No. of Recommendations: 2
I believe the original rule from Campbell Harvey was an inverted yield that lasted three months. A momentary inversion doesn't count and might lead to false signals. I also think he looked at 5 year less 3 month rather than the popular 10 year minus 3 month in the media.

I thought the original work was done by Estrella and Hardouvelis in 1991 using annualized quarterly averages of the 10-year and the three-month.

The Term Structure as a Predictor of Real Economic Activity
http://hardouvelis.gr/wp-content/uploads/2017/12/JF_June_199...

When was Harvey's work?

DB2
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