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Are yield-curve/monetary cycles' approaches enough to predict recessions?

Abstract This paper proposes a new framework that identifies a threshold between the fed funds rate and the 10-year Treasury yield and, when the threshold is breached, the risk of a recession in the near future is significant. Our framework predicted several recessions before the yield curve inversion point/monetary cycles' approaches. In addition, our framework accurately forecasted peaks in the S&P 500 index.

Keywords New framework * Monetary cycles * Yield curve * Recession prediction ? Asset prices bubbles

JEL Classification E32 E43 E44

Others have seen what is and asked why. I have seen what could be and asked why not.

--Pablo Picasso.

1 Introduction

Predicting recessions is vitally important for both public and private decision makers. Yield-curve inversions are thought to be a very good predictors of recessions: an inverted yield curve has led all recessions since 1969-1970. (1) Furthermore, the Federal Open Market Committee (FOMC) has been gradually raising the federal funds target rate (fed funds rate), which has brought back the inverted yield curve topic (and the impending risk of a near-term recession) into the spotlight. Other analysts are raising questions surrounding the yield curve's effectiveness in predicting recessions. Presently, the fed funds rate is "recovering" from a historically low level (zero-lower bound) and, hence, the yield curve may not invert in this cycle as it has in the past. Indeed, the yield curve never inverted during the 1954-1965 period, but that era experienced two recessions (1957-1958 and 1960-1961).

Adrian and Estrella (2009) suggest that "monetary cycles" are good predictors of business cycle turning points. A monetary cycle ends when the fed funds rate peaks. The end of a monetary cycle (peaking of the fed funds rate) is an indicator of a looming recession. However, there have been numbers of times the economy sustains its expansion after the end of a monetary cycle.

In this paper, we propose a new framework that identifies a threshold between the fed funds rate and the 10-year Treasury yield (we call it the FFR/10-year threshold). In a rising fed funds rate environment, the threshold is breached when the fed funds rate reaches the lowest level of the 10-year Treasury yield in that cycle. When this occurs, the risk of a recession in the near future is significant. Our framework has successfully predicted all recessions since 1954, with an average lead time of 17 months. Furthermore, our framework predicted several recessions prior to inversions of the yield curve and prior to the funds rate peak (the monetary cycles' approach).

The rest of the paper is organized as follows: Sect. 2 discusses the effectiveness and limitations of the yield-curve approach. Section 3 summarizes the monetary cycles method. Section 4 presents our new framework to predict recessions. Section 5 provides evidence that the new framework is also useful to predict peaks in the S&P 500 index and the concluding remarks are in Sect. 6.

2 The inverted yield curve: a song of policy tightening and recessions

The yield curve, which we measure as the spread between the 10-year Treasury yield and the fed funds rate, is one of the most analyzed recession predictors. Bordo and Haubrich (2004), utilizing a long history (1875-1997) to test the predictive power of the yield curve, concluded that its recession predictability varies over time, particularly across different monetary regimes. However, Estrella et al. (2003) concluded that recession predictions based on the yield curve were stable over their sample periods in both the Germany and the U.S. Bernard and Gerlach (1996) also provided evidence of the yield curve's predictive power, using data from eight countries. In general, the literature, and a look at the evidence, suggest that yield curve is a reliable recession predictor. For example, in the case of U.S., an inverted yield curve has preceded the last seven recessions (all those since 1969-1970), as seen in Fig. 1. That is, the yield curve inverted before each of the last seven recessions (although with a wide range of 8-23 months lead time).

There are several benefits of using the yield curve based on the 10-year Treasury and fed funds rates. Bernanke and Blinder (1992) demonstrated that the nominal level of the fed funds rate has consistently measured the monetary policy stance, suggesting that the policy stance is implicitly embedded in a yield curve including the funds rate at the short end. Second, movements in the 10-year yield surely reflect financial market participants' expectations about the economic outlook and the future monetary policy stance. For example, typically, investors seek higher yield in an inflationary era and take refuge in Treasuries when fears of a recession rise (lower yield), all else equal. Therefore, our measure of the yield curve represents both the policy stance and market expectations. (2) Also, the other recession indicators discussed in this paper take into account the fed funds rate, so comparisons are eased by using the funds rate in the yield-curve measure.

Typically, an inverted yield curve suggests that the financial markets are not very optimistic about the near-term economic outlook, expect short-term rates to fall, and try to capitalize by purchasing longer-term bonds. The FOMC is traditionally loath to reduce the fed funds rate without firm evidence of economic weakness, so the decline in long-term rates precedes the drop at the short end, and the yield curve could invert--especially if the market is more rapidly and accurately assessing future economic weakness than is the FOMC. (3)

2.1 Is this time different for the inverted yield curve?

As mentioned earlier, the inverted yield curve has predicted the last seven recessions but missed the 1957-1958 and 1960-1961 events. Are there some factors which may now prevent the yield curve from inverting?

We believe that the yield curve may not invert prior to the next recession. Prior to December 2008 there were only two episodes of the fed funds rate falling below 1%-several months in 1954 and 1958. As mentioned, there were no yield curve inversions in the 1950s, but there were recessions. We believe that extremely low levels of the fed funds rate, like those of the 1950s and the past decade, may provide a serious barrier to an inversion, but do not put an end to the business cycle (recessions are still likely at some point).

2.2 A probit model using the yield curve to predict recessions

One method that utilizes the yield curve to predict recessions involves building a probit model and employing the yield curve as the predictor variable of the model, as shown in Fig. 2. (4) In this case, we need not use an inversion as a hard trigger of a recession: it may be that a sufficiently flat, but narrow, yield curve provides adequate warning. The probit model (or any standard econometric model) needs a long data history for estimation, therefore we can only gauge its ability to forecast recessions starting in 1980 (using the 1960-1979 period for estimation). The probit model has predicted (50% or higher probability) all recessions since 1980, except 1990-1991. Due to the lack of data for the pre-1950 period, we are unable to check its ability to anticipate the 1957-1958 and 1960-1961 recessions (these recessions were missed by the traditional inverted yield curve). We now turn to the monetary cycles approach.

3 The game of monetary cycles: is a recession coming?

Adrian and Estrella (2009) suggest that "monetary cycles" are good predictors of economic activity. A monetary cycle ends when either one of two criteria is met: (1) the fed funds rate is higher than at any time from the 12 months before to 9 months after, and is at least 50 basis points (bps) higher than at the beginning of this span, or (2) the fed funds rate is higher than at any time from 6 months before to 6 months after, and is 150 bps higher than the average of these endpoints. Basically, the peaking of the fed funds rate is the ending of a monetary cycle; in other words, the peaking of the fed funds rate is a prediction of an upcoming recession.

The end of a monetary cycle is seen as an indicator that a recession looms--the FOMC is prone to start reducing rate targets when economic forecasts darken. Adrian and Estrella concluded that there have been 14 monetary cycles since 1955. According to the NBER, however, there have been 9 recessions since 1955, which indicates that not all monetary cycles are associated with recessions (see Tables 1 and 3). Moreover, the end of a monetary cycle has at times occurred after the start of a recession. For example, the first monetary cycle ended in October 1957, but a recession started in August 1957 (missed by 2 months). Similarly, January 1980 is a recession start date, but the monetary cycle end date is April 1980. Monetary cycles predicted the rest of the recessions with a lead time range of 1 to 16 months. Although the monetary cycles approach has predicted several recessions (and missed the 1957-1958 and 1980 recessions), the real-time effectiveness of the method is a big question mark. Why? In our view, this approach is backward-looking: We have to wait at least 6 months to confirm whether the fed funds rate has peaked 6 months ago.

We feel that the lead time to predict recessions should be longer than the waiting period of at least 6 months to confirm a signal from this approach. Monetary cycles missed all of the recessions in the 1955-1989 period as the lead time in every instance was less than 6 months (Table 1). Monetary cycles did predict the 1990-1991 and the Great Recession, with lead times of 16 and 15 months, respectively. The lead time for the 2001 recession was 8 months, but that could be considered a miss, using the first criterion to define a monetary cycle (at least 9 months are needed to confirm the fed funds rate peak).

In real-time analysis, monetary cycles are only able to predict recessions in the post-1990 era--too few examples to draw comfort from. We need a method that can be shown to have more effectively predicted recessions. We will now discuss our proposed method, which we believe is more effective in predicting recessions than the others discussed so far in this study.

4 A new framework to predict recessions: the fed funds rate/10-year threshold

We have discussed the limitations of the yield curve (inverted yield curve, and the probit/yield curve modeling) and monetary cycle approaches to predict recessions. We need a framework that is more effective in real-time recession forecasting than these; one that should also be able to predict recessions accurately in different economic regimes, such as the lower inflation/fed funds rate ones of 1954-1965 period and the last decade, a higher fed funds rate/inflation regime (such as the 1970 to mid-1980s time period), and in moderate inflation/fed funds rate time periods (the 1990-2007 time period, for instance).

Our framework identifies a threshold between the fed funds rate and the 10-year Treasury yield. The crossing of the threshold is an indicator for an upcoming recession. The threshold is best explained this way: in a rising fed funds rate period, the fed funds rate crossing/touching the lowest level of the 10-year yield in that cycle is a prediction of an upcoming recession. For example, the Fed started raising the fed funds rate in December 1954, while the 10-year yield hit 2.61% (its lowest level in that cycle) in January 1955. The fed funds rate surpassed that lowest level of the 10-year yield in April 1956 and, thereby, signaled an upcoming recession. The recession's start date was August 1957 (a 16-month lead time for our framework's prediction, as shown in Table 2). It is worth mentioning that both the yield curve and monetary cycles' methods were unable to predict the 1957-1958 recession. (5)

Why is a rising fed funds rate environment important? Why is the lowest level of the 10-year Treasury yield in a cycle matter? Why is the threshold (fed funds rate crossing/touching the lowest 10-year) approach a good recession predictor? A rising fed funds rate is a sign of a change in the monetary policy stance and, typically, the Fed starts raising interest rates when the economy is firmly in an expansion. (6) Naturally, a recession comes after an expansion, and therefore a rising fed funds rate environment is a good period to start to think about an expansion's future end. By the same token, the 10-year yield's lowest level in a cycle serves as an inflection point in the market's expectations about the economic outlook and monetary policy stance. The start of increases in long-term rates also suggests a maturing economic expansion--and maturities precede demises. The rising funds rate surpassing the low point of the 10-year yield doesn't by itself suggest any obvious changes in either market expectations or the policy stance, but we find that it has served as a good guide that the economic expansion is entering a riskier phase.

Now we discuss the accuracy of our proposed method, with the results reported in Table 2. Since 1954, our framework predicted all recessions with an average lead time of 17 months, and a range of 6 to 34 months. It is important to note that our method is the only approach discussed in this study that did not miss any recessions in the sample period. Our framework's recession signal matched or preceded the yield curve's, and was more accurate and had a longer lead time. That is, our framework has a better lead time than the yield curve to predict recessions for all recessions except the 1969-1970 and 1981-1982 recessions, where both approaches have the same lead time, Table 2. Furthermore, our framework has a better accuracy and lead time in predicting recessions than the monetary cycles approach.

4.1 The exception to the rule: recessions avoided by changes in the monetary policy stance

Our framework produced four calls which are not connected with recessions. Those four calls are connected with changes in the monetary policy stance (from raising/unchanged fed funds rate to cutting interest rates). For example, the framework produced a recession call on December 1964 (threshold met) and the Fed started reducing the fed funds rate in December 1966 (24-month lead time). Similarly, the remaining three calls (August 1984, February 1995 and July 1998) were followed by changes in the monetary policy stance (see Table 3 for details). All these instances can be seen as the FOMC successfully reducing rates to avoid a recession. We believe the recession signal was valid in these instances, but the negative tides were not so strong, and/or the policy response was sufficiently robust, that an outright decline in the economy was avoided. (7)

Put differently, four of the 13 calls are associated with a change in the monetary policy stance with an average of 8 months lead time--with a range of 1-24 months. Another reason not to declare these four calls as false positives is that, during long economic expansions, the Fed has reduced interest rate to combat "mid-cycle slowdown."

Summing up, our framework has produced 13 recession calls since 1954, and 9 of those are associated with recessions. Therefore, whenever our framework produced a recession call, there was a 69.2% (9/13) chance of a recession within the next 17 months (which was the average lead time).

4.2 Why does our analysis matter now?

The FOMC began boosting the fed funds rate in December 2015, the first time in the post-Great Recession era, so the first condition of our framework has been fulfilled--a rising fed funds rate environment. The 10-year yield hit 1.36% on July 5, 2016, which was the lowest level in this cycle (Fig. 3). Moreover, with the December 2017 rate hike by the FOMC, the fed funds hit 1.50% and, hence, rose above the cycle low for the 10-year year. Therefore, we maintain that starting December 2017, there was a 69.2% chance of a recession beginning is 17 months (based on the average lead time between our signal and the start of the next recession). In other words, we feel there is a significant likelihood of a recession starting in 2019.

4.3 Can the 2018 tax cut and tariffs/trade war affect the threshold's 2019 recession calls?

Are there any major factors which could affect the recession call made by the proposed framework?

A first major factor is the 2018 tax cut and, usually, tax cuts are good for aggregate activity, at least in the short run. We believe the tax cut would have a dual effect on the recession call. (A) The tax cut is boosting incomes and thus demand, which would tend to "push" a recession further in the future than the recession call. (B) However, the tax cut could well prompt a faster pace of rate hikes by the FOMC, thus offsetting the growth in demand. Therefore, we believe the accumulative effect of the tax cut on our recession call is insignificant--the call for a 2019 recession should still hold.

The other major economic event of 2018 was the wave of (actual and threatened) tariffs, raising the prospect of a global trade war. The potential effect could be disruptions in global supply chains, hampering the overall U.S. economy. In other words, this factor may favor the 2019 recession call made by our framework.

Summing up, the threshold suggests an elevated chance of a recession in 2019. We do not think that the 2018 tax cut materially affects that call, while the trade situation would, if anything, work in its favor.

5 Follow the money: predicting peaks in the S&P 500 index

Another potential application of our proposed framework is forecasting market peaks. Our framework has predicted all the peaks in the S&P 500 index, with an average lead time of 17 months (Table 4). That is the fed funds rate/10-year threshold was breached before S&P 500 peaks in the 1954-2018 period. In addition, with the threshold breaching date of December 2017, we suggest being on the lookout for a peak in the S&P 500 in 2018-2019. Moreover, similar to the 2018 tax cut and tariffs' effects on the recession call, we do not see these factors affecting the S&P 500 peak call.

6 Final thoughts: be mindful of a recession in 2019

We have proposed a new framework using the fed funds rate and the 10-year yield to predict recessions. Our framework has predicted all recessions since 1954 with an average lead time of 17 months. Moreover, our framework predicted several recessions before the yield-curve inversion point (and all recessions before the monetary cycles' approach).

Our analysis also show that the proposed framework accurately forecasted peaks in the S&P 500 index since 1954 with an average lead time of 17 months. With the threshold breaching date of December 2017, we suggest looking out for both a recession and a market peak in 2019.

We believe the 2018 tax cut will not affect these calls. One major reason is that the tax cut may "push" the FOMC to a faster fed funds rate hike track. That is, the potential for four rates hikes in 2018 is highly likely. Tariffs/trade war considerations would tend to favor the 2019 recession call by disturbing global supply chains.


Adrian, Tobias and Arturo Estrella. 2009. Monetary tightening cycles and the predictability of economic activity. Federal Reserve Bank of New York Staff Report 397.

Adrian, Tobias, Arturo Estrella, and Hyun-Song Shin. 2010. Monetary cycles, financial cycles, and the business cycle. Federal Reserve Bank of New York Staff Report 421.

Bernanke, Ben S.. and Alan S. Blinder. 1992. The federal funds rate and the channels of monetary transmission. American Economic Review 82 (4): 901-921.

Bernard, Henri and Stefan Gerlach. 1996. Does the term structure predict recessions? The international evidence. Working Paper 37, Bank of International Settlements.

Bordo, Michael and Joseph Haubrich. 2004. The yield curve, recessions and the credibility of the monetary regime: long run evidence 1875-1997. National Bureau of Economic Research Working Paper 10431.

Estrella. Arturo, Anthony P. Rodrigues, and Sebastian Schich. 2003. How stable is the predictive power of the yield curve? Evidence from Germany and the United States. Review of Economics and Statistics 85 (3): 629-644.

Silvia, John, Azhar Iqbal and Michael Pugliese. 2016. Recession talks in the spotlight: should we worry? Wells Fargo Economics Group Special Commentary. Report is available upon request from authors.

Silvia, John, Azhar Iqbal, and Sam Bullard. 2016b. A new framework to estimate the near-term path of the fed funds rate. Business Economics 51 (4): 239-247.

(1) For more details about the effectiveness of the yield curve to predict recession see, Adrian et al. (2010).

(2) Some analysts utilize the spread between the 10-year and 3-month Treasuries as a measure of yield curve. In our view, that spread is overly reliant on market expectations and less reflective of the monetary policy stance.

(3) There are several potential reasons behind the inverted yield curve, and we discussed financial world's expectations; for more details about the inverted yield curve, see, Adrian et al. (2010).

(4) For more details on the probit model and the yield curve's effectiveness, see Silvia et al. (2016a. b, b).

(5) The yield curve approach missed the 1957-1958 recession completely. The monetary cycle method missed the recession by 2 months according to Adrian and Estella (2009), and was a complete miss, in a real-time analysis, by our reckoning.

(6) The 1973-1975 and 1980 recessions are the only two periods when the Fed raised the fed funds rates during a recession.

(7) In other words, we see this as an example of Goodhart's Law at work: a correct policy response to an indicator could well superficially suggest that the indicator was in error.

Azhar Iqbal is a director and econometrician at Wells Fargo, responsible for providing quantitative. Analysis to the Economics group and modeling and forecasting of macro and financial variables. He is based in Charlotte, North Carolina. Azhar received his bachelor's degree in economics from the University of Punjab and has Three master's degrees. He earned his master's degree in economic forecasting from the University at Albany, State University of New York, where he also earned a Certificate of Graduate Study in economic forecasting. He also has master's degrees in applied economics from University of Karachi, and in econometrics and mathematics from the University of the Punjab, Pakistan. Azhar won the 2012, 2014, 2016 and 2017 NABE Contributed Paper Award and the 2010 Edmund A. Mennis Contributed Paper Award for best papers from the National Association of Business Economics (NABE). A strong supporter of education, Azhar teaches a graduate course, Advanced Business and Economic Forecasting, at the University of North Carolina at Charlotte. Azhar's co-authored book, Economic and Business Forecasting: Analyzing and Interpreting Econometric Results, was published by Wiley in March 2014. His second book, Economic Modeling in the Post Great Recession Era, was published by Wiley in March 2016.

Sam Bullard is a managing director and senior economist at Wells Fargo Securities, providing analysis on the macro U.S. economy, regional economies, major foreign economies and financial markets. Based in Charlotte, Sam provides detailed analysis on the U.S. GDP, labor market, inflation and productivity trends. Sam's work has been published in academic economic journals and his comments on the economy regularly appear in The Wall Street Journal, The Financial Times, USA Today, U.S. News & World Report, Market News International, The Associated Press and Reuters. Sam first joined the company in 1995 and previously held a research position in the credit management group before joining the economics group in 1998. He is a member of the American Economic Association, National Association for Business Economics and the Charlotte Economics Club. Sam has a BBA in finance from the University of Georgia, an MBA from Wake Forest University and holds the Certified Business Economist designation.

John Silvia was a managing director and the chief economist for Wells Fargo Securities until July 2008. He has held his position since he joined Wachovia, a Wells Fargo predecessor, in 2002 as the company's chief economist. Before his position at Wells, John worked on Capitol Hill as senior economist for the U.S. Senate Joint Economic Committee and chief economist for the U.S. Senate Banking, Housing and Urban Affairs Committee. Before that, he was chief economist of Kemper Funds and managing director of Scudder Kemper Investments, Inc. John served as the president of the National Association for Business Economics (NABE) in 2015 and was awarded a NABE Fellow Certificate of Recognition in 2011 for outstanding contributions to the business economics profession. John holds B.A. and Ph.D. degrees in economics from Northeastern University in Boston and has a master's degree in economics from Brown University. John's first book, Dynamic Economic Decision Making, was published by Wiley in August, 2011. His second book, Economic and Business Forecasting, was published in 2014, also by Wiley. His third book, Economic Modeling in the Post Great Recession Era, was published in 2017 by Wiley. John is a Certified Business Economist (CBE).

Azhar Iqbal [1], Sam Bullard [1], John Silvia [1]

Published online: 2 November 2018

[mail] El Azhar Iqbal

Sam Bullard

John Silvia

[1] Wells Fargo Securities, LLC, 550 South Tryon Street, D1086-041, Charlotte, NC 28202, USA

Caption: Fig. 1 The yield spread: 10-year minus fed funds rates

Caption: Fig. 2 The probit model with the yield curve as a predictor

Caption: Fig. 3 The threshold breaching point of the December 2017
Table 1 The monetary cycles' approach to predicting recessions

Recession start    Monetary cycle    Months before/after
date *             end date **       the recession start
                                     date ***

August-57          October-57        + 2
April-60           November-59       - 5
December-69        August-69         - 4
November-73        September-73      - 2
January-80         April-80          + 5
July-81            June-81           - 1
July-90            March-89          - 16
March-01           July-00           - 8
December-07        September-06      - 15

* Recession Dates are determined by the National Bureau of
Economic Research (NBER)

** Monetary Cycles are determined by Adrian and Estrella (2009)

*** A (+) sign indicates that a recession started before the
end of the monetary cycle. A (-) sign shows the
monetary cycle ended before the recession start date

Table 2 The new framework versus the inverted yield curve

Recession      Inverted yield curve       The fed funds rate/10-year
start date *   date/months before the     threshold's recession
               recession start            prediction, months in

August-57      No Inverted Yield Curve    April 1956 (-16)
April-60       No Inverted Yield Curve    October 1959 (-6)
December-69    April 1968 (-20)           April 1968 (-20)
November-73    March 1973 (-8)            January 1973 (-10)
January-80     September 1978 (-16)       April 1978 (-21)
July-81        October 1980 (-9)          October 1980 (-9)
July-90        January 1989 (-18)         September 1987 (-34)
March-01       April 2000 (-11)           February 2000 (-13)
December-07    January 2006 (-23)         December 2005 (-24)

Recession      The fed funds rate/10-year
start date *   threshold's prediction of
               the yield-curve Inversion,
               months in advance

August-57      N/A
April-60       N/A
December-69    Same/zero
November-73    -2
January-80     -5
July-81        Same/zero
July-90        -16
March-01       -2
December-07    -1

There are some periods which experienced an inverted yield curve
but were not followed by recessions; instead, another period of an
inverted yield curve led to the subsequent recession. Those periods
started in May 1966 and July 1998. There is just one other month
(December 1986) when the yield curve was inverted

Table 3 The exceptions to the rule: recessions foiled by changes
in the monetary policy stance

Monetary cycle      Inverted yield-curve dates **   The fed funds
end date *                                          rate/10-year
                                                    date, months in
                                                    advance ***

November-66         No Inverted Yield Curve         12/1/1964 (-24)
                    before the 1957-58 recession

AAugust-71          No Inverted Yield Curve         8/1/1984 (-1)
                    before the 1960-61 recession

7/1/1974 (within    May-66                          2/1/1995 (-5)
a Recession)

August-84           December 1986 (just one         7/1/1998 (-2)
                    month of inverted yield)

April-95            Jul-1998                        N/A

Monetary cycle      Change in the monetary
end date *          policy stance date ****

November-66         Dec 66 (Reduced interest
                    rate from 5.76% to 3.79%
                    between Nov 66 and Jul 67)
AAugust-71          Sep 84 (from 11.65% to
                    7.51% between Aug 84 and
7/1/1974 (within    Jul 95 (from 6.00% to
a Recession)        5.25% between Jun 95 and
                    Jan 96, and maintain that
                    stance until Feb97)
August-84           Sep 98 (from 5.50% to
                    4.75% between Aug 98 and
                    Nov 98, and maintain that
                    stance until May 99)
April-95            N/A

* These monetary cycles are not followed by recessions

** These inverted yield curves did not lead to recessions

*** These predictions are not associated with recessions

**** We consider a change in the monetary policy stance if
the FOMC started cutting the efd funds rate instead keeping
it unchanged, and/or the FOMC reduced interest rates more
than once in 6 months and kept that stance for more than a
few months

Table 4 The new framework to predict bubbles: forecasting
the S&P 500 peaks

S&P 500 peaks and recessions

S&P peak date   Recession                    S&P peak to
                                             recession *

Jul. 1957       Aug. 1957-Apr. 1958          1.0
Jan 1961        Apr. 1960-Feb. 1961          -9.0
Jun 1969        Dec. 1969-Nov. 1970          6.0
Oct. 1973       Nov. 1973-Mar. 1975          1.0
Feb. 1980       Jan. 1980-Jul. 1980          -1.0
Apr. 1981       Jul. 1981-Nov. 1982          3.0
Feb. 1991       Jul. 1990-Mar. 1991          -7.0
Sep. 2000       Mar. 2001-Nov. 2001          6.0
Oct. 2007       Dec. 2007-Jun. 20092.022.0   2.0

S&P peak date   fed funds rate/10-year to
                S&P peak *

Jul. 1957       15.0
Jan 1961        17.0
Jun 1969        14.0
Oct. 1973        9.0
Feb. 1980       22.0
Apr. 1981        6.0
Feb. 1991       41.0
Sep. 2000        7.0
Oct. 2007       22.0

* In number of months
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Author:Iqbal, Azhar; Bullard, Sam; Silvia, John
Publication:Business Economics
Date:Jan 1, 2019
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