Methods & Data
Definitions. Spreads are month-end constant-maturity differences: 2s10s = 10-year − 2-year (data from June 1976, when the 2-year series begins); 3m10y = 10-year − 3-month (from September 1981, when the 3-month series begins). Recession bands are the NBER business-cycle peak-to-trough months (public record). An inversion episode requires at least two consecutive inverted months; its lead time runs from the episode's first month to the start of the next NBER recession.
Data notes. Since the 2s10s data begin in June 1976, every U.S. recession has come after an inversion of at least one of these spreads. Counted from the start of each inversion, leads run from about 8 months (3m10y, July 2000 to the March 2001 recession) to two years (2s10s, December 2005 to the December 2007 recession), with one exception: the 3m10y inverted briefly in January and February 2020, one month before the COVID-19 recession began in February 2020. That spread had already inverted from May to September 2019, nine months before, and the recession itself was brought on by the pandemic. In 1998 the 2s10s ended a month below zero only once (June), too briefly to count as an episode, and no recession followed. The 2022–24 inversion was the longest in this history, 25 months on the 2s10s (July 2022 to July 2024) and 26 on the 3m10y (October 2022 to November 2024), and no recession began while it lasted. The brief 1982 inversion came during the 1981–82 recession, so the 102 months the table counts from it to the 1990 recession are not a lead in the usual sense, and the average lead shown above leaves them out.
Data: FRED CMT series DGS10, DGS2, DGS3MO; NBER business-cycle dates.
Full formulas, glossary, and data sources: Methods & Data.
Calculations used: #35 Inversion episodes & recession lead times.
Data sources: FRED (Federal Reserve Bank of St. Louis); NBER business-cycle dates.
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This is an illustrative prototype, not a quote.
This product uses the FRED® API but is not endorsed or certified by the Federal Reserve Bank of St. Louis. Source: U.S. Department of the Treasury.
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