Below we have some charts that depict in various ways how fraught the debt markets and sentiment are. Some indicate that conditions are worse than in August, others are less grim.
The graphics come courtesy Jim Hamilton at Econbrowser (“Risk Premia Creeping Higher“) and Michael Panzner at Financial Armageddon (“Off the Charts“).
30-Day Asset-Backed Commercial Paper Versus Treasuries (Kudlow):
Libor Versus Treasuries (Kudlow):
Now consider this same Libor Versus Treasuries over a longer time horizon:
Both charts use Treasuries of the same maturity as the three-month Libor; the failure of the September to November dip to show on the second chart may be due to the compression.
Other fun charts:
Ratio of US Commercial Bank Loans and Leases to Deposits
Price History of US Recession 08 Contract at Intrade:
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My TED spread chart is based on monthly closes. If I redraw it using daily prices, it looks just like the one from Kudlow. On that basis, conditions at the August peak were also as bad as they were 20 years ago. However, I was not really looking at intra-month moves.
For someone who has a bad memory – was the spike twenty years ago before the equity crash, during or after ?
Sorry, I’m talking about the 3-month Libor minus Treasury graph…
Spike was October 20, 1987 – the day after the crash. Also had a “mini” spike following LRCM in 1998.
This is the longest sustained spike in history.
Anonymous – thanks.