Credit spreads widening while the Fed cuts
In every month the Baa spread had been widening for a quarter AND the federal funds rate had been falling for a quarter, what did unemployment do over the following year?
26 windows met these conditions and completed 12 months. US Unemployment Rate was higher 12 months later in 10 of them and lower in 16. The middle half of outcomes fell between -0.77 and 0.38. 1 further window has not yet run their full horizon.
What followed, across 26 completed windows
- Higher after
- 10
- Lower after
- 16
- Middle half
- -0.77 to +0.38
- Full range
- -2.6 to +7.4
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 | 27 | 8 / 11 | -0.1 to +0.1 | -0.3 to +10.4 |
| 3m | 27 | 6 / 17 | -0.2 to 0 | -0.5 to +6.6 |
| 6m | 27 | 10 / 15 | -0.4 to +0.15 | -0.9 to +3.4 |
| 12m | 26 | 10 / 16 | -0.77 to +0.38 | -2.6 to +7.4 |
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 rising over 3 observations
- condition: FEDFUNDS falling over 3 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
27 episodes, each dated. Consecutive months meeting the conditions count once.
| Began | Ran for | US Unemployment Rate then | After | Change |
|---|---|---|---|---|
| May 1986 | 6 mo | 7.2 | 6.3 | -0.9 |
| Aug 1987 | 8 mo | 6 | 5.6 | -0.4 |
| Jun 1989 | 8 mo | 5.3 | 5.2 | -0.1 |
| Jul 1990 | 8 mo | 5.5 | 6.8 | +1.3 |
| Oct 1991 | 4 mo | 7 | 7.3 | +0.3 |
| Jul 1992 | 5 mo | 7.7 | 6.9 | -0.8 |
| Apr 1993 | 1 mo | 7.1 | 6.4 | -0.7 |
| Jul 1995 | 8 mo | 5.7 | 5.5 | -0.2 |
| Oct 1996 | 3 mo | 5.2 | 4.7 | -0.5 |
| Oct 1997 | 7 mo | 4.7 | 4.5 | -0.2 |
| Sep 1998 | 4 mo | 4.6 | 4.2 | -0.4 |
| Sep 2000 | 16 mo | 3.9 | 5 | +1.1 |
| Jul 2002 | 6 mo | 5.8 | 6.2 | +0.4 |
| May 2007 | 13 mo | 4.4 | 5.4 | +1 |
| Sep 2008 | 5 mo | 6.1 | 9.8 | +3.7 |
| Jul 2010 | 2 mo | 9.4 | 9 | -0.4 |
| Jun 2011 | 7 mo | 9.1 | 8.2 | -0.9 |
| Aug 2012 | 1 mo | 8.1 | 7.2 | -0.9 |
| Feb 2013 | 1 mo | 7.7 | 6.7 | -1 |
| Sep 2014 | 1 mo | 5.9 | 5 | -0.9 |
| Oct 2015 | 2 mo | 5 | 4.9 | -0.1 |
| Jun 2019 | 3 mo | 3.6 | 11 | +7.4 |
| Mar 2020 | 4 mo | 4.4 | 6.1 | +1.7 |
| Nov 2020 | 1 mo | 6.7 | 4.1 | -2.6 |
| Sep 2024 | 2 mo | 4.1 | 4.4 | +0.3 |
| Mar 2025 | 1 mo | 4.2 | 4.3 | +0.1 |
| Dec 2025 | 6 mo | 4.4 | — | still running |
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.