Credit spread at a decade high
In every month the Baa corporate bond spread sat in the top decile of its own past decade, what did unemployment do over the following year?
9 windows met these conditions and completed 12 months. US Unemployment Rate was higher 12 months later in 3 of them and lower in 6. The middle half of outcomes fell between -0.5 and 0.6.
What followed, across 9 completed windows
- Higher after
- 3
- Lower after
- 6
- Middle half
- -0.5 to +0.6
- Full range
- -8.7 to +3.6
Change in US Unemployment Rate over the 12 months after each match. Windows are listed below so any one can be checked.
Term structure
US Unemployment Rate measured 1, 3, 6 and 12 months after each matched episode, with the count of completed windows at each horizon — not a forecast path, the same distribution above asked again at three more calendar distances.
| Horizon | N | Higher / lower | Middle half | Full range |
|---|---|---|---|---|
| 1m | 9 | 2 / 4 | -0.1 to 0 | -1.6 to +0.2 |
| 3m | 9 | 3 / 6 | -0.2 to +0.2 | -4.6 to +0.7 |
| 6m | 9 | 3 / 5 | -0.3 to +0.1 | -7.9 to +2.2 |
| 12m | 9 | 3 / 6 | -0.5 to +0.6 | -8.7 to +3.6 |
N is windows with a complete outcome at that horizon; a window that runs past the end of the record is excluded from it, not filled in. A horizon below the 5-window floor is marked thin the same way the 12 months result above is.
The conditions, in full
Generated from the same object that produced the numbers, so the description cannot drift from the computation.
- condition: BAA10Y above its 90th percentile over 120 observations
- align: each condition is put onto the measured series' dates, taking the last observation on or before each, so windows and spans count in the measured series' own periods
- measure: UNRATE over the following 12 observations
- matches within 3 observations count as one episode
Every matching window
9 episodes, each dated. Consecutive months meeting the conditions count once.
| Began | Ran for | US Unemployment Rate then | After | Change |
|---|---|---|---|---|
| Feb 1987 | 2 mo | 6.6 | 5.7 | -0.9 |
| Nov 1987 | 4 mo | 5.8 | 5.3 | -0.5 |
| Oct 1998 | 7 mo | 4.5 | 4.1 | -0.4 |
| Oct 1999 | 2 mo | 4.1 | 3.9 | -0.2 |
| Apr 2000 | 36 mo | 3.8 | 4.4 | +0.6 |
| Mar 2008 | 2 mo | 5.1 | 8.7 | +3.6 |
| Aug 2008 | 12 mo | 6.1 | 9.6 | +3.5 |
| Feb 2016 | 2 mo | 4.9 | 4.6 | -0.3 |
| Apr 2020 | 2 mo | 14.8 | 6.1 | -8.7 |
Recompute this
This study uses Baa Corporate Bond Spread, which MacroRadar may display but may not redistribute — so our own API withholds those observations and cannot be used to rerun it. Fetch them from FRED directly (BAA10Y ), apply the conditions above, and count. The limit is real and it is ours to state rather than leave you to discover at a 451.
This page counts and dates. It does not say what will happen next, and no window above is presented as more likely than another — MacroRadar publishes historical indicators, never forecasts.