{
  "title": "Yield Curve Recession Signal: Reconstructing the May 2023 Warning",
  "version": "1.0",
  "dataAsOf": "2026-09-12",
  "series": "10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity",
  "seriesId": "T10Y3M",
  "units": "percentage points",
  "may2023": {
    "observationCount": 22,
    "meanSpreadPct": -1.7345454545454544,
    "dailyTroughDate": "2023-05-04",
    "dailyTroughValue": -1.89
  },
  "reconstruction": {
    "coefficientAsOf": "2026-09-06",
    "alpha": -0.5333,
    "beta": -0.633,
    "formula": "Phi(alpha + beta * monthly_average_10y_minus_3m_spread)",
    "zScore": 0.5646672727272727,
    "probabilityPercent": 71.38499507408328,
    "forecastTargetMonth": "2024-05",
    "boundary": "Retrospective reconstruction using the maintained September 2026 New York Fed coefficient set, not the exact probability published in May 2023."
  },
  "nberOutcome": {
    "targetMonthClassifiedAsRecession": false,
    "chronologyCheckedAt": "2026-09-12",
    "mostRecentPeak": "2020-02",
    "mostRecentTrough": "2020-04"
  },
  "observations": [
    ["2023-05-01",-1.68],["2023-05-02",-1.80],["2023-05-03",-1.88],["2023-05-04",-1.89],["2023-05-05",-1.82],["2023-05-08",-1.79],["2023-05-09",-1.76],["2023-05-10",-1.81],["2023-05-11",-1.81],["2023-05-12",-1.79],["2023-05-15",-1.71],["2023-05-16",-1.69],["2023-05-17",-1.69],["2023-05-18",-1.66],["2023-05-19",-1.59],["2023-05-22",-1.68],["2023-05-23",-1.64],["2023-05-24",-1.64],["2023-05-25",-1.55],["2023-05-26",-1.54],["2023-05-30",-1.86],["2023-05-31",-1.88]
  ],
  "sources": {
    "fred": "https://fred.stlouisfed.org/series/T10Y3M",
    "nyFedModel": "https://www.newyorkfed.org/research/capital_markets/ycfaq.html",
    "nyFedProbability": "https://www.newyorkfed.org/medialibrary/media/research/capital_markets/prob_rec.pdf",
    "nber": "https://www.nber.org/research/business-cycle-dating"
  }
}