FRED – 10-Year Treasury Constant Maturity Minus 2-Year (Yield Curve Spread)
- Rows
- 13,041
- Columns
- 2
Daily yield curve spread (10Y minus 2Y Treasury) from 1976 to present. Key recession indicator and bond market time series.
AI analysis
Dataset Analysis: FRED 10-Year minus 2-Year Treasury Yield Curve Spread
1. Dataset Overview & Value
This dataset captures one of the most closely watched indicators in macroeconomics and finance: the daily spread between the 10-Year and 2-Year U.S. Treasury constant maturity yields, sourced directly from the Federal Reserve Bank of St. Louis (FRED) via their public API at fred.stlouisfed.org. The fact that the source URL points to a live FRED API endpoint (fredgraph.csv?id=T10Y2Y) suggests the data can be refreshed to near-present day, making it highly suitable for both historical backtesting and current market monitoring. Spanning from 1976 to the present across 13,041 daily observations, this series covers multiple full economic cycles, recessions, and monetary policy regimes — giving it exceptional longitudinal depth for correlation and predictive studies.
2. Data Quality Observations
Overall data quality is good but warrants attention in one area. The Date column is clean with zero nulls and 13,041 distinct values, confirming no duplicate rows in the date index and a continuous daily series. The T10Y2Y spread column, however, carries 549 null values (~4.2% of rows), which is the sole source of missingness across the entire dataset. These nulls likely correspond to weekends, federal holidays, or early-period gaps in reporting — a common and expected pattern for FRED daily financial series. While 4.2% is manageable, analysts should apply forward-fill or interpolation cautiously, particularly around known economic turning points where the spread changes rapidly. No type mismatches are reported, and with only 474 distinct decimal values across 12,492 non-null rows, there is notable rounding or discretization in the data, which is typical of yield spreads reported to two decimal places.
3. Key Column Distributions
The T10Y2Y spread distribution tells a rich story. The mean (0.848) sits above the median (0.78), and with a very mild positive skew of 0.086, the distribution is nearly symmetric — a noteworthy finding given the series includes dramatic inversion events. The interquartile range spans Q1=0.19 to Q3=1.48, reflecting that the spread is positive (normal upward-sloping curve) about 75% of the time. The minimum of -2.41 captures deep inversion periods (e.g., 1980–81, 2006–07, 2022–23), while the maximum of 2.91 reflects steep curves typical of post-recession recoveries. The 25 flagged outliers likely correspond to historically extreme inversion or steepening episodes and deserve special tagging in any model. The standard deviation of 0.915 — larger than the median itself — underscores how volatile this spread can be across cycles.
4. Recommended Join Key
The Date column is the clear and only join key, and it is ideal: zero nulls, fully distinct, and typed as a proper Date field. For cross-dataset joins, analysts should account for the ~4.2% of dates with null spread values and consider aligning on business day calendars to avoid spurious mismatches when joining against datasets with different holiday conventions (e.g., equity market data that excludes certain federal holidays FRED may include, or vice versa).
5. Suggested Paired Datasets for Correlation Analysis
This series has strong pairing potential across several domains:
- Recession Indicators (NBER/FRED USREC) — The classic use case; correlate inversion events (spread < 0) with recession start/end dates to validate predictive lead times, historically ranging from 6–24 months. - Federal Funds Rate or FOMC Policy Decisions — Monetary tightening cycles directly steepen or flatten the curve; correlating policy rate changes with spread movements can reveal transmission lag dynamics. - S&P 500 or Equity Volatility (VIX) — Yield curve inversions often precede equity drawdowns; pairing with daily equity index or VIX data would enable signal-timing studies. - Unemployment Rate or Initial Jobless Claims — Labor market deterioration typically follows inversion by months; a lagged correlation study here could quantify the economic transmission mechanism. - Corporate Credit Spreads (Investment Grade / High Yield) — Credit spreads and the yield curve often move in tandem during risk-off environments, making this a natural pair for fixed-income market analysis.
Columns
- Date (date)
- T10Y2Y (decimal)
