INSTRUCTIONS AND REFERENCES HERE:

You will work with data relevant to the computation of the yield curve. The most relevant data sources here will likely be:

• https://fred.stlouisfed.org/ (FRED: Federal Reserve Economic Data; you may be particularly interested in the series titled T10Y2Y, DGS10, DGS2, DGS1, DGS1MO).
• https://home.treasury.gov/policy-issues/financing-the-government/interest-rate-statistics?data=yield of particular interest is the Daily Treasury Par Yield Curve Rates, which "relates the par yield on a security to its time to maturity").

Please copy and paste the links into your browser to open.

-//-

Questions

1a) The most commonly used measure for the yield curve is the 10-2 Year Treasury Yield Spread. What was its value (in percent) on February 2, 2023?

b) Now, please compute the near-term spread between the 1-year and the 1-month Treasury Bills as of the same date, February 2, 2023; and compare it to the 10-2 Year Treasury Yield Spread you computed in the previous question.

Was the 10-2 Year Treasury Yield Spread higher or lower than the near-term spread between the 1-year and the 1-month Treasury Bills as of February 2, 2023?

Note: To answer this question correctly, please use the actual values you computed, including negative sign(s), if any. Please do not utilize just the absolute values of the two spreads. For example:

• A spread of -1% is lower than the spread of 0.5% (-1% < 0.5%).
• A spread of -2% is lower than the spread of 4% (-2% < 4%).

Please pick one of these answers:

• As of February 2, 2023, the 10-2 Year Treasury Yield Spread was HIGHER than the near-term spread between the 1-year and the 1-month Treasury Bills.
• As of February 2, 2023, the 10-2 Year Treasury Yield Spread was LOWER than the near-term spread between the 1-year and the 1-month Treasury Bills.
• As of February 2, 2023, the two spreads were the SAME.

Answer?

C) Using the yield data for May 7, 2007: Was the near-term spread (between 1-year and the 1-month Treasury Bills) indicating a recession through inversion?

answer Yes or No?

D) Using the yield data for May 7, 2007: Was the 10-2 Year Treasury Yield Spread indicating a recession through inversion?

answer yes or no?