Banca March: More than two years after the 10-year – 2-year slope began the inversion – the short 2-year sovereign rate was higher than the long 10-year rate – today the US benchmark has a positive slope for the first time. In this case, the inversion of the curve has lasted 26 months, the longest period since the 1980s.
Historically, the last six recessions have been preceded by an inversion of the curve, although on two occasions this has not happened – 1988 and 1998 – giving false signals. Therefore, the inversion of the curve is a necessary but not sufficient condition for the arrival of a recession. In the hypothetical case of going through one at this time, we would find ourselves in the one with the longest lag against the beginning of the inversion -26 months vs. 11 months median since 1980-. On the other hand, the 10 – 3 month benchmark continues to maintain a strong negative slope –132 b.p.-, which contradicts the signal sent by the 10 – 2 year pair, since disinvestment is precisely the moment closest to recession. This is because the market expects sharp rate cuts -126 b.p.- in the next six months, which we believe is exaggerated with the current macroeconomic data.
