USA Yield Curve as Recession Indicator

	A	B	C	D	E	F	G	H	I	J	K	L	M	N	O	P	Q	R
1	Date	1 Mo	2 Mo	3 Mo	4 Mo	6 Mo	1 Yr	2 Yr	3 Yr	5 Yr	7 Yr	10 Yr	20 Yr	30 Yr	1-yr probability	Spread	4-Week Spread

2	1/1/2017	0.52	N/A	0.53		0.65	0.89	1.22	1.5	1.94	2.26	2.45	2.78	3.04	0.01%	1.92	1.92	Notes:
3	2/1/2017	0.5	N/A	0.51		0.65	0.83	1.22	1.49	1.93	2.27	2.48	2.8	3.08	0.01%	1.97	1.97	I First heard of the idea from "The Indicator" podcast (NPR) and started to dig deeper
4	3/1/2017	0.46	N/A	0.63		0.79	0.92	1.29	1.57	1.99	2.29	2.46	2.81	3.06	0.02%	1.83	1.83	The 2006 paper suggests 3-month and 10-year rates provide best indicator for rececssion
5	4/3/2017	0.73	N/A	0.79		0.92	1.02	1.24	1.47	1.88	2.16	2.35	2.71	2.98	0.05%	1.56	1.56	I try to update the data weekly and average over the past 4 weeks
6	5/1/2017	0.67	N/A	0.83		0.98	1.09	1.28	1.48	1.84	2.13	2.33	2.71	3	0.06%	1.5	1.50	Chart and historical data are on subsiquent tabs
7	6/1/2017	0.82	N/A	0.98		1.07	1.16	1.28	1.45	1.76	2.02	2.21	2.6	2.87	0.16%	1.23	1.23	3-months of consecutive yield curve inversion has successfully predicted each of the past 6 recession (2006 paper)
8	7/3/2017	0.96	N/A	1.06		1.13	1.24	1.41	1.6	1.93	2.19	2.35	2.65	2.86	0.13%	1.29	1.29	The preditiction is for a recession to occur approximatly 12-months following the date of inversion
9	8/1/2017	1	N/A	1.08		1.15	1.22	1.34	1.5	1.8	2.07	2.26	2.61	2.86	0.19%	1.18	1.18	A probability > 20% seems like a logical cut-off based on the data from the 2006 paper even though the range goes up to 100%
10	9/1/2017	0.96	N/A	1.02		1.1	1.24	1.35	1.46	1.73	1.99	2.16	2.51	2.77	0.22%	1.14	1.14	I used the equation directly from the 2006 paper, although I feel like the prediction value isn't very accurate (see above)
11	10/2/2017	0.95	N/A	1.01		1.22	1.31	1.49	1.63	1.94	2.17	2.34	2.64	2.87	0.11%	1.33	1.33
12	11/1/2017	1.06	N/A	1.18		1.3	1.46	1.61	1.74	2.01	2.22	2.37	2.63	2.85	0.18%	1.19	1.19	Produced by:
13	12/1/2017	1.14	N/A	1.27		1.45	1.62	1.78	1.9	2.13	2.28	2.37	2.58	2.76	0.25%	1.1	1.10	Michael Reichenberger, Ph.D.
14	1/2/2018	1.29	N/A	1.44		1.61	1.83	1.92	2.01	2.25	2.38	2.46	2.64	2.81	0.33%	1.02	1.02	m.a.reichenberger@gmail.com
15	1/8/2018	1.3	N/A	1.45		1.6	1.79	1.96	2.07	2.29	2.41	2.49	2.65	2.81	0.31%	1.04	1.03	www.reichenbergers.com
16	1/16/2018	1.33	N/A	1.45		1.63	1.79	2.03	2.12	2.36	2.48	2.54	2.69	2.83	0.26%	1.09	1.05
17	1/22/2018	1.27	N/A	1.44		1.65	1.79	2.08	2.21	2.46	2.59	2.66	2.79	2.93	0.17%	1.22	1.09	References:
18	1/29/2018	1.28	N/A	1.44		1.66	1.8	2.11	2.26	2.49	2.63	2.7	2.82	2.94	0.14%	1.26	1.15	2006 paper
19	2/5/2018	1.4	N/A	1.51		1.67	1.85	2.08	2.25	2.5	2.68	2.77	2.92	3.04	0.14%	1.26	1.21	1996 paper
20	2/12/2018	1.35	N/A	1.62		1.82	1.93	2.09	2.3	2.56	2.77	2.86	3.02	3.14	0.16%	1.24	1.25	Podcast
21	2/20/2018	1.39	N/A	1.66		1.87	2.01	2.25	2.4	2.65	2.81	2.88	3.04	3.15	0.17%	1.22	1.25	Data
22	2/26/2018	1.39	N/A	1.66		1.87	2.03	2.22	2.37	2.6	2.77	2.86	3.03	3.15	0.18%	1.2	1.23
23	3/5/2018	1.53	N/A	1.7		1.86	2.06	2.24	2.41	2.65	2.81	2.88	3.04	3.16	0.19%	1.18	1.21
24	3/12/2018	1.6	N/A	1.71		1.89	2.05	2.27	2.43	2.64	2.79	2.87	3	3.13	0.20%	1.16	1.19
25	3/19/2018	1.7	N/A	1.8		1.99	2.08	2.31	2.45	2.65	2.78	2.85	2.97	3.09	0.30%	1.05	1.15
26	3/26/2018	1.71	N/A	1.79		1.94	2.06	2.33	2.44	2.64	2.78	2.85	2.96	3.08	0.29%	1.06	1.11
27	4/2/2018	1.68	N/A	1.77		1.92	2.08	2.25	2.37	2.55	2.67	2.73	2.85	2.97	0.40%	0.96	1.06
28	4/9/2018	1.67	N/A	1.76		1.93	2.08	2.29	2.43	2.6	2.72	2.78	2.89	3.02	0.33%	1.02	1.02
29	4/16/2018	1.64	N/A	1.79		1.98	2.12	2.39	2.52	2.69	2.78	2.83	2.91	3.03	0.31%	1.04	1.02
30	4/23/2018	1.69	N/A	1.87		2.04	2.25	2.49	2.64	2.83	2.94	2.98	3.05	3.15	0.24%	1.11	1.03
31	4/30/2018	1.65	N/A	1.87		2.04	2.24	2.49	2.62	2.79	2.91	2.95	3.01	3.11	0.27%	1.08	1.06
32	5/4/2018	1.67	N/A	1.84		2.03	2.24	2.51	2.63	2.78	2.9	2.95	3.02	3.12	0.24%	1.11	1.09
33	5/14/2018	1.7	N/A	1.93		2.09	2.28	2.55	2.7	2.85	2.96	3	3.06	3.13	0.28%	1.07	1.09
34	5/21/2018	1.71	N/A	1.93		2.14	2.35	2.58	2.73	2.9	3.02	3.06	3.13	3.2	0.23%	1.13	1.10
35	5/29/2018	1.77	N/A	1.93		2.06	2.17	2.32	2.43	2.58	2.71	2.77	2.87	2.96	0.58%	0.84	1.04
36	6/4/2018	1.77	N/A	1.94		2.13	2.3	2.52	2.64	2.78	2.89	2.94	3	3.08	0.35%	1	1.01
37	6/11/2018	1.82	N/A	1.94		2.11	2.32	2.52	2.66	2.8	2.91	2.96	3.02	3.1	0.33%	1.02	1.00
38	6/18/2018	1.84	N/A	1.94		2.13	2.35	2.56	2.67	2.8	2.89	2.92	2.98	3.05	0.37%	0.98	0.96
39	6/25/2018	1.8	N/A	1.93		2.13	2.34	2.54	2.63	2.75	2.83	2.87	2.95	3.02	0.42%	0.94	0.99
40	7/2/2018	1.9	N/A	1.98		2.14	2.34	2.57	2.65	2.75	2.83	2.87	2.92	2.99	0.50%	0.89	0.96
41	7/9/2018	1.87	N/A	1.98		2.15	2.34	2.57	2.66	2.75	2.82	2.86	2.9	2.96	0.51%	0.88	0.92
42	7/16/2018	1.9	N/A	2.01		2.19	2.39	2.59	2.67	2.75	2.82	2.85	2.9	2.96	0.58%	0.84	0.89
43	7/23/2018	1.88	N/A	1.99		2.19	2.42	2.64	2.72	2.83	2.92	2.96	3.04	3.1	0.38%	0.97	0.90
44	7/30/2018	1.91	N/A	2.04		2.21	2.43	2.66	2.77	2.85	2.94	2.98	3.05	3.11	0.42%	0.94	0.91
45	8/6/2018	1.92	N/A	2.05		2.23	2.44	2.64	2.73	2.8	2.89	2.94	3.02	3.08	0.50%	0.89	0.91
46	8/13/2018	1.93	N/A	2.06		2.22	2.42	2.61	2.68	2.75	2.82	2.88	2.97	3.05	0.61%	0.82	0.91
47	8/20/2018	1.93	N/A	2.06		2.25	2.43	2.6	2.65	2.7	2.77	2.82	2.91	2.99	0.74%	0.76	0.85
48	8/27/2018	1.96	N/A	2.12		2.25	2.47	2.67	2.7	2.74	2.81	2.85	2.92	3	0.81%	0.73	0.80
49	9/3/2018	2	N/A	2.13		2.29	2.49	2.66	2.73	2.78	2.85	2.9	2.99	3.07	0.72%	0.77	0.77
50	9/10/2018	1.98	N/A	2.14		2.32	2.54	2.73	2.78	2.83	2.89	2.94	3.02	3.09	0.65%	0.8	0.77
51	9/17/2018	2.02	N/A	2.16		2.35	2.57	2.78	2.85	2.89	2.96	2.99	3.07	3.13	0.60%	0.83	0.78
52	9/24/2018	2.07	N/A	2.22		2.38	2.6	2.83	2.89	2.96	3.04	3.08	3.15	3.21	0.54%	0.86	0.82
53	10/1/2018	2.13	N/A	2.23		2.4	2.6	2.82	2.9	2.96	3.04	3.09	3.18	3.24	0.54%	0.86	0.84
54	10/8/2018	2.17	N/A	2.25		2.46	2.65	2.88	2.98	3.05	3.15	3.21	3.3	3.37	0.40%	0.96	0.88
55	10/15/2018	2.17	N/A	2.31		2.47	2.67	2.85	2.94	3.01	3.1	3.16	3.27	3.34	0.56%	0.85	0.88
56	10/22/2018	2.18	2.25	2.34		2.49	2.68	2.92	2.99	3.05	3.13	3.2	3.31	3.38	0.54%	0.86	0.88
57	10/29/2018	2.17	2.21	2.34		2.49	2.64	2.81	2.86	2.91	3	3.08	3.23	3.33	0.78%	0.74	0.85
58	11/5/2018	2.2	2.29	2.36		2.51	2.71	2.91	2.99	3.03	3.12	3.2	3.34	3.43	0.58%	0.84	0.82
59	11/12/2018	2.24	2.32	2.38		2.53	2.72	2.89	2.95	2.99	3.07	3.14	3.28	3.36	0.74%	0.76	0.80
60	11/19/2018	2.23	2.32	2.38		2.52	2.66	2.79	2.82	2.87	2.97	3.06	3.22	3.32	0.93%	0.68	0.76
61	11/26/2018	2.24	2.35	2.41		2.54	2.7	2.84	2.86	2.9	2.98	3.07	3.22	3.32	0.99%	0.66	0.74
62	12/3/2018	2.3	2.35	2.38		2.56	2.72	2.83	2.84	2.83	2.9	2.98	3.15	3.27	1.17%	0.6	0.68
63	12/10/2018	2.32	2.39	2.41		2.54	2.69	2.72	2.73	2.71	2.77	2.85	3	3.13	1.82%	0.44	0.60
64	12/17/2018	2.36	2.39	2.4		2.54	2.66	2.7	2.68	2.69	2.77	2.86	3	3.11	1.72%	0.46	0.54
65	12/24/2018	2.42	2.43	2.45		2.52	2.61	2.55	2.56	2.58	2.66	2.74	2.88	3	2.67%	0.29	0.45
66	12/31/2018	2.44	2.45	2.45		2.56	2.63	2.48	2.46	2.51	2.59	2.69	2.87	3.02	3.03%	0.24	0.36
67	1/7/2019	2.42	2.42	2.45		2.54	2.58	2.53	2.51	2.53	2.6	2.7	2.86	2.99	2.95%	0.25	0.31
68	1/14/2019	2.42	2.43	2.45		2.52	2.57	2.53	2.51	2.53	2.6	2.71	2.91	3.06	2.88%	0.26	0.26
69	1/22/2019	2.38	2.4	2.43		2.51	2.59	2.58	2.55	2.57	2.65	2.74	2.91	3.06	2.54%	0.31	0.27
70	1/28/2019	2.39	2.41	2.42		2.51	2.6	2.6	2.58	2.58	2.65	2.75	2.92	3.06	2.42%	0.33	0.29
71	2/4/2019	2.41	2.41	2.42		2.49	2.57	2.53	2.52	2.53	2.62	2.73	2.92	3.06	2.54%	0.31	0.30
72	2/11/2019	2.44	2.44	2.45		2.51	2.55	2.48	2.47	2.47	2.56	2.65	2.85	3	3.33%	0.2	0.29
73	2/19/2019	2.44	2.42	2.45		2.52	2.54	2.5	2.47	2.47	2.55	2.65	2.84	2.99	3.33%	0.2	0.26
74	2/25/2019	2.44	2.46	2.47		2.51	2.56	2.51	2.48	2.48	2.57	2.67	2.87	3.03	3.33%	0.2	0.23
75	3/4/2019	2.45	2.46	2.46		2.54	2.54	2.55	2.52	2.53	2.63	2.72	2.93	3.09	2.88%	0.26	0.22
76	3/11/2019	2.44	2.45	2.46		2.54	2.53	2.47	2.45	2.44	2.53	2.64	2.86	3.03	3.50%	0.18	0.21
77	3/18/2019	2.47	2.46	2.44		2.51	2.52	2.45	2.41	2.42	2.51	2.6	2.83	3.01	3.67%	0.16	0.20
78	3/25/2019	2.47	2.47	2.46		2.49	2.41	2.26	2.19	2.21	2.32	2.43	2.68	2.87	5.64%	-0.03	0.14
79	4/1/2019	2.42	2.43	2.43		2.46	2.41	2.33	2.29	2.31	2.4	2.49	2.71	2.89	4.62%	0.06	0.09
80	4/8/2019	2.43	2.44	2.43		2.48	2.43	2.36	2.31	2.33	2.42	2.52	2.74	2.93	4.32%	0.09	0.07
81	4/15/2019	2.42	2.43	2.43		2.46	2.43	2.4	2.36	2.37	2.46	2.55	2.77	2.96	4.03%	0.12	0.06
82	4/22/2019	2.44	2.44	2.44		2.47	2.46	2.38	2.36	2.39	2.49	2.59	2.82	2.99	3.75%	0.15	0.11
83	4/29/2019	2.45	2.45	2.44		2.47	2.42	2.3	2.27	2.32	2.42	2.54	2.78	2.96	4.22%	0.1	0.12
84	5/6/2019	2.43	2.44	2.44		2.46	2.39	2.31	2.27	2.3	2.4	2.51	2.73	2.91	4.52%	0.07	0.11
85	5/13/2019	2.41	2.42	2.41		2.42	2.32	2.18	2.15	2.18	2.28	2.4	2.65	2.83	5.40%	-0.01	0.08
86	5/20/2019	2.39	2.39	2.39		2.42	2.34	2.21	2.17	2.21	2.3	2.41	2.65	2.83	5.06%	0.02	0.04
87	5/28/2019	2.35	2.36	2.37		2.38	2.31	2.12	2.06	2.06	2.16	2.26	2.52	2.7	6.69%	-0.11	-0.01
88	6/3/2019	2.36	2.36	2.35		2.31	2.11	1.82	1.79	1.83	1.95	2.07	2.34	2.53	9.42%	-0.28	-0.10
89	6/10/2019	2.3	2.31	2.29		2.21	2.03	1.9	1.87	1.91	2.03	2.15	2.42	2.62	7.12%	-0.14	-0.13
90	6/17/2019	2.22	2.21	2.23		2.2	2.03	1.86	1.8	1.85	1.96	2.09	2.37	2.58	7.12%	-0.14	-0.17
91	6/24/2019	2.12	2.13	2.13		2.1	1.92	1.72	1.69	1.75	1.88	2.02	2.33	2.55	6.69%	-0.11	-0.17
92	7/1/2019	2.17	2.16	2.21		2.1	1.94	1.78	1.74	1.79	1.9	2.03	2.34	2.55	7.73%	-0.18	-0.14
93	7/8/2019	2.23	2.24	2.26		2.14	1.99	1.88	1.84	1.86	1.94	2.05	2.32	2.53	8.21%	-0.21	-0.16
94	7/15/2019	2.17	2.19	2.16		2.06	1.95	1.83	1.8	1.84	1.96	2.09	2.39	2.61	6.15%	-0.07	-0.14
95	7/22/2019	2.13	2.16	2.09		2.08	1.95	1.8	1.77	1.8	1.92	2.05	2.36	2.58	5.77%	-0.04	-0.13
96	7/29/2019	2.12	2.16	2.12		2.1	1.98	1.85	1.81	1.84	1.93	2.06	2.37	2.59	6.02%	-0.06	-0.10
97	8/5/2019	2.07	2.08	2.05		1.99	1.78	1.59	1.55	1.55	1.63	1.75	2.07	2.3	9.79%	-0.3	-0.12
98	8/12/2019	2.09	2.06	2		1.94	1.75	1.58	1.51	1.49	1.56	1.65	1.92	2.14	10.75%	-0.35	-0.19
99	8/19/2019	2.06	1.96	1.94		1.9	1.75	1.53	1.49	1.47	1.54	1.6	1.88	2.08	10.55%	-0.34	-0.26
100	8/26/2019	2.09	2.03	2.01		1.9	1.75	1.54	1.47	1.43	1.49	1.54	1.84	2.04	13.35%	-0.47	-0.37