Monthly Archives: July 2012

Leading-Coincident Indicator Delta: Soft Patch, No Recession

From yesterday’s release of the Philly Fed Coincident Index, we create a composite which is a variation on David Schawel‘s favoured leading:coincident ratio, the Leading-Coincident delta: What we find is that the present values, though softening, are not associated with … Continue reading

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Beware of your residuals

In the past year, the correlation in daily returns between the S&P 500 and S&P Europe 350 is 0.92.  During this period, the S&P Europe 350 has declined 19.5%.  Given this very high correlation, where would you expect the S&P … Continue reading

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In Context: The Employment Situation

It is unwise to look too deeply into the movement from month-to-month in the Employment Situation.  Seasonality and revisions can easily distort your view.  As a consequence, we look for evidence in a handful of sub-series in changes of trend, … Continue reading

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