James Hamilton at Econbrowser does a very nice summary of the latest research on the yield curve. The key conclusions, drawn primarily from a recent paper by Glenn Rudebusch, Brian Sack and Eric Swanson, are as follows:
[T]he yield spread can be decomposed into an expectations component and the term premium...
... [T]he term premium appears to be countercyclical, rising when output is low. This is the opposite of the relation found by myself and other previous researchers, and suggests that it is only the expectations component that accounts for the anticipatory procyclical behavior of the yield spread...
The Kim-Wright measure of the term premium has declined substantially over the last four years... To the extent that the decline in the yield spread does represent a fall in the term premium, and if indeed a fall in the term premium itself does not signal an economic slowdown, it means that the current negative yield spread does not have quite as bearish a connotation as the historical correlation between the yield spread and output might otherwise suggest.
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