $130 a barrel, the price of oil has come back down to its level from before Russia invaded Ukraine. Russian oil may be finding buyers despite the sanctions, and U.S. production continues to recover. But the situation remains very uncertain, and a big disruption in the quantity of Russian oil that reaches world refineries is a very significant possibility. In my previous post, I examined the causes of the run-up in the price of oil that had already occurred before the invasion and discussed the implications for U.S. inflation. Today I comment on the possible implications of further supply disruptions for U.S. real GDP.
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Business Cycle Indicators, March 1st
IHS-Markit just released its monthly GDP estimate for January, with 0% growth q/q. Bloomberg consensus for February nonfarm payroll shaved down to 400K, from 450K on 2/25.