The lost history of the yield curve
Surprisingly, it is hard to find a good historical analysis of the yield curve. We can rely on Homer and Sylla's A History of Interest Rates, which deals with the yield curve indirectly. However, not much else has been written on this key indicator of modern finance.
Thankfully, I recently stumbled upon a very interesting article by Caitlin Zaloom which is entitled 'How to Read the Future: The Yield Curve, Affect, and Financial Prediction'. Again, there is not much history in this piece. Yet, I find it fascinating because it shows how the yield curve – particularly its effectiveness as a forecasting tool in US Treasuries markets – is bound to a complex interplay of rationality and affect. In a word, it reminds us of what John Maynard Keynes said about human decisions and the future:
[...] human decisions affecting the future, whether personal or political or economic, cannot depend on strict mathematical expectation, since the basis for making such calculations does not exist; and that it is our innate urge to activity which makes the wheels go round, our rational selves choosing between the alternatives as best we are able, calculating where we can, but often falling back for our motive on whim or sentiment or chance.