March 24, 2023

Term Spreads around the World, as of December 6, 2022

Here is a photo of 4 crucial term spreads through November (an evaluation triggered by a Deutsche Bank missive title “The Looming Economic downturn” which dropped into my inbox today).

Figure 1: Ten year government bond yields minus 3 month rates for United States (black), UK (tea), Germany (orange), and Japan (red), %. NBER defined peak-to-trough recession dates shaded gray.
Keep in mind that United States and German (proxy for euro location) spreads are declining; UK spread out rebounded in October, however I dont have (comparable) November information. Side note: These spreads inverted before the 2020 recession, recommending that even if Covid had actually not struck, a recession may really well have happened.
Here are yield curves for G-7 countries, as well as other large economies, taped on December 6th, by

2 other big economies not consisted of in the G-7:

And one other big economy, Korea.

Chinn and Kucko (2015) found that the 10yr-3mo yield curve anticipated economic crises in US, France, Germany and (if consisting of 3 month yield) Japan.
Some extra studies (including on China) recounted here

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