Explicit Neutral Rate (r*) Proxy Signal

Signal Summary:

• Configuration statement: Given a stance_gap of -0.83 and rising neutral_drift, this setup aligns with Upward-biased price paths and Indeterminate volatility, where the dominant risk is Trend continuation, not Mean reversion (1).
• The signal currently occupies a materially accommodative regime, characterized by a policy real rate significantly below the market-implied neutral rate (1).
• Conviction Band: Low; Interpretation Confidence: Mixed Signals; Internal Conflict Flag: No. Signal Stability Assessment: Stable; Threshold Proximity: Far; Revision Sensitivity: Unknown.

Methodology Applied:

• Stance Gap: Values ≤ -0.50 indicate materially accommodative policy, supporting growth and risk assets (1).
• Neutral Drift: A value > +0.10 signifies a rising market-implied neutral rate, reducing effective restrictiveness (1).
• Data freshness is classified as Unknown; observation date (2026-06-02) is provided but timeliness cannot be assessed relative to the current window.

Key Dynamics:

• The primary driver is the stance_gap (-0.83), which remains deep in the accommodative zone (1).
• Neutral drift has shifted to "Rising," as the r* proxy climbed from 1.95 to 2.07 throughout May (1).
• No internal tensions are present; both the level of stance and the direction of drift support an expansionary bias (1).
• Conditional Invalidation: An increase in the stance_gap to above -0.50.
• The signal shows high persistence, maintaining an accommodative stance for over 30 observation days (1).

Scenario Balance:

• Base Case dominant: Persistent accommodation supports continued economic expansion and risk-asset tailwinds.
• Upside secondary: Rising r* indicates a fundamental upward shift in growth potential or inflation expectations.
• Downside residual: A sudden spike in real policy rates or a collapse in market-implied neutral rates.

Time Horizon & Aggregation:

• Time Horizon: Cyclical (months), reflecting the slow-moving nature of neutral rate proxies.
• Aggregation Weight Hint: Low, due to Unknown data freshness and Mixed Signals confidence.

Macro Relevance:

• This signal informs the dimension of monetary liquidity and the degree of policy-induced economic friction (1).
• The transmission mechanism is accommodative, implying that current policy settings are actively supporting demand rather than constraining it.
• Cycle position: Not determined.
• Typically confirms inflation momentum signals and contrasts with financial stress indices.

Regime Context:

• This is a persistent accommodative regime, entered well before the current observation window (1).
• The regime is strengthening as the gap between the neutral rate and the policy rate widens.

Model Limitations:

• Real yields may be distorted by liquidity and risk premia rather than pure neutral rate expectations (1).
• Revision window cannot be assessed from provided content.

Data & References:

• Explicit Neutral Rate (r*) Proxy Signal (2026-06-02) (1).
• Most influential: stance_gap (-0.83) and rstar_proxy (2.07) (1).
• Secondary references: 10-Year Treasury Real Yields and Federal Funds Effective Rate.