This chart shows the contribution of the Treasury yield curve spread to the CFSI. The spread is a useful predictor of recessions and real economic activity. It is calculated as the difference between the 3-Month and 10-Year US Treasury yields. The spread captures the combination of long-term uncertainty and short-term liquidity needed at the outset of- and during-recessionary times.
Release: Cleveland Financial Stress Index
Federal Reserve Bank of Cleveland, Contributions to the Cleveland Financial Stress Index: Treasury Yield Curve Spread [TYCSD678FRBCLE], retrieved from FRED, Federal Reserve Bank of St. Louis https://research.stlouisfed.org/fred2/series/TYCSD678FRBCLE, February 13, 2016.