Geschrieben von Stefan Hansen

Econintersect’s Economic Index improved and remains in territory associated with stronger economic growth.

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This index is not designed to guess GDP – or the four horsemen used by the NBER to identify recessions (industrial production, business sales, employment and personal income). It is designed to look at the economy at the Main Street level.

The graph below plots GDP (which has a bias to the average – not median – sectors) against the Ecointersect Economic Index.

Dieser Beitrag fasst Folgendes zusammen:

1. special indicators,
2. leading indicators,
3. prädiktive Anteile koinzidenter Indikatoren,
4. Überprüfung der technischen Rezessionsindikatoren und
5. Interpretation unseres eigenen Index – Ecointersect Economic Index (EEI) – das aus meist nicht-monetären „Dingen“ besteht, die sich mindestens 30 Tage im Voraus als Hinweis auf die Richtung der Main Street-Wirtschaft erwiesen haben.
6. our six-month employment forecast.

Special Indicators:

The consumer is still consuming. The ratio of spending to income has been very elevated since September XNUMX. There have been only three extended periods in history where the ratio of spending to income has exceeded XNUMX (the months surrounding the XNUMX recession, from September XNUMX to the beginning of the XNUMX Great Recession, and since September XNUMX).

Seasonally Adjusted Spending’s Ratio to Income (an increasing ratio means Consumer is spending more of Income)

The St. Louis Fed produces a Smoothed U.S. Recession Probabilities Chart which is currently giving no indication of an oncoming recession.

Smoothed recession probabilities for the United States are obtained from a dynamic-factor markov-switching model applied to four monthly coincident variables: non-farm payroll employment, the index of industrial production, real personal income excluding transfer payments, and real manufacturing and trade sales. This model was originally developed in Chauvet, M., “An Economic Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching,” International Economic Review, XNUMX, XNUMX, XNUMX-XNUMX. (http://faculty.ucr.edu/~chauvet/ier.pdf)

Ecointersect reviews the relationship between the year-over-year growth rate of non-farm private employment and the year-over-year real growth rate of retail sales. This index is now significantly positive. When retail sales grow faster than the rate of employment gains (above zero on the below graph) – a recession is not imminent. However, this index has many false alarms.

Growth Relationship Between Retail Sales and Non-Farm Private Employment – Above zero suggests economic expansion

GDPNow

Die Wachstumsrate des realen Bruttoinlandsprodukts (BIP) ist die Schlagzeile der Wirtschaftstätigkeit, aber die offizielle Schätzung wird mit Verzögerung veröffentlicht. Atlanta’s Fed GDPNow forecasting model provides a “nowcast” of the official estimate prior to its release. Ecointersect does not believe GDP is a good tool to view what is happening at Main Street level – but there are correlations.

Latest forecast: XNUMX percent — December XNUMX, XNUMX

The GDPNow model forecast for real GDP growth (seasonally adjusted annual rate) in the fourth quarter of XNUMX is 2.8 Prozent on December XNUMX, down from XNUMX percent on December XNUMX. The forecast of fourth-quarter real consumer spending growth fell from XNUMX percent to XNUMX percent after this morning’s personal income and outlays release from the U.S. Bureau of Economic Analysis (BEA). The forecast of the contribution of inventory investment fell from -XNUMX percentage points to -XNUMX percentage points after this morning’s advance durable manufacturing release from the U.S. Census Bureau and the release of the revised underlying detail tables for the National Income and Product Accounts by the BEA this morning.

z forecastXNUMX.png or source

Nowcast

The New York Fed also has introduced its own economic projection called Nowcast. Its current forecast:

• The New York Fed Staff Nowcast stands at XNUMX% for XNUMX:QXNUMX and XNUMX% for XNUMX:QXNUMX.
• The only data release this week was wholesale inventories, and it left the nowcast for both quarters broadly unchanged.

z forecastXNUMX.png

The Leading Indicators:

The leading indicators are for the most part monetary based. Ecointersect‘s primary worry in using monetary based methodologies to forecast the economy is the current extraordinary monetary policy which may (or may not) be affecting historical relationships.

Ecointersect does not use data from any of the leading indicators in its economic index. Leading indices in this post look ahead six months – and are all subject to backward revision.

Chemical Activity Barometer (CAB) – The CAB is an exception to the other leading indices as it leads the economy by two to fourteen months, with an average lead of eight months. The CAB is a composite index which comprises indicators drawn from a range of chemicals and sectors. It is a relatively new index and appears somewhat accurate (but its real time performance is unknown – you can read more here). Ein Wert über Null deutet darauf hin, dass die Wirtschaft expandiert.

ECRI's Weekly Leading Index (WLI) – A positive number shows an expansion of the business economy, while a negative number is contraction. The methodology used in created this index is not released but is widely believed to be monetary based.

Aktueller ECRI WLI-Index

Der führende Wirtschaftsindikator (LEI) des Conference Board – the LEI has historically dropped below zero in its six-month moving average anywhere between XNUMX to XNUMX months before a recession.

Leading Index for the United States from the Philadelphia Fed – This index is the super index for all the state indices. This index has significant backward revision and is considered close to worthless.

Subindex für nichtfinanzielle Verschuldung des National Financial Conditions Index – a weekly index produced by the Chicago Fed signals both the onset and duration of financial crises and their accompanying recessions. Ecointersect now believes this index may be worthless in real time as the amount of backward revision is excessive – so we present this index for information only. This index was designed to forecast the economy six months in advance. The chart below shows the current index values, and a recession can occur months to years following the dotted line below crossing above the zero line.

RecessionALERT.com has constructed a Weekly Leading Economic Index (WLEI) for the U.S Economy that draws from over XNUMX time-series from the following broad categories – Corporate Bond Market Composite, Treasury Bond Market Composite, Stock Market Composite, Labor Market Composite, and Credit Market Composite. From the authors of the index:

Being a weekly growth index, it provides data with at most a XNUMX-week lag, which is far more timely than the lag found on monthly economic indicators. Additionally, it is published on Thursday afternoons, a full XNUMX hours before the widely known ECRI Weekly Leading Index.

As with all weekly indices though, the data is far more volatile than monthly or quarterly indicators and the WLEI components are therefore subject to more false positives (calling recession when one does not occur.). The WLEI is heavily weighed toward financial market data, but the obvious advantage of this is that data revisions are minor and isolated to the Labor Market Composite and small portions of the Credit Market Composite.

Forward Looking Coincident and Lagging Indicators

Hier ist ein Durchlauf der wirtschaftlich prognostischsten Koinzidenzindizes, die Ecointersect glaubt, kann bis zu sechs Monate vor einer drohenden Rezession warnen – und keine Vorgeschichte von falschen Warnungen haben. Ecointersect does not use any of these indicators in its economic forecast.

Consider that every recession has different characteristics – and a particular index may not contract during a recession, or start contracting after the recession is already underway.

Beschäftigungsanteil Lkw-Transport – to search for impending recessions. Look at the year-over-year zero growth line. For the last two recessions it has offered a six month warning of an impending recession with only one false warnings. Transport is an economic warning indicator because it moves goods well before final retail sales occur. Until people stop eating or buying goods, transport will remain one of the primary economic pulse points. When this sector turns robotic in the coming years – this measure will become useless.

Transport employment growth is now above the zero growth line. As transport provides a six month recession warning – the implication is that any possible recession is less than six months away.

Subindex der Geschäftstätigkeit von ISM Non-Manufacturing – this index is noisy. The index is now near XNUMX (below XNUMX is a warning that a recession might occur, whilst below XNUMX is almost proof a recession is underway). This index does not provide timely warnings of recessions.

US Treasury Tax Receipts – For the Great Recession, the rolling averages went negative in February XNUMX – two months after the Great Recession’s start. For the XNUMX recession, the rolling averages for tax revenues went negative two months after the official start of the recession. Currently year-over-year rolling average growth is expanding at XNUMX % – and accelerating.

Year-over-Year Change in US Government Receipts – Monthly (blue line) and Three Month Rolling Average (red line)

z forecastXNUMX.png

Technische Voraussetzungen einer Rezession

Festhalten an den aktuellen technischen Rezessionskriterien des NBER:

A recession is a significant decline in economic activity spread across the economy, lasting more than a few months, normally visible in real GDP, real income, employment, industrial production, and wholesale-retail sales. A recession begins just after the economy reaches a peak of activity and ends as the economy reaches its trough. Between trough and peak, the economy is in an expansion. Expansion is the normal state of the economy; most recessions are brief and they have been rare in recent decades.

… The committee places particular emphasis on two monthly measures of activity across the entire economy: (XNUMX) personal income less transfer payments, in real terms and (XNUMX) employment. In addition, we refer to two indicators with coverage primarily of manufacturing and goods: (XNUMX) industrial production and (XNUMX) the volume of sales of the manufacturing and wholesale-retail sectors adjusted for price changes.

Unten sehen Sie eine Grafik, die die Veränderung von Monat zu Monat zeigt (beachten Sie, dass Multiplikatoren verwendet wurden, um Änderungen deutlicher zu machen).

Wachstum von Monat zu Monat Persönliches Einkommen abzüglich Transferzahlungen (blaue Linie), Beschäftigung (rote Linie), Industrieproduktion (grüne Linie), Unternehmensverkäufe (orange Linie)

In the above graph, if a line falls below the XNUMX (black line) – that sector is contracting from the previous month. All the data except business sales is improving. Another way to look at the same data sets is in the graph below which uses indexed real values from the trough of the Great Recession.

Indexiertes Wachstum des persönlichen Einkommens abzüglich Transferzahlungen (rote Linie), Beschäftigung (grüne Linie), Industrieproduktion (blaue Linie), Unternehmensumsatz (orange Linie)

Ecointersect believes that the New Normal economy has different dynamics than most economic models are using.

Economic Forecast Data

Das Ecointersect Economic Index (EEI) is designed to spot Main Street and business economic turning points. This forecast is based on the index’s three month moving average. The three month rolling index value is now a POSITIVE XNUMX – a significant improvement from last month’s positive XNUMX.

The EEI is a non-monetary based Wirtschaftsindex, der „Dinge“ zählt, die sich in mindestens 30 Tagen in der Zukunft als Hinweis auf die Richtung der Main Street-Wirtschaft erwiesen haben. Notiere dass der Ecointersect Economic Index is not constructed to mimic GDP (although there are correlations, but the turning points may be different), and tries to model the economic rate of change seen by business and Main Street. The vast majority of this index uses data not subject to backward revision.

The red line on the EEI is the XNUMX month moving average. The economic forecast is based on the XNUMX month moving average as the monthly index is very noisy. A positive value of the index represents main street economic expansion. Readings below XNUMX indicate a weak economy, while readings below XNUMX indicate contraction.

Consumer and business behavior (which is the basis of the EEI) either lead or follow old fashion industrial age measures such as GDP depending on the primary dynamic(s) driving the economy. The main street sector of the economy lagged GDP in entering and exiting the XNUMX Great Recession.

As Ecointersect überprüft sein Modell weiterhin von Zeit zu Zeit leicht adjustments are made to the data sets and methodology to align it with the actual coincident data. To date, when any realignment was done, there have been no changes for trend lines or recession indications. Most changes to date were to remove data sets which had unacceptable backward revisions, became too volatile, or were discontinued. The last realigment was done in the June XNUMX forecast to swap an industrial production data set which became to volatile. Documentation for this index was in the Oktober 2011 forecast.

Jobs Growth Forecast

Das Ecointersect Jobs Index is forecasting non-farm private jobs growth of XNUMX for January – unchanged from last month’s forecast.

Das Ecointersect Jobs Index is based on economic elements which create jobs, and (Erklärung hier) measures the historical dynamics which lead to the creation of jobs. It measures General Faktoren, aber es ist nicht genau (quantitativ) so viele spezifisch factors influence the exact timing of hiring. This index should be thought of as a measurement of jobs creation pressures.

For the last year, jobs growth year-over-year (green line in below graph) is averaging between the levels forecast by the Ecointersect Jobs Index (blue line in below graph), and a fudged forecast (red line in below graph) based on deviation between forecast & current actual using a XNUMX month rolling average.

The fudge factor (based on deviation between the BLS actual growth and the Ecointersect Employment Index over the last XNUMX months) would project jobs growth at XNUMX. This fudge factor is fluid (subject to change) as the BLS has significant backward revision to their jobs numbers.

Analysis of Economic Indicators:

Ecointersect analyzes all major economic indicators. The table below contains hyperlinks to posts. The right column “Predictive” means this particular indicator has a leading component (usually other then the index itself) – in other words has a good correlation to future economic conditions.

Allgemeine Wirtschaftsindikatoren:

Monthly Data: {click here to view full screen}

Vierteljährliche Daten: {click here to view full screen}

Aruoba-Diebold-Scotti Index der Geschäftsbedingungen: {click here to view full screen}

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Permanenter Link zum neuesten Beitrag zu diesem Thema