Comparison Study · series treasury-10y-vs-2y · generated 2026-09-30
These are the two legs of the Treasury curve.
These are the two legs of the Treasury curve. Observed daily readings of two series on their common dates: levels, changes, co-movement and lead-lag. These observations do not establish causes or predict future values. ten-year Treasury yield: level on the last common date. Unit: percent. As of 2026-09-28. ten-year Treasury yield: level on 2026-09-28 5.2400 percent. FRED: ten-year Treasury yield. Public domain; credit Federal Reserve Bank of St. Louis https://fred.stlouisfed.org/series/DGS10. As of 2026-09-28. ten-year Treasury yield: window change. Unit: percentage points. The window opens on 2021-09-28 and closes on 2026-09-28. ten-year Treasury yield: window change: Net change total 3.7000 percentage points. two-year Treasury yield: level on the last common date. Unit: percent. As of 2026-09-28. two-year Treasury yield: level on 2026-09-28 4.9200 percent. FRED: two-year Treasury yield. Public domain; credit Federal Reserve Bank of St. Louis https://fred.stlouisfed.org/series/DGS2. As of 2026-09-28. two-year Treasury yield: window change. Unit: percentage points. The window opens on 2021-09-28 and closes on 2026-09-28. two-year Treasury yield: window change: Net change total 4.6100 percentage points. The window opens on 2021-09-28 and closes on 2026-09-28. Unit: observations. Count of common observation dates in the trailing five-year window. Common window: Observation count 1249 observations. Both lines are indexed to the first common observation in the window. The x line is ten-year Treasury yield; the y line is two-year Treasury yield. Gaps are not filled. Pearson correlation of the two series changes over non-overlapping five-common-observation steps, approximately weekly. Steps begin at the first common observation; an incomplete final step is excluded. The figure is the average of per-step products of population z-scores. Levels of trending series are not the input. Co-movement of ten-year Treasury yield changes and two-year Treasury yield changes. Unit: correlation. Average of per-step products of population z-scores. Non-overlapping five-observation steps. Co-movement: Step product average 0.79 correlation. Sample of non-overlapping five-observation steps. Unit: steps. Count of non-overlapping five-common-observation steps. Co-movement sample: Step count 249 steps. Co-movement with two-year Treasury yield shifted. Unit: correlation. Average of per-step products of population z-scores on the shifted changes. Lead lag: Step product average 0.79 correlation. Sample of shifted five-observation steps. Unit: steps. Count of steps in the shifted comparison. Lead lag sample: Step count 249 steps. The alignment is strongest at the same step. Shift: Lag step 0 steps. Each bar is the correlation of the same changes with the second series shifted by that many steps, from four steps earlier through four steps later. Shifts with fewer than fifty-two paired steps or zero variance are omitted. The strongest eligible shift has the largest absolute correlation; ties prefer the smallest absolute shift, then the earlier shift. Correlation is not causation. The window is the trailing five years of common dates. Co-movement uses changes over non-overlapping five-observation steps, not levels. Source: FRED.
Ten-year and two-year Treasury yields on Scrolld