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Horalis Yield Curve: method and limits

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Translated from the Spanish original. Where they differ, the Spanish one holds.

What it shows: the spread between the 10-year rate and the 3-month rate of the curve of the euro area's AAA government bonds, month by month since September 2004, with the euro area's recessions shaded (block B7 of the plan of 15 October 2026).

Data

  • Rates: European Central Bank, ECB Data Portal, dataset YC, series YC.B.U2.EUR.4F.G_N_A.SV_C_YM.SR_10Y and …SR_3M (spot rates, AAA curve, business days). Licence: the ESCB's statistics reuse policy: free reuse at no cost, unmodified, citing "Source: ECB statistics". Checked on 16 October 2026.
  • Recessions: the CEPR-EABCN committee's chronology for the euro area: peaks 2008Q1, 2011Q3 and 2019Q4; troughs 2009Q2, 2013Q1 and 2020Q2. A recession runs from the quarter after the peak to the trough; here, as their first and last month (April 2008 to June 2009, October 2011 to March 2013, January to June 2020).

Method

  1. Each business day with both rates: 10 years − 3 months, in points.
  2. Each month: the average of those days, rounded to two decimals. It is Horalis's arithmetic on the ECB's data, without modifying them, and the page says so.
  3. Once a year, the official data workflow downloads it again (scripts/ecb.ts). The person can also press "Update from the ECB": their browser downloads straight from the ECB (the API allows requests from other sites) from the last month the page has. It goes through no Horalis server and nothing is kept.

Limits (and what the page always says)

  • It is a historical signal, not a prediction. An inverted curve came before recessions in the past, above all in the US, but it has failed and given false alarms: in the euro area it was inverted for 23 months, from February 2023 to December 2024, and the committee did not declare a recession afterwards (as of October 2026).
  • The series starts in 2004: there are only three recessions to compare.
  • The AAA curve uses only the best-rated governments; it is not any one country's.
  • It is not a recommendation to buy or sell anything.