Long-rate vs policy-rate spread

When this gap moves at or below -0.250, it has tended to appear before recessions, but it is not active now.

Ahead of the Lehman recession, this signal turned on in 2007-07, 5 months before the recession started. There were 1 other triggers in the prior 36 months. It picked up 6 of the last 8 US recessions. After the signal turned on, recession followed within 12 months 40% of the time, with a median lead of 8 months.

The latest reading is 0.486, so the at or below -0.250 threshold has not been triggered yet.