Up-Dated INDPRO-System

Here we have the impact of the latest INDPRO-release:

INDPRO_system

As expected, the m-t-m designs (month to month growth) are more sensitive than the q-t-q indicators (quarter to quarter growth). The gap between red and green is nearly closed whereas brown is now firmly above blue.

Latest INDPRO Release: a Confirmation of Yesterday’s Nowcast

Yesterday’s entry 1 was entitled “Possible end of the slowdown in industrial production ahead”. It was released slightly ahead of the January INDPRO number which, according to the Board of Governors , “increased 0.9 percent in January after decreasing 0.7 percent in December”.  Neat forecast! Or was it by chance? Let me try to put that event into a broader forecast/nowcast context.

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Possible End of the Slowdown in Industrial Production Ahead

In my previous entry 1 I reported “evidences for a stabilization of the recent INDPRO-dynamics (end of deceleration)”. Because the release time point of the February INDPRO-figure is approaching I wanted to check the latest indicator values (data up to February 16) of our daily INDPRO-system:

INDPRO_system

In the bottom graph we can observe that

  • the fast indicators (brown/green lines) reverted trend-growth and are now weakly upward-sloping and that
  • the gap between the slower q-t-q designs (quarter-to-quarter growth) and the faster m-t-m (month-to-month growth) indicators has been closed (brown crossed blue line from below) or is narrowing (green approaches red line).

This pattern is typical/indicative for a relaxation of the recent slowdown in the industrial production index.

PS: do not confuse the above INDPRO-system and the GDP-system posted in 2.

Recessions, Indicator-System and Asset-Management Opportunities

In a recent post 1 on econbrowser,  John Kitchen (US Treasury) claims

“based on historical relationships, the recent declines in equity valuations indicate that we are currently in a situation of somewhat heightened risk of a recession – but at this time it is in a gray area that does yet outright indicate a recession compared to what has been observed historically”.

I provided an analysis of the current state of the business-cycle in my previous entry (briefly: the industry sector is subject to contraction, but there is only weak evidence that the sector-dynamics have spread over the whole economy, as of now). Temptingly, in this entry, I’d like to revert the (Granger-) causality implied by John’s statement: instead of inferring recession-probabilities from financial data, I’d like to suggest asset-management opportunities obtained from (macro-) economic indicators.

  • After reader-feedback I here provide the daily indicator series (designs 1-4) for further analysis: indicator_system.txt (the series start in April 1997).

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Recession Ahead (Part II)?

In yesterday’s entry 1 I posted a new daily indicator. I deliberately overemphasized the business-cycle in its design. What does this mean, you may ask? The following graph  compares yesterday’s indicator, blue line, with a (new daily) `neutral’ indicator, red line, which tracks `growth’ of the industrial production series (the business-cycle is not overemphasized):

indicator

Growth as measured by the `neutral’ indicator is not negative, yet. Continue reading

Recession Ahead (Part I)?

I noticed, recently, worries about the possibility of an up-coming recession in the US, see 1 (and the accompanying puzzle 2). It’s been a long time since my last entry on the topic… Sufficient time, indeed, for the business-cycle to eventually complete. And sufficient time for me to work on a new mixed-frequency extension of the MDFA, 3. As fruit of these efforts  let me here share today’s up-date of the new daily real-time indicator. Continue reading