Yield Curve

Below, Corrections depicts the daily yield curve from Jan1990-Aug2012 (click to enlarge).

Below, Corrections takes each day's yield curve and breaks it up into a constant, slope (by duration), and quadratic (by duration squared) term (click to enlarge):

Finally, we normalize each components to have mean zero and standard deviation one, and graph them together (click to enlarge).  Insofar as interest rates predict bad times, the three components point to lower growth (the low level, shallow slope, and less curvature).