Overlooked yield-curve measure a ‘proven indicator’ of stress

Location of bump in term premia foreshadows business cycle in 15 months, thinks research firm


A largely ignored measurement derived from the US Treasury yield curve, with a name reminiscent of the space station in Star Wars, could help understand the forces at play in global markets, new research suggests.

‘D-star’ – a hump in the US Treasury curve that reflects investor risk appetite – is a simple quantitative metric with the power to predict market implosions, research firm CrossBorder Capital says.

The firm thinks the position of D-star can help predict key stress indicators such as