Hiking into a flattening curve
In every month the federal funds rate had been rising for half a year while the 10-year minus 2-year spread was narrowing, what did the spread do over the following year?
22 windows met these conditions and completed 12 months. Federal Funds Rate was higher 12 months later in 14 of them and lower in 8. The middle half of outcomes fell between -0.72 and 1.7.
What followed, across 22 completed windows
- Higher after
- 14
- Lower after
- 8
- Middle half
- -0.72 to +1.7
- Full range
- -5.82 to +4.45
Change in Federal Funds Rate over the 12 months after each match. Windows are listed below so any one can be checked.
Term structure
Federal Funds 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 | 22 | 14 / 5 | 0 to +0.21 | -0.59 to +3.05 |
| 3m | 22 | 15 / 4 | 0 to +0.49 | -4.33 to +1.32 |
| 6m | 22 | 14 / 5 | 0 to +1.12 | -5.25 to +3.84 |
| 12m | 22 | 14 / 8 | -0.72 to +1.7 | -5.82 to +4.45 |
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: FEDFUNDS rising over 6 observations
- condition: T10Y2Y falling over 6 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: FEDFUNDS over the following 12 observations
- matches within 3 observations count as one episode
Every matching window
22 episodes, each dated. Consecutive months meeting the conditions count once.
| Began | Ran for | Federal Funds Rate then | After | Change |
|---|---|---|---|---|
| May 1977 | 24 mo | 5.35 | 7.36 | +2.01 |
| Oct 1979 | 7 mo | 13.77 | 12.81 | -0.96 |
| Nov 1980 | 11 mo | 15.85 | 13.31 | -2.54 |
| May 1982 | 2 mo | 14.45 | 8.63 | -5.82 |
| Jul 1983 | 3 mo | 9.37 | 11.23 | +1.86 |
| May 1984 | 5 mo | 10.32 | 7.97 | -2.35 |
| Nov 1985 | 3 mo | 8.05 | 6.04 | -2.01 |
| Mar 1987 | 3 mo | 6.13 | 6.58 | +0.45 |
| May 1988 | 14 mo | 7.09 | 9.81 | +2.72 |
| Jun 1993 | 25 mo | 3.04 | 4.25 | +1.21 |
| Nov 1996 | 15 mo | 5.31 | 5.52 | +0.21 |
| Jun 1998 | 3 mo | 5.56 | 4.76 | -0.8 |
| Nov 1999 | 11 mo | 5.42 | 6.51 | +1.09 |
| Jun 2004 | 23 mo | 1.03 | 3.04 | +2.01 |
| Oct 2006 | 6 mo | 5.25 | 4.76 | -0.49 |
| Jun 2010 | 4 mo | 0.18 | 0.09 | -0.09 |
| Jan 2012 | 10 mo | 0.08 | 0.14 | +0.06 |
| May 2014 | 14 mo | 0.09 | 0.12 | +0.03 |
| Dec 2015 | 12 mo | 0.24 | 0.54 | +0.3 |
| Jun 2017 | 25 mo | 1.04 | 1.82 | +0.78 |
| Sep 2021 | 3 mo | 0.08 | 2.56 | +2.48 |
| Mar 2022 | 18 mo | 0.2 | 4.65 | +4.45 |
Recompute this
Fetch FEDFUNDS T10Y2Y from the API or from FRED, apply each condition on the same dates, collapse consecutive matches, and measure the change over the following 12 months. The full rule is in the claims ledger.
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.