{
  "run": "110-yield-curve-recession",
  "as_of": "2026-08-10",
  "source": "FRED (fred.stlouisfed.org), keyless csv endpoint. T10Y2Y = 10-Year minus 2-Year Treasury constant-maturity yield spread, daily, aggregated to monthly mean here. USREC = NBER-based US Recession Indicator, monthly 0/1, FRED's own machine-readable coding of the NBER Business Cycle Dating Committee's official recession dates.",
  "n_months_total": 602,
  "date_range": [
    "1976-06",
    "2026-07"
  ],
  "n_censored_no_fwd12": 12,
  "lpm_spread_on_fwd12_recession": {
    "n": 590,
    "slope": -0.1504,
    "intercept": 0.3384,
    "r2": 0.1148,
    "p": 2.5653104482046656e-17,
    "slope_ci95": [
      -0.1843,
      -0.1166
    ]
  },
  "lpm_inverted_on_fwd12_recession": {
    "n": 590,
    "slope": 0.3543,
    "intercept": 0.1507,
    "r2": 0.1056,
    "p": 5.581428535651063e-16,
    "slope_ci95": [
      0.2708,
      0.4379
    ]
  },
  "mean_fwd12_recession_prob": {
    "when_inverted": 0.5051,
    "n_inverted_months": 99,
    "when_not_inverted": 0.1507,
    "n_not_inverted_months": 491
  },
  "overlap_caveat": "fwd12_recession windows overlap by 11 of 12 months between adjacent rows, so consecutive observations are almost duplicate outcomes -- the effective independent sample size is closer to n_months_total/12 than to the raw n; the p-values and CIs above are standard OLS output on the raw (overlapping) panel and are almost certainly narrower than they should be.",
  "recessions_since_1976": [
    "1980-02",
    "1981-08",
    "1990-08",
    "2001-04",
    "2008-01",
    "2020-03"
  ],
  "n_recessions": 6,
  "inversion_episodes": [
    {
      "start": "1978-09",
      "end": "1980-04",
      "n_months": 20,
      "min_spread": -2.136,
      "next_recession_start": "1980-02",
      "lag_months": 17,
      "status": "recession followed"
    },
    {
      "start": "1980-09",
      "end": "1981-10",
      "n_months": 14,
      "min_spread": -1.357,
      "next_recession_start": "1981-08",
      "lag_months": 11,
      "status": "recession followed"
    },
    {
      "start": "1982-02",
      "end": "1982-06",
      "n_months": 5,
      "min_spread": -0.398,
      "next_recession_start": null,
      "lag_months": null,
      "status": "occurred during an already-started recession (excluded from lag stat)"
    },
    {
      "start": "1989-01",
      "end": "1989-06",
      "n_months": 6,
      "min_spread": -0.322,
      "next_recession_start": "1990-08",
      "lag_months": 19,
      "status": "recession followed"
    },
    {
      "start": "1989-08",
      "end": "1989-09",
      "n_months": 2,
      "min_spread": -0.094,
      "next_recession_start": "1990-08",
      "lag_months": 12,
      "status": "recession followed"
    },
    {
      "start": "1990-03",
      "end": "1990-03",
      "n_months": 1,
      "min_spread": -0.038,
      "next_recession_start": "1990-08",
      "lag_months": 5,
      "status": "recession followed"
    },
    {
      "start": "1998-06",
      "end": "1998-06",
      "n_months": 1,
      "min_spread": -0.024,
      "next_recession_start": "2001-04",
      "lag_months": 34,
      "status": "recession followed"
    },
    {
      "start": "2000-02",
      "end": "2000-12",
      "n_months": 11,
      "min_spread": -0.413,
      "next_recession_start": "2001-04",
      "lag_months": 14,
      "status": "recession followed"
    },
    {
      "start": "2006-02",
      "end": "2006-03",
      "n_months": 2,
      "min_spread": -0.099,
      "next_recession_start": "2008-01",
      "lag_months": 23,
      "status": "recession followed"
    },
    {
      "start": "2006-06",
      "end": "2007-03",
      "n_months": 10,
      "min_spread": -0.145,
      "next_recession_start": "2008-01",
      "lag_months": 19,
      "status": "recession followed"
    },
    {
      "start": "2007-05",
      "end": "2007-05",
      "n_months": 1,
      "min_spread": -0.02,
      "next_recession_start": "2008-01",
      "lag_months": 8,
      "status": "recession followed"
    },
    {
      "start": "2022-07",
      "end": "2024-08",
      "n_months": 26,
      "min_spread": -0.929,
      "next_recession_start": null,
      "lag_months": 48,
      "status": "no recession yet, counting"
    }
  ],
  "n_episodes": 12,
  "resolved_lag_months": {
    "n": 10,
    "values": [
      17,
      11,
      19,
      12,
      5,
      34,
      14,
      23,
      19,
      8
    ],
    "max": 34,
    "mean": 16.2,
    "median": 15.5
  },
  "current_episode_2022": {
    "start": "2022-07",
    "end": "2024-08",
    "n_months": 26,
    "min_spread": -0.929,
    "next_recession_start": null,
    "lag_months": 48,
    "status": "no recession yet, counting"
  },
  "recall_check": {
    "description": "for each of the n_recessions actual recessions, the nearest preceding inversion episode and the gap in months -- tests whether 'every recession is preceded by an inversion within roughly 2 years' holds",
    "rows": [
      {
        "recession_start": "1980-02",
        "preceding_inversion_start": "1978-09",
        "gap_months": 17,
        "flagged_within_24mo": true
      },
      {
        "recession_start": "1981-08",
        "preceding_inversion_start": "1980-09",
        "gap_months": 11,
        "flagged_within_24mo": true
      },
      {
        "recession_start": "1990-08",
        "preceding_inversion_start": "1990-03",
        "gap_months": 5,
        "flagged_within_24mo": true
      },
      {
        "recession_start": "2001-04",
        "preceding_inversion_start": "2000-02",
        "gap_months": 14,
        "flagged_within_24mo": true
      },
      {
        "recession_start": "2008-01",
        "preceding_inversion_start": "2007-05",
        "gap_months": 8,
        "flagged_within_24mo": true
      },
      {
        "recession_start": "2020-03",
        "preceding_inversion_start": "2007-05",
        "gap_months": 154,
        "flagged_within_24mo": false
      }
    ],
    "n_recessions_flagged_within_24mo": 5,
    "n_recessions_total": 6
  }
}