MATTOCCIA LABS / RESEARCH ENGINES / ENGINE04 — MARKETS
Treasury Yield Curve
& Financial Stress.
FSIE-001
The gap between US Treasury yields moves more after financial stress
We measured how much the gap between 10-year and 2-year US Treasury yields changed in a week. When financial stress was above average two weeks earlier, the average move was 9.56 basis points, compared with 5.82 in other weeks. That is about 64% more.
Study limits. The comparison uses historical data. The index showed above-average financial stress in only eight weeks from 2013 onwards.
Study context
- Problem addressed
- What relationships between curve spreads and financial conditions are detectable in this historical sample?
- Contribution relative to existing methods
- The study pins and aligns official sources, checks multiple lags and reports the null results under the same protocol.
- Potential commercial use
- Use the protocol to document recurring retrospective macroeconomic research.
Four follow-up tests on curve movements
2 of 4 follow-up tests pass Holm adjustment at 5%. The first two compare absolute weekly spread changes when the NFCI two reference weeks earlier was above zero with changes in other weeks. Each uses 1,398 weeks, including 130 with a positive earlier NFCI.
The other two compare the 13-week change in the NFCI or its credit subindex after a 10Y–3M inversion, controlling for the starting index level and its previous four-week change. Each uses 1,383 weeks, including 231 with an inverted spread.
| Test | Effect [95% CI] | Holm p |
|---|---|---|
| 10Y–2Y weekly move | +3.74 bp [+1.59, +5.89] | 0.00198 |
| 10Y–3M weekly move | +7.57 bp [+4.44, +10.70] | 0.00000863 |
| NFCI change after inversion | −0.004 index points [−0.058, +0.050] | 1.00 |
| Credit subindex change after inversion | +0.006 index points [−0.051, +0.063] | 1.00 |
For 2000–2012 and 2013–2026 respectively, the 10Y–2Y differences are +3.45 bp and +1.90 bp. The 10Y–3M differences are +7.23 bp and −0.71 bp. The later subperiod contains eight positive NFCI weeks.
These are exploratory associations in the same historical data vintage. The tests use two-sided Newey–West standard errors with 26 weekly lags, individual 95% intervals and Holm correction across the four tests. The two full-sample findings also pass with 13 and 52 HAC lags. The NFCI includes Treasury measures, including the 10Y–2Y spread, and its history can be revised.
Download the aggregate results and methods (JSON) · Chicago Fed NFCI revisions · NFCI definition and component list
Retrospective latest-vintage research. No predictive backtest, trading signal, investment advice or assured systemic-crisis detection.
{'daily_start': '2000-01-03', 'daily_end': '2026-10-30', 'weekly_start': '2000-01-07', 'weekly_end': '2026-10-30'}
139903Source observations parsed
1400Complete primary weeks
115Past-normalized change flags
0 / 28Original lag tests passing HAC/Holm
Principal measured results
1400 comparable weeks, 2000-01-07 to 2026-10-30. The 10Y–2Y curve was inverted in 1009 of 6711 observed sessions. Of the 28 predeclared lag comparisons, 0 pass the HAC/Holm threshold. A null result is retained as an observed outcome; it is not proof that every possible financial relationship is absent.
Objective, sources and versions
Study associations between the U.S. Treasury yield curve and institutional financial-condition indices, with separately documented SOFR money-market context. Statistical relationships are not causal or predictive proofs.
- U.S. Department of the Treasury · official source · SHA256
258a594eb64e9d21d9e8574b0b8580b0a5230dce56bb284ec6aa49a9a260897f· acquired 2026-11-06T05:47:10.724379+00:00 - U.S. Department of the Treasury · official source · SHA256
165e138f98ec47f648e268058a040a0ef22a3b6dce55e043433d5eba2adbd3b3· acquired 2026-11-06T05:47:32.082315+00:00 - U.S. Department of the Treasury · official source · SHA256
e96199b32569922ed01f894b55501a7ae11d17498c837f0bae088978b68a4d0b· acquired 2026-11-06T05:47:48.835057+00:00 - Federal Reserve Bank of Chicago · official source · SHA256
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6303924b8ba2eb14fb35c84586cc7ccfa9b62227307f145492902ccdcd86f1d5· acquired 2026-11-06T05:47:50.970117+00:00 - Federal Reserve Bank of New York · official source · SHA256
1d81e7212f3791a9691e77d552bc933b17b1aacdf11a0200a056961e60c3f8cd· acquired 2026-11-06T05:47:51.334092+00:00 - Federal Reserve Bank of New York · official source · SHA256
db885b1e5fcb68859e56428441835e8b37e2ebbe227ddc06cc95f62fd1fddd0c· acquired 2026-11-06T05:47:51.967591+00:00 - Federal Reserve Bank of New York · official source · SHA256
e2fcdcea3fbf9dd6b160d8e2ae5ce27463a9fba0642bfdcfbbe38b415c0e461c· acquired 2026-11-06T05:47:52.361849+00:00 - Federal Reserve Bank of New York · official source · SHA256
381fc266d1dac1f2937c8293c2e9657011aa53160e40519dc5b20392a02ce278· acquired 2026-11-06T05:47:52.985494+00:00 - Federal Reserve Bank of New York · official source · SHA256
fafbcc840cf1a71ffdce5314f9b3dac6ba57ec1fb2f14c9b7667d3a19ea5b84d· acquired 2026-11-06T05:47:53.365870+00:00 - Federal Reserve Bank of New York · official source · SHA256
bbe24ba96a2ddc5fb3254a5a2c6c228cf8584944ca597bdf25aac01d6e9ce697· acquired 2026-11-06T05:47:53.992482+00:00
{
"period": {
"daily_start": "2000-01-03",
"daily_end": "2026-10-30",
"weekly_start": "2000-01-07",
"weekly_end": "2026-10-30"
},
"configuration": {
"start": "2000-01-01",
"end": "2026-11-06",
"bootstrap_replicates": 999,
"block_weeks": 13,
"seed": 20261106,
"anomaly_window": 104,
"anomaly_min_history": 52,
"anomaly_z": 4.0
},
"coverage": {
"source_observations_acquired": 139903,
"stored_unique_period_observations": 98286,
"daily_treasury_sessions": 6711,
"weekly_calendar_slots": 1400,
"complete_primary_weeks": 1400,
"missing_primary_week_slots": 0,
"invalid_observations": 0,
"duplicates": 0,
"excluded_outside_configured_period": 41617
},
"analysis_sha256": "2b6702e018e1b92aa0973b936457d7f77698c2b52ac514320cc0e8fe406efac4"
}1 / Yield-curve regimes
| Spread | Known sessions | Inverted sessions | Episodes | Minimum /bp | Maximum /bp |
|---|---|---|---|---|---|
| spread_10y2y_bp | 6711 | 1009 | 20 | -108.0 | 291.0 |
| spread_10y3m_bp | 6708 | 1117 | 38 | -189.0 | 385.0 |
spread_10y2y_bp / basis points
spread_10y3m_bp / basis points
Inversion episodes and censoring
| Spread | Start | End | Inverted sessions | Calendar span | Right-censored |
|---|---|---|---|---|---|
| spread_10y2y_bp | 2000-02-02 | 2000-02-09 | 6 | 8 | False |
| spread_10y2y_bp | 2000-02-11 | 2000-12-26 | 220 | 320 | False |
| spread_10y2y_bp | 2000-12-28 | 2000-12-28 | 1 | 1 | False |
| spread_10y2y_bp | 2005-12-27 | 2005-12-27 | 1 | 1 | False |
| spread_10y2y_bp | 2005-12-29 | 2005-12-30 | 2 | 2 | False |
| spread_10y2y_bp | 2006-01-31 | 2006-03-07 | 25 | 36 | False |
| spread_10y2y_bp | 2006-03-21 | 2006-03-29 | 7 | 9 | False |
| spread_10y2y_bp | 2006-06-08 | 2006-06-28 | 15 | 21 | False |
| spread_10y2y_bp | 2006-06-30 | 2006-07-26 | 18 | 27 | False |
| spread_10y2y_bp | 2006-08-02 | 2006-08-03 | 2 | 2 | False |
| spread_10y2y_bp | 2006-08-07 | 2006-08-07 | 1 | 1 | False |
| spread_10y2y_bp | 2006-08-14 | 2006-08-15 | 2 | 2 | False |
| spread_10y2y_bp | 2006-08-17 | 2007-03-20 | 147 | 216 | False |
| spread_10y2y_bp | 2007-05-03 | 2007-05-21 | 13 | 19 | False |
| spread_10y2y_bp | 2007-05-30 | 2007-06-05 | 5 | 7 | False |
| spread_10y2y_bp | 2019-08-27 | 2019-08-29 | 3 | 3 | False |
| spread_10y2y_bp | 2022-04-01 | 2022-04-04 | 2 | 4 | False |
| spread_10y2y_bp | 2022-07-06 | 2024-08-26 | 537 | 783 | False |
| spread_10y2y_bp | 2024-09-03 | 2024-09-03 | 1 | 1 | False |
| spread_10y2y_bp | 2024-09-05 | 2024-09-05 | 1 | 1 | False |
| spread_10y3m_bp | 2000-04-07 | 2000-04-10 | 2 | 4 | False |
| spread_10y3m_bp | 2000-07-07 | 2000-07-14 | 6 | 8 | False |
| spread_10y3m_bp | 2000-07-19 | 2001-01-19 | 127 | 185 | False |
| spread_10y3m_bp | 2001-02-09 | 2001-02-09 | 1 | 1 | False |
| spread_10y3m_bp | 2006-01-17 | 2006-01-18 | 2 | 2 | False |
| spread_10y3m_bp | 2006-01-23 | 2006-01-23 | 1 | 1 | False |
| spread_10y3m_bp | 2006-02-22 | 2006-03-01 | 6 | 8 | False |
| spread_10y3m_bp | 2006-07-17 | 2006-07-17 | 1 | 1 | False |
| spread_10y3m_bp | 2006-07-19 | 2007-05-29 | 217 | 315 | False |
| spread_10y3m_bp | 2007-07-20 | 2007-08-09 | 15 | 21 | False |
| spread_10y3m_bp | 2007-08-27 | 2007-08-27 | 1 | 1 | False |
| spread_10y3m_bp | 2019-03-22 | 2019-03-28 | 5 | 7 | False |
| spread_10y3m_bp | 2019-05-13 | 2019-05-13 | 1 | 1 | False |
| spread_10y3m_bp | 2019-05-15 | 2019-05-15 | 1 | 1 | False |
| spread_10y3m_bp | 2019-05-23 | 2019-07-22 | 41 | 61 | False |
| spread_10y3m_bp | 2019-07-24 | 2019-10-10 | 56 | 79 | False |
| spread_10y3m_bp | 2020-01-31 | 2020-02-03 | 2 | 4 | False |
| spread_10y3m_bp | 2020-02-10 | 2020-02-10 | 1 | 1 | False |
| spread_10y3m_bp | 2020-02-18 | 2020-03-02 | 10 | 14 | False |
| spread_10y3m_bp | 2022-10-18 | 2022-10-18 | 1 | 1 | False |
| spread_10y3m_bp | 2022-10-25 | 2024-12-12 | 534 | 780 | False |
| spread_10y3m_bp | 2025-02-26 | 2025-03-21 | 18 | 24 | False |
| spread_10y3m_bp | 2025-03-25 | 2025-03-25 | 1 | 1 | False |
| spread_10y3m_bp | 2025-03-28 | 2025-04-09 | 9 | 13 | False |
| spread_10y3m_bp | 2025-04-16 | 2025-04-16 | 1 | 1 | False |
| spread_10y3m_bp | 2025-04-25 | 2025-05-01 | 5 | 7 | False |
| spread_10y3m_bp | 2025-05-06 | 2025-05-07 | 2 | 2 | False |
| spread_10y3m_bp | 2025-06-04 | 2025-06-05 | 2 | 2 | False |
| spread_10y3m_bp | 2025-06-11 | 2025-06-13 | 3 | 3 | False |
| spread_10y3m_bp | 2025-06-17 | 2025-07-07 | 13 | 21 | False |
| spread_10y3m_bp | 2025-07-09 | 2025-07-10 | 2 | 2 | False |
| spread_10y3m_bp | 2025-07-21 | 2025-07-23 | 3 | 3 | False |
| spread_10y3m_bp | 2025-07-25 | 2025-07-25 | 1 | 1 | False |
| spread_10y3m_bp | 2025-07-29 | 2025-08-14 | 13 | 17 | False |
| spread_10y3m_bp | 2025-08-20 | 2025-08-20 | 1 | 1 | False |
| spread_10y3m_bp | 2025-08-22 | 2025-08-28 | 5 | 7 | False |
| spread_10y3m_bp | 2025-09-08 | 2025-09-15 | 6 | 8 | False |
| spread_10y3m_bp | 2025-10-16 | 2025-10-16 | 1 | 1 | False |
2 / Financial-condition relationships
All contemporaneous comparisons and predeclared lag tests are included. Positive lag k compares spread-change[t] with index-change[t+k]. Confidence intervals use joint 13-week moving blocks, not independent observations. HAC regression and Holm correction apply to the full 28 first-difference test family.
| Spread | Index | Transform | N pairs | Pearson | Spearman | Block95CI low | Block95CI high |
|---|---|---|---|---|---|---|---|
| spread_10y2y_bp | NFCI | level | 1400 | 0.093241701577 | -0.150008002916 | -0.101448814492 | 0.222914134873 |
| spread_10y2y_bp | NFCI | first_difference | 1399 | 0.031412177228 | -0.075988029395 | -0.096233066592 | 0.147955415658 |
| spread_10y2y_bp | ANFCI | level | 1400 | 0.087452504591 | -0.189733318635 | -0.105095469907 | 0.217342242505 |
| spread_10y2y_bp | ANFCI | first_difference | 1399 | 0.020387677533 | -0.065395953591 | -0.096575360208 | 0.13485094038 |
| spread_10y3m_bp | NFCI | level | 1400 | 0.116852653949 | -0.123083191443 | -0.086030098414 | 0.250345375943 |
| spread_10y3m_bp | NFCI | first_difference | 1399 | 0.063986057888 | -0.052302396446 | -0.051062837604 | 0.16789838789 |
| spread_10y3m_bp | ANFCI | level | 1400 | 0.122918729846 | -0.136075471757 | -0.070264569226 | 0.256156969017 |
| spread_10y3m_bp | ANFCI | first_difference | 1399 | 0.075364594703 | -0.051127086671 | -0.051671528536 | 0.185322280913 |
| Spread | Index | Lag weeks | N pairs | Pearson | HAC p | Holm p |
|---|---|---|---|---|---|---|
| spread_10y2y_bp | NFCI | -26 | 1373 | 0.010302327399 | 0.780628857053 | 1.0 |
| spread_10y2y_bp | NFCI | -13 | 1386 | -0.030941008367 | 0.395581621861 | 1.0 |
| spread_10y2y_bp | NFCI | -4 | 1395 | -0.02599793679 | 0.594821545291 | 1.0 |
| spread_10y2y_bp | NFCI | 0 | 1399 | 0.031412177228 | 0.645138760916 | 1.0 |
| spread_10y2y_bp | NFCI | 4 | 1395 | 0.054580145255 | 0.334510784902 | 1.0 |
| spread_10y2y_bp | NFCI | 13 | 1386 | -0.072516201265 | 0.053400611987 | 1.0 |
| spread_10y2y_bp | NFCI | 26 | 1373 | -0.054571625403 | 0.143858574139 | 1.0 |
| spread_10y2y_bp | ANFCI | -26 | 1373 | 0.004309418909 | 0.908959050369 | 1.0 |
| spread_10y2y_bp | ANFCI | -13 | 1386 | -0.037683819756 | 0.283817290666 | 1.0 |
| spread_10y2y_bp | ANFCI | -4 | 1395 | -0.008277834302 | 0.850340307378 | 1.0 |
| spread_10y2y_bp | ANFCI | 0 | 1399 | 0.020387677533 | 0.745436710964 | 1.0 |
| spread_10y2y_bp | ANFCI | 4 | 1395 | 0.045038551213 | 0.315985381775 | 1.0 |
| spread_10y2y_bp | ANFCI | 13 | 1386 | -0.076453052175 | 0.056141854154 | 1.0 |
| spread_10y2y_bp | ANFCI | 26 | 1373 | -0.053568359564 | 0.121474949373 | 1.0 |
| spread_10y3m_bp | NFCI | -26 | 1373 | 0.015699644957 | 0.583927080643 | 1.0 |
| spread_10y3m_bp | NFCI | -13 | 1386 | -0.008260097894 | 0.816809002278 | 1.0 |
| spread_10y3m_bp | NFCI | -4 | 1395 | -0.024667379179 | 0.494050422242 | 1.0 |
| spread_10y3m_bp | NFCI | 0 | 1399 | 0.063986057888 | 0.305104319 | 1.0 |
| spread_10y3m_bp | NFCI | 4 | 1395 | 0.022209647619 | 0.649359982583 | 1.0 |
| spread_10y3m_bp | NFCI | 13 | 1386 | -0.011966669032 | 0.746182731176 | 1.0 |
| spread_10y3m_bp | NFCI | 26 | 1373 | 0.030599627707 | 0.380629404902 | 1.0 |
| spread_10y3m_bp | ANFCI | -26 | 1373 | 0.019766193235 | 0.503325437119 | 1.0 |
| spread_10y3m_bp | ANFCI | -13 | 1386 | 0.0115686285 | 0.737733682015 | 1.0 |
| spread_10y3m_bp | ANFCI | -4 | 1395 | -0.016485763775 | 0.603328108788 | 1.0 |
| spread_10y3m_bp | ANFCI | 0 | 1399 | 0.075364594703 | 0.248540507393 | 1.0 |
| spread_10y3m_bp | ANFCI | 4 | 1395 | 0.0109942634 | 0.779426382408 | 1.0 |
| spread_10y3m_bp | ANFCI | 13 | 1386 | -0.021401560473 | 0.619680976731 | 1.0 |
| spread_10y3m_bp | ANFCI | 26 | 1373 | 0.020553026323 | 0.500558366672 | 1.0 |
{
"family_size": 28,
"estimable": 28,
"holm_significant_05": 0,
"holm_not_significant_or_not_estimable": 28,
"multiple_testing": "Holm family28, HAC/Newey-West13lags on first differences; no unadjusted result selection"
}All predefined subperiods
| Spread | Index | From | To | N | Pearson | Spearman |
|---|---|---|---|---|---|---|
| spread_10y2y_bp | NFCI | 2000-01-01 | 2006-12-31 | 365 | -0.482497439972 | -0.483682205073 |
| spread_10y2y_bp | NFCI | 2007-01-01 | 2009-12-31 | 156 | 0.546169552344 | 0.533319424637 |
| spread_10y2y_bp | NFCI | 2010-01-01 | 2019-12-31 | 522 | 0.061366837757 | -0.002954414377 |
| spread_10y2y_bp | NFCI | 2020-01-01 | 2020-12-31 | 52 | -0.139468141131 | -0.219047626239 |
| spread_10y2y_bp | NFCI | 2021-01-01 | 2021-12-31 | 53 | -0.736112788144 | -0.717904765218 |
| spread_10y2y_bp | NFCI | 2022-01-01 | 2024-12-31 | 156 | -0.556392769974 | -0.527108226911 |
| spread_10y2y_bp | NFCI | 2025-01-01 | 2026-10-30 | 96 | -0.28852205643 | -0.381763956493 |
| spread_10y2y_bp | ANFCI | 2000-01-01 | 2006-12-31 | 365 | -0.624777174739 | -0.606904061183 |
| spread_10y2y_bp | ANFCI | 2007-01-01 | 2009-12-31 | 156 | 0.539536567384 | 0.505190885762 |
| spread_10y2y_bp | ANFCI | 2010-01-01 | 2019-12-31 | 522 | 0.018307039778 | -0.045805238592 |
| spread_10y2y_bp | ANFCI | 2020-01-01 | 2020-12-31 | 52 | -0.073177109008 | -0.013793398764 |
| spread_10y2y_bp | ANFCI | 2021-01-01 | 2021-12-31 | 53 | -0.487897107091 | -0.384657269121 |
| spread_10y2y_bp | ANFCI | 2022-01-01 | 2024-12-31 | 156 | -0.34889997144 | -0.351315232395 |
| spread_10y2y_bp | ANFCI | 2025-01-01 | 2026-10-30 | 96 | -0.253057483777 | -0.347796730511 |
| spread_10y3m_bp | NFCI | 2000-01-01 | 2006-12-31 | 365 | -0.473691995927 | -0.43312644717 |
| spread_10y3m_bp | NFCI | 2007-01-01 | 2009-12-31 | 156 | 0.593235878258 | 0.562861299685 |
| spread_10y3m_bp | NFCI | 2010-01-01 | 2019-12-31 | 522 | 0.091008243056 | 0.016245541656 |
| spread_10y3m_bp | NFCI | 2020-01-01 | 2020-12-31 | 52 | 0.065982322893 | -0.115898087738 |
| spread_10y3m_bp | NFCI | 2021-01-01 | 2021-12-31 | 53 | -0.261090169987 | -0.370216457278 |
| spread_10y3m_bp | NFCI | 2022-01-01 | 2024-12-31 | 156 | -0.096525766248 | -0.08684636043 |
| spread_10y3m_bp | NFCI | 2025-01-01 | 2026-10-30 | 96 | -0.377735123052 | -0.290934505036 |
| spread_10y3m_bp | ANFCI | 2000-01-01 | 2006-12-31 | 365 | -0.584816290068 | -0.532946787767 |
| spread_10y3m_bp | ANFCI | 2007-01-01 | 2009-12-31 | 156 | 0.585751065097 | 0.534991307139 |
| spread_10y3m_bp | ANFCI | 2010-01-01 | 2019-12-31 | 522 | 0.061149550041 | -0.030542667517 |
| spread_10y3m_bp | ANFCI | 2020-01-01 | 2020-12-31 | 52 | 0.141776363951 | 0.106020822968 |
| spread_10y3m_bp | ANFCI | 2021-01-01 | 2021-12-31 | 53 | -0.201045690301 | -0.049678292031 |
| spread_10y3m_bp | ANFCI | 2022-01-01 | 2024-12-31 | 156 | 0.174759038767 | 0.115922168543 |
| spread_10y3m_bp | ANFCI | 2025-01-01 | 2026-10-30 | 96 | -0.001182724241 | 0.053055617424 |
Rolling-correlation sensitivity
| Spread | Index | Transform | Window weeks | Valid estimates | Minimum | Maximum |
|---|---|---|---|---|---|---|
| spread_10y2y_bp | NFCI | level | 26 | 1375 | -0.975262175992 | 0.971684465306 |
| spread_10y2y_bp | NFCI | level | 52 | 1349 | -0.975333604947 | 0.96027843494 |
| spread_10y2y_bp | NFCI | level | 104 | 1297 | -0.957643385721 | 0.967347794167 |
| spread_10y2y_bp | NFCI | first_difference | 26 | 1374 | -0.656002849403 | 0.57774988429 |
| spread_10y2y_bp | NFCI | first_difference | 52 | 1348 | -0.545890321685 | 0.427591520369 |
| spread_10y2y_bp | NFCI | first_difference | 104 | 1296 | -0.351191195757 | 0.378126428311 |
| spread_10y2y_bp | ANFCI | level | 26 | 1375 | -0.981498004277 | 0.96860067907 |
| spread_10y2y_bp | ANFCI | level | 52 | 1349 | -0.977201405589 | 0.944888832224 |
| spread_10y2y_bp | ANFCI | level | 104 | 1297 | -0.923600139275 | 0.955483226454 |
| spread_10y2y_bp | ANFCI | first_difference | 26 | 1374 | -0.638513674703 | 0.573485676745 |
| spread_10y2y_bp | ANFCI | first_difference | 52 | 1348 | -0.539392019765 | 0.476904523273 |
| spread_10y2y_bp | ANFCI | first_difference | 104 | 1296 | -0.393115081098 | 0.358944331615 |
| spread_10y3m_bp | NFCI | level | 26 | 1375 | -0.973668689868 | 0.922170276521 |
| spread_10y3m_bp | NFCI | level | 52 | 1349 | -0.968042590742 | 0.908748740663 |
| spread_10y3m_bp | NFCI | level | 104 | 1297 | -0.875732699408 | 0.940890674022 |
| spread_10y3m_bp | NFCI | first_difference | 26 | 1374 | -0.702885457527 | 0.625064384593 |
| spread_10y3m_bp | NFCI | first_difference | 52 | 1348 | -0.45496858887 | 0.546762546686 |
| spread_10y3m_bp | NFCI | first_difference | 104 | 1296 | -0.342984114496 | 0.351679468018 |
| spread_10y3m_bp | ANFCI | level | 26 | 1375 | -0.976208732536 | 0.963858246995 |
| spread_10y3m_bp | ANFCI | level | 52 | 1349 | -0.963945349661 | 0.907391749663 |
| spread_10y3m_bp | ANFCI | level | 104 | 1297 | -0.900761288985 | 0.932229834367 |
| spread_10y3m_bp | ANFCI | first_difference | 26 | 1374 | -0.791080927678 | 0.616887810951 |
| spread_10y3m_bp | ANFCI | first_difference | 52 | 1348 | -0.49757932618 | 0.539879700546 |
| spread_10y3m_bp | ANFCI | first_difference | 104 | 1296 | -0.400409723357 | 0.493246967629 |
3 / Statistical anomalies
First 25 flags ranked by absolute past-normalized robustz. All flags and methods are in JSON/CSV. Threshold uses only preceding 104 weeks with minimum 52 prior observations. Outliers are research findings, not assumed acquisition errors or imminent-crisis warnings.
| Date | Indicator | Change | Unit | Past robustz |
|---|---|---|---|---|
| 2020-03-13 | ANFCI | 0.26 | index_points | 16.003826202126 |
| 2020-03-20 | ANFCI | 0.234 | index_points | 14.409575316091 |
| 2020-03-13 | NFCI | 0.164 | index_points | 13.82706056927 |
| 2020-03-06 | ANFCI | 0.224 | index_points | 13.796401898385 |
| 2020-03-06 | NFCI | 0.16 | index_points | 13.489815189532 |
| 2007-08-10 | NFCI | 0.12 | index_points | 13.264984936373 |
| 2007-08-17 | NFCI | 0.117 | index_points | 12.927739556635 |
| 2007-08-03 | NFCI | 0.112 | index_points | 12.365663923738 |
| 2020-03-20 | NFCI | 0.143 | index_points | 12.056522325644 |
| 2007-08-17 | ANFCI | 0.257 | index_points | 11.745442535713 |
| 2020-02-28 | NFCI | 0.139 | index_points | 11.719276945906 |
| 2007-07-27 | NFCI | 0.094 | index_points | 11.28239088579 |
| 2007-08-10 | ANFCI | 0.241 | index_points | 11.001176870084 |
| 2007-11-23 | NFCI | 0.112 | index_points | 10.599140506061 |
| 2007-11-16 | NFCI | 0.111 | index_points | 10.502784683278 |
| 2007-08-24 | NFCI | 0.093 | index_points | 10.229776518728 |
| 2008-09-26 | ANFCI | 0.498 | index_points | 9.700764158355 |
| 2020-02-28 | ANFCI | 0.154 | index_points | 9.504187974443 |
| 2007-08-24 | ANFCI | 0.206 | index_points | 9.37309572652 |
| 2008-09-19 | ANFCI | 0.458 | index_points | 9.339102823522 |
| 2008-09-19 | NFCI | 0.281 | index_points | 9.274247942803 |
| 2007-11-09 | NFCI | 0.098 | index_points | 9.250158987108 |
| 2007-07-20 | NFCI | 0.069 | index_points | 9.038176176986 |
| 2008-10-03 | ANFCI | 0.472 | index_points | 9.032311039947 |
| 2020-03-27 | ANFCI | 0.143 | index_points | 8.829697214966 |
Volatility and change candidates
{
"daily_yield_change_volatility": {
"UST_2Y": {
"change_unit": "basis_points_per_observed_session",
"not_bond_price_return_volatility": true,
"windows": {
"20": {
"n": 6691,
"minimum": 0.794719414239,
"maximum": 21.536932782646,
"mean": 4.697828052991,
"median": 4.211200603903,
"std_sample": 2.783497601304,
"p05": 1.380312702939,
"p95": 9.338093598709
},
"60": {
"n": 6651,
"minimum": 1.15604527505,
"maximum": 14.837728670197,
"mean": 4.796905681606,
"median": 4.311166685723,
"std_sample": 2.572904212164,
"p05": 1.495756710028,
"p95": 9.552197983002
}
}
},
"UST_10Y": {
"change_unit": "basis_points_per_observed_session",
"not_bond_price_return_volatility": true,
"windows": {
"20": {
"n": 6691,
"minimum": 1.932410548076,
"maximum": 14.514149176434,
"mean": 5.413381791511,
"median": 5.014715188428,
"std_sample": 2.023884088786,
"p05": 2.972682512746,
"p95": 9.370163736567
},
"60": {
"n": 6651,
"minimum": 2.487028494904,
"maximum": 12.283503705248,
"mean": 5.49380655388,
"median": 5.113928029119,
"std_sample": 1.783269231641,
"p05": 3.339436454278,
"p95": 8.865050477618
}
}
},
"UST_30Y": {
"change_unit": "basis_points_per_observed_session",
"not_bond_price_return_volatility": true,
"windows": {
"20": {
"n": 5677,
"minimum": 2.064741604835,
"maximum": 17.474793877257,
"mean": 5.036845879994,
"median": 4.611199181855,
"std_sample": 1.904888577704,
"p05": 2.874113135524,
"p95": 8.646751076416
},
"60": {
"n": 5597,
"minimum": 2.710306756045,
"maximum": 11.021345493957,
"mean": 5.112184359791,
"median": 4.843890671367,
"std_sample": 1.675229061007,
"p05": 3.162768936333,
"p95": 8.601628649318
}
}
}
},
"weekly_spread_change_volatility": [
{
"indicator": "spread_10y2y_bp",
"window_weeks": 13,
"unit": "bp_change_standard_deviation_per_week",
"summary": {
"n": 1387,
"minimum": 2.51151195651,
"maximum": 23.486220728388,
"mean": 7.695174115401,
"median": 7.1468120919,
"std_sample": 3.292651592562,
"p05": 3.532994270852,
"p95": 13.453718887176
},
"exceedance_count": 91,
"exceedance_denominator": 1335,
"threshold": "95th percentile of preceding104weeks, minimum52prior estimates",
"examples": [
{
"date": "2001-09-14",
"volatility_bp": 13.357510131873,
"past_p95_bp": 13.017797392996
},
{
"date": "2001-09-21",
"volatility_bp": 13.188475933022,
"past_p95_bp": 13.118488018775
},
{
"date": "2001-09-28",
"volatility_bp": 13.244737706843,
"past_p95_bp": 13.205143386608
},
{
"date": "2003-10-17",
"volatility_bp": 12.648097049531,
"past_p95_bp": 12.476222607209
},
{
"date": "2007-08-17",
"volatility_bp": 6.775710767902,
"past_p95_bp": 6.144092662488
},
{
"date": "2007-08-24",
"volatility_bp": 8.931362201212,
"past_p95_bp": 6.157649943992
},
{
"date": "2007-08-31",
"volatility_bp": 8.820866868267,
"past_p95_bp": 6.169817405703
},
{
"date": "2007-09-07",
"volatility_bp": 8.51318735694,
"past_p95_bp": 6.205130844332
},
{
"date": "2007-09-14",
"volatility_bp": 8.83684013603,
"past_p95_bp": 6.224174976167
},
{
"date": "2007-09-21",
"volatility_bp": 9.337682137035,
"past_p95_bp": 6.304674566025
},
{
"date": "2007-09-28",
"volatility_bp": 8.959309726158,
"past_p95_bp": 6.70712481631
},
{
"date": "2007-10-05",
"volatility_bp": 9.263244156757,
"past_p95_bp": 8.252565868584
},
{
"date": "2007-10-12",
"volatility_bp": 9.81821958898,
"past_p95_bp": 8.774714941568
},
{
"date": "2007-10-19",
"volatility_bp": 10.299987552893,
"past_p95_bp": 8.834444145865
},
{
"date": "2007-10-26",
"volatility_bp": 10.242570791079,
"past_p95_bp": 8.917183891434
},
{
"date": "2007-11-02",
"volatility_bp": 10.242570791079,
"past_p95_bp": 8.955117597416
},
{
"date": "2007-11-09",
"volatility_bp": 10.751267069036,
"past_p95_bp": 9.217653992167
},
{
"date": "2007-11-16",
"volatility_bp": 10.096330889779,
"past_p95_bp": 9.326516439994
},
{
"date": "2008-03-21",
"volatility_bp": 11.290454329847,
"past_p95_bp": 9.746138971189
},
{
"date": "2008-03-28",
"volatility_bp": 11.15910574489,
"past_p95_bp": 10.054614194659
}
]
},
{
"indicator": "spread_10y2y_bp",
"window_weeks": 26,
"unit": "bp_change_standard_deviation_per_week",
"summary": {
"n": 1374,
"minimum": 2.652429945425,
"maximum": 19.545292567226,
"mean": 7.815757329729,
"median": 7.244785879706,
"std_sample": 2.967479715264,
"p05": 4.073261612888,
"p95": 12.78882612913
},
"exceedance_count": 150,
"exceedance_denominator": 1322,
"threshold": "95th percentile of preceding104weeks, minimum52prior estimates",
"examples": [
{
"date": "2001-09-14",
"volatility_bp": 11.325125232794,
"past_p95_bp": 11.32420514816
},
{
"date": "2001-09-21",
"volatility_bp": 11.358019870762,
"past_p95_bp": 11.327386800997
},
{
"date": "2003-08-22",
"volatility_bp": 11.153198920213,
"past_p95_bp": 10.904575231629
},
{
"date": "2003-09-05",
"volatility_bp": 11.183022847155,
"past_p95_bp": 11.07180611829
},
{
"date": "2003-09-19",
"volatility_bp": 11.110632468323,
"past_p95_bp": 11.081207689656
},
{
"date": "2003-09-26",
"volatility_bp": 11.095113269433,
"past_p95_bp": 11.081207689656
},
{
"date": "2003-10-03",
"volatility_bp": 11.29662985823,
"past_p95_bp": 11.081207689656
},
{
"date": "2003-10-10",
"volatility_bp": 11.304253794309,
"past_p95_bp": 11.081207689656
},
{
"date": "2003-10-17",
"volatility_bp": 11.506252480884,
"past_p95_bp": 11.086866763841
},
{
"date": "2003-10-24",
"volatility_bp": 11.462044387388,
"past_p95_bp": 11.108304588489
},
{
"date": "2003-10-31",
"volatility_bp": 11.44054866893,
"past_p95_bp": 11.14681395243
},
{
"date": "2007-08-17",
"volatility_bp": 5.934514431566,
"past_p95_bp": 5.391303538677
},
{
"date": "2007-08-24",
"volatility_bp": 7.04851320929,
"past_p95_bp": 5.414530041339
},
{
"date": "2007-08-31",
"volatility_bp": 6.90473639,
"past_p95_bp": 5.421523918405
},
{
"date": "2007-09-07",
"volatility_bp": 6.981844587654,
"past_p95_bp": 5.4719303909
},
{
"date": "2007-09-14",
"volatility_bp": 7.1473502352,
"past_p95_bp": 5.56491580651
},
{
"date": "2007-09-21",
"volatility_bp": 7.656068482935,
"past_p95_bp": 5.598366566163
},
{
"date": "2007-09-28",
"volatility_bp": 7.643700271868,
"past_p95_bp": 5.8845844832
},
{
"date": "2007-10-05",
"volatility_bp": 7.603642851646,
"past_p95_bp": 6.759203096235
},
{
"date": "2007-10-12",
"volatility_bp": 7.949939525653,
"past_p95_bp": 6.970278358006
}
]
},
{
"indicator": "spread_10y3m_bp",
"window_weeks": 13,
"unit": "bp_change_standard_deviation_per_week",
"summary": {
"n": 1387,
"minimum": 5.189980485117,
"maximum": 38.001855555236,
"mean": 12.463719492961,
"median": 11.007573150639,
"std_sample": 5.34379971427,
"p05": 6.922340610546,
"p95": 22.908303185198
},
"exceedance_count": 90,
"exceedance_denominator": 1335,
"threshold": "95th percentile of preceding104weeks, minimum52prior estimates",
"examples": [
{
"date": "2007-06-22",
"volatility_bp": 11.678931282332,
"past_p95_bp": 10.698153172753
},
{
"date": "2007-06-29",
"volatility_bp": 13.823521388913,
"past_p95_bp": 10.698153172753
},
{
"date": "2007-07-06",
"volatility_bp": 13.732331305242,
"past_p95_bp": 10.698153172753
},
{
"date": "2007-07-13",
"volatility_bp": 14.279714857456,
"past_p95_bp": 10.698153172753
},
{
"date": "2007-07-20",
"volatility_bp": 15.002136599968,
"past_p95_bp": 10.698153172753
},
{
"date": "2007-07-27",
"volatility_bp": 15.025619147617,
"past_p95_bp": 10.759036806719
},
{
"date": "2007-08-03",
"volatility_bp": 15.296220414676,
"past_p95_bp": 11.527301912697
},
{
"date": "2007-08-10",
"volatility_bp": 18.455073654411,
"past_p95_bp": 13.424321301805
},
{
"date": "2007-08-17",
"volatility_bp": 25.620254407352,
"past_p95_bp": 13.809842876363
},
{
"date": "2007-08-24",
"volatility_bp": 30.618203065731,
"past_p95_bp": 14.211285837175
},
{
"date": "2007-08-31",
"volatility_bp": 30.476346439619,
"past_p95_bp": 14.893773338591
},
{
"date": "2007-09-07",
"volatility_bp": 30.78523622178,
"past_p95_bp": 15.02209676547
},
{
"date": "2007-09-14",
"volatility_bp": 30.219920412595,
"past_p95_bp": 15.255630224617
},
{
"date": "2007-09-21",
"volatility_bp": 32.099205198244,
"past_p95_bp": 17.981245668451
},
{
"date": "2007-09-28",
"volatility_bp": 31.723767681305,
"past_p95_bp": 24.545477294411
},
{
"date": "2007-10-05",
"volatility_bp": 32.046440659992,
"past_p95_bp": 29.529970511809
},
{
"date": "2007-10-12",
"volatility_bp": 32.246844409321,
"past_p95_bp": 30.437882535566
},
{
"date": "2007-10-19",
"volatility_bp": 31.802475310853,
"past_p95_bp": 30.596924571815
},
{
"date": "2007-10-26",
"volatility_bp": 31.976152973339,
"past_p95_bp": 30.760181248372
},
{
"date": "2007-11-02",
"volatility_bp": 32.227357386273,
"past_p95_bp": 31.582987962377
}
]
},
{
"indicator": "spread_10y3m_bp",
"window_weeks": 26,
"unit": "bp_change_standard_deviation_per_week",
"summary": {
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"minimum": 5.608784319125,
"maximum": 30.738024559919,
"mean": 12.679885911465,
"median": 11.553953640105,
"std_sample": 4.820872287833,
"p05": 7.531370291092,
"p95": 22.806519968168
},
"exceedance_count": 115,
"exceedance_denominator": 1322,
"threshold": "95th percentile of preceding104weeks, minimum52prior estimates",
"examples": [
{
"date": "2007-07-20",
"volatility_bp": 11.713043354115,
"past_p95_bp": 11.310155647858
},
{
"date": "2007-07-27",
"volatility_bp": 11.587260909491,
"past_p95_bp": 11.310155647858
},
{
"date": "2007-08-03",
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"past_p95_bp": 11.310155647858
},
{
"date": "2007-08-10",
"volatility_bp": 13.707718207694,
"past_p95_bp": 11.310155647858
},
{
"date": "2007-08-17",
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"past_p95_bp": 11.310155647858
},
{
"date": "2007-08-24",
"volatility_bp": 21.740603629013,
"past_p95_bp": 11.310155647858
},
{
"date": "2007-08-31",
"volatility_bp": 21.657224767162,
"past_p95_bp": 11.546228047915
},
{
"date": "2007-09-07",
"volatility_bp": 22.236352772327,
"past_p95_bp": 11.659281876443
},
{
"date": "2007-09-14",
"volatility_bp": 22.355209339556,
"past_p95_bp": 11.706885569825
},
{
"date": "2007-09-21",
"volatility_bp": 23.712119588612,
"past_p95_bp": 13.408516979657
},
{
"date": "2007-09-28",
"volatility_bp": 23.975371979147,
"past_p95_bp": 17.786581951557
},
{
"date": "2007-10-05",
"volatility_bp": 24.159597551411,
"past_p95_bp": 21.184598267453
},
{
"date": "2007-10-12",
"volatility_bp": 24.434276051356,
"past_p95_bp": 21.728096799735
},
{
"date": "2007-10-19",
"volatility_bp": 24.383222479023,
"past_p95_bp": 22.16199040083
},
{
"date": "2007-10-26",
"volatility_bp": 24.507863730146,
"past_p95_bp": 22.337380854472
},
{
"date": "2007-11-02",
"volatility_bp": 24.880421712973,
"past_p95_bp": 23.508583051253
},
{
"date": "2007-11-09",
"volatility_bp": 25.263777657715,
"past_p95_bp": 23.935884120567
},
{
"date": "2007-11-16",
"volatility_bp": 25.606249237247,
"past_p95_bp": 24.131963715572
},
{
"date": "2007-11-23",
"volatility_bp": 25.603004631368,
"past_p95_bp": 24.349678739881
},
{
"date": "2007-11-30",
"volatility_bp": 25.42318747794,
"past_p95_bp": 24.426618015506
}
]
}
],
"change_point_candidates": {
"spread_10y2y_bp": [
{
"date": "2007-11-09",
"direction": "positive",
"accumulator": 8.689756733666,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2008-02-01",
"direction": "positive",
"accumulator": 9.981168860367,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2008-10-10",
"direction": "positive",
"accumulator": 8.15695399973,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2008-12-05",
"direction": "negative",
"accumulator": -9.242798278209,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2011-08-19",
"direction": "negative",
"accumulator": -8.460969468052,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2015-06-26",
"direction": "positive",
"accumulator": 8.074726081808,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2020-03-20",
"direction": "positive",
"accumulator": 8.567021898467,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2021-03-05",
"direction": "positive",
"accumulator": 9.637438733756,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2023-10-20",
"direction": "positive",
"accumulator": 8.616999619832,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
}
],
"spread_10y3m_bp": [
{
"date": "2003-08-01",
"direction": "positive",
"accumulator": 8.931412602813,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2007-08-17",
"direction": "positive",
"accumulator": 9.406428860496,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2008-03-21",
"direction": "positive",
"accumulator": 9.671693769037,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2020-03-13",
"direction": "positive",
"accumulator": 10.331444759207,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2022-07-01",
"direction": "negative",
"accumulator": -9.575659468011,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2022-07-22",
"direction": "negative",
"accumulator": -8.088330618076,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
},
{
"date": "2022-11-25",
"direction": "negative",
"accumulator": -8.788147146706,
"threshold": 8,
"method": "two-sided past-normalized CUSUM/Page-Hinkley-style candidate; not a verified structural break"
}
]
}
}Systemic-risk descriptors and follow-through sensitivity
{
"nfci": {
"n": 1400,
"minimum": -0.811,
"maximum": 3.087,
"mean": -0.352065714286,
"median": -0.497,
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},
"anfci": {
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},
"nfci_above_zero_weeks": 130,
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"divergences": [
{
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},
{
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"nfci_past_z": -6.520077341607,
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},
{
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"nfci_past_z": -3.747170885981,
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},
{
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"spread_past_z": 2.02347227843,
"nfci_past_z": -3.447397215103,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2008-06-13",
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"nfci_change": 0.054,
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"nfci_past_z": 2.646079133331,
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},
{
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"nfci_change": 0.148,
"spread_past_z": -2.158370430325,
"nfci_past_z": 3.703086522617,
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},
{
"date": "2009-01-02",
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"nfci_change": -0.153,
"spread_past_z": 3.617723164465,
"nfci_past_z": -2.657331064444,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2010-05-21",
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"nfci_change": 0.073,
"spread_past_z": -2.119828101212,
"nfci_past_z": 2.002394442196,
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},
{
"date": "2011-08-05",
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"nfci_change": 0.063,
"spread_past_z": -2.158370430325,
"nfci_past_z": 3.747170885981,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2011-08-12",
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"nfci_past_z": 4.071925696099,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
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"nfci_change": 0.063,
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"nfci_past_z": 3.565165442948,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2011-09-02",
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"nfci_change": 0.043,
"spread_past_z": -2.225819506273,
"nfci_past_z": 2.529340348037,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2016-10-28",
"spread_change_bp": 10.0,
"nfci_change": -0.014,
"spread_past_z": 2.02347227843,
"nfci_past_z": -2.02347227843,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2016-11-11",
"spread_change_bp": 24.0,
"nfci_change": -0.014,
"spread_past_z": 4.215567246729,
"nfci_past_z": -2.02347227843,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2018-02-16",
"spread_change_bp": -12.0,
"nfci_change": 0.016,
"spread_past_z": -2.473132784748,
"nfci_past_z": 3.203831107514,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2020-05-08",
"spread_change_bp": 9.0,
"nfci_change": -0.099,
"spread_past_z": 2.248302531589,
"nfci_past_z": -8.346823148523,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2020-06-05",
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"nfci_change": -0.046,
"spread_past_z": 4.721435316336,
"nfci_past_z": -3.650185286579,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
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"nfci_change": 0.026,
"spread_past_z": -3.203831107514,
"nfci_past_z": 3.147623544224,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2022-03-04",
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"spread_past_z": -2.866585727776,
"nfci_past_z": 3.260038670804,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
"date": "2022-05-20",
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"spread_past_z": -2.192094968299,
"nfci_past_z": 2.360717658168,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
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"nfci_change": 0.024,
"spread_past_z": -3.372453797383,
"nfci_past_z": 2.810378164486,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
},
{
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"spread_past_z": -2.398189367028,
"nfci_past_z": 3.035208417645,
"rule": "opposite sign changes, both past-normalized absz>=2; not a causal contradiction"
}
],
"threshold_sensitivity": [
{
"weeks": 13,
"nfci_threshold": 0,
"evaluated_onsets": 20,
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"censored_onsets": 0,
"cases": [
{
"inversion_start": "2000-02-02",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2000-02-11",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2000-12-28",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2005-12-27",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2005-12-29",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-01-31",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-03-21",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-06-08",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-06-30",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-02",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-07",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-14",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-17",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2007-05-03",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2007-05-30",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2019-08-27",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2022-04-01",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2022-07-06",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2024-09-03",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2024-09-05",
"followup_weeks": 13,
"nfci_threshold": 0,
"no_followthrough": true
}
],
"interpretation": "Illustrative retrospective threshold follow-through proxy, not true/false crisis labels or predictive backtest"
},
{
"weeks": 13,
"nfci_threshold": 1,
"evaluated_onsets": 20,
"no_followthrough": 20,
"censored_onsets": 0,
"cases": [
{
"inversion_start": "2000-02-02",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2000-02-11",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2000-12-28",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2005-12-27",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2005-12-29",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-01-31",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-03-21",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-06-08",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-06-30",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-02",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-07",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-14",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-17",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2007-05-03",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2007-05-30",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2019-08-27",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2022-04-01",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2022-07-06",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2024-09-03",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2024-09-05",
"followup_weeks": 13,
"nfci_threshold": 1,
"no_followthrough": true
}
],
"interpretation": "Illustrative retrospective threshold follow-through proxy, not true/false crisis labels or predictive backtest"
},
{
"weeks": 13,
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"evaluated_onsets": 20,
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"censored_onsets": 0,
"cases": [
{
"inversion_start": "2000-02-02",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2000-02-11",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2000-12-28",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2005-12-27",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2005-12-29",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-01-31",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-03-21",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-06-08",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-06-30",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-02",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-07",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-14",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-17",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2007-05-03",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2007-05-30",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2019-08-27",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2022-04-01",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2022-07-06",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2024-09-03",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2024-09-05",
"followup_weeks": 13,
"nfci_threshold": 2,
"no_followthrough": true
}
],
"interpretation": "Illustrative retrospective threshold follow-through proxy, not true/false crisis labels or predictive backtest"
},
{
"weeks": 26,
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"cases": [
{
"inversion_start": "2000-02-02",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2000-02-11",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2000-12-28",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2005-12-27",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2005-12-29",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-01-31",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-03-21",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-06-08",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-06-30",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-02",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-07",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-14",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-17",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2007-05-03",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2007-05-30",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2019-08-27",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2022-04-01",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2022-07-06",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2024-09-03",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2024-09-05",
"followup_weeks": 26,
"nfci_threshold": 0,
"no_followthrough": true
}
],
"interpretation": "Illustrative retrospective threshold follow-through proxy, not true/false crisis labels or predictive backtest"
},
{
"weeks": 26,
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{
"inversion_start": "2000-02-02",
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"no_followthrough": true
},
{
"inversion_start": "2000-02-11",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2000-12-28",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2005-12-27",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2005-12-29",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-01-31",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-03-21",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-06-08",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-06-30",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-02",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-07",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-14",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-17",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2007-05-03",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2007-05-30",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2019-08-27",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2022-04-01",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2022-07-06",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2024-09-03",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2024-09-05",
"followup_weeks": 26,
"nfci_threshold": 1,
"no_followthrough": true
}
],
"interpretation": "Illustrative retrospective threshold follow-through proxy, not true/false crisis labels or predictive backtest"
},
{
"weeks": 26,
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"cases": [
{
"inversion_start": "2000-02-02",
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},
{
"inversion_start": "2000-02-11",
"followup_weeks": 26,
"nfci_threshold": 2,
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},
{
"inversion_start": "2000-12-28",
"followup_weeks": 26,
"nfci_threshold": 2,
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},
{
"inversion_start": "2005-12-27",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2005-12-29",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-01-31",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-03-21",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-06-08",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-06-30",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-02",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-07",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-14",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-17",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2007-05-03",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2007-05-30",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2019-08-27",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2022-04-01",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2022-07-06",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2024-09-03",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2024-09-05",
"followup_weeks": 26,
"nfci_threshold": 2,
"no_followthrough": true
}
],
"interpretation": "Illustrative retrospective threshold follow-through proxy, not true/false crisis labels or predictive backtest"
},
{
"weeks": 52,
"nfci_threshold": 0,
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"censored_onsets": 0,
"cases": [
{
"inversion_start": "2000-02-02",
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"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2000-02-11",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2000-12-28",
"followup_weeks": 52,
"nfci_threshold": 0,
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},
{
"inversion_start": "2005-12-27",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2005-12-29",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-01-31",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-03-21",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-06-08",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-06-30",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-02",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-07",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-14",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2006-08-17",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2007-05-03",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2007-05-30",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2019-08-27",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": false
},
{
"inversion_start": "2022-04-01",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2022-07-06",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2024-09-03",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
},
{
"inversion_start": "2024-09-05",
"followup_weeks": 52,
"nfci_threshold": 0,
"no_followthrough": true
}
],
"interpretation": "Illustrative retrospective threshold follow-through proxy, not true/false crisis labels or predictive backtest"
},
{
"weeks": 52,
"nfci_threshold": 1,
"evaluated_onsets": 20,
"no_followthrough": 20,
"censored_onsets": 0,
"cases": [
{
"inversion_start": "2000-02-02",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2000-02-11",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2000-12-28",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2005-12-27",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2005-12-29",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-01-31",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-03-21",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-06-08",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-06-30",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-02",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-07",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-14",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2006-08-17",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2007-05-03",
"followup_weeks": 52,
"nfci_threshold": 1,
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},
{
"inversion_start": "2007-05-30",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2019-08-27",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2022-04-01",
"followup_weeks": 52,
"nfci_threshold": 1,
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},
{
"inversion_start": "2022-07-06",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
},
{
"inversion_start": "2024-09-03",
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},
{
"inversion_start": "2024-09-05",
"followup_weeks": 52,
"nfci_threshold": 1,
"no_followthrough": true
}
],
"interpretation": "Illustrative retrospective threshold follow-through proxy, not true/false crisis labels or predictive backtest"
},
{
"weeks": 52,
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{
"inversion_start": "2000-02-02",
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},
{
"inversion_start": "2000-02-11",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2000-12-28",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2005-12-27",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2005-12-29",
"followup_weeks": 52,
"nfci_threshold": 2,
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},
{
"inversion_start": "2006-01-31",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-03-21",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-06-08",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-06-30",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-02",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-07",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-14",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2006-08-17",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2007-05-03",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2007-05-30",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2019-08-27",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2022-04-01",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2022-07-06",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2024-09-03",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
},
{
"inversion_start": "2024-09-05",
"followup_weeks": 52,
"nfci_threshold": 2,
"no_followthrough": true
}
],
"interpretation": "Illustrative retrospective threshold follow-through proxy, not true/false crisis labels or predictive backtest"
}
],
"interpretation": "Relative condition and anomaly descriptors, not probabilities of systemic crisis. Index components overlap market information; sources are not independent."
}Money-market supplement
{
"observations": 2144,
"start": "2018-04-02",
"end": "2026-10-30",
"change_distribution_bp": {
"n": 2143,
"minimum": -270.0,
"maximum": 282.0,
"mean": 0.10032664489,
"median": 0.0,
"std_sample": 10.455039791226,
"p05": -4.0,
"p95": 4.0
},
"largest_absolute_changes": [
{
"date": "2019-09-17",
"change_bp": 282.0
},
{
"date": "2019-09-18",
"change_bp": -270.0
},
{
"date": "2020-03-16",
"change_bp": -84.0
},
{
"date": "2022-06-16",
"change_bp": 75.0
},
{
"date": "2022-11-03",
"change_bp": 75.0
}
],
"weekly_nfci_correlation": {
"n_pairs": 448,
"status": "computed",
"pearson": 0.271446809048,
"spearman": 0.486861453642,
"inference": "Descriptive; no IID p-value or causality claim"
},
"comparison_scope": "Money-market supplement; shorter inception coverage; retrospective not independent crisis ground truth"
}Methods, uncertainty and limits
Full method and reproducibility instructions accompany this report. Unknown historical publication times remain null; acquisition time is not original release time. NFCI/ANFCI can revise and already include market information. No source independence is assumed.
- Acquired current-vintage observations are not an ALFRED historical real-time panel; no claim of a look-ahead-free predictive backtest.
- Observation dates, source update time, acquisition snapshot and actual publication timestamps are distinct; unknown publication dates remain null.
- NFCI/ANFCI and subindices include market inputs and revisions; relationships need not be independent and correlations are not causal.
- HAC and block-bootstrap inference rely on temporal-dependence/stability assumptions; exploratory results are not guaranteed valid under arbitrary nonstationarity.
- All predefined lags, windows and subperiods are shown, including non-significant or not-determinable results.
- Yield-change volatility is measured in basis points per observed session/week, not bond-price return volatility or annualized investment risk.
- CUSUM-style changes and robust anomalies are heuristic research flags, not verified structural breaks or imminent-crisis labels.
- No-follow-through counts use arbitrary declared stress proxies and censor incomplete follow-up; they are not measured crisis forecasting accuracy.
- No trading, broker access, money management, leverage, performance promise or personalized recommendation.
- No raw institutional time-series archive is relicensed as Apache2.0 or publicly redistributed with the original-code release.
Source attribution and license
Original FSIE software Apache 2.0. Original calculations by Mattoccia Labs using official institutional data; source data retain upstream terms and are not relicensed as Apache. Full raw response archives remain local. Chicago Fed indices are source-attributed research inputs, not endorsements or copied institutional publications.
SOFR data and derived research results are subject to the Terms of Use at https://www.newyorkfed.org/privacy/termsofuse. The New York Fed is not responsible for publication of these results by Mattoccia Labs, does not endorse this republication, and has no liability for your use. Mattoccia Labs is not affiliated with the New York Fed. The New York Fed does not sanction, endorse, or recommend products or services offered by Mattoccia Labs. SOFR data are calculated using data provided under a license granted to the New York Fed by DTCC Solutions LLC; those parties have no liability for this material.
Reproducibility
SourceSHA256, parser/method/configuration/software versions are in FSIE-001_MANIFEST.json. Replay the matching frozen sources with financial.cli verify. Fresh current data may differ due to revisions; do not assert identical vintage without matching hashes.