Weekly Composite Economic Indicators - InterMarket Research ...

Weekly Composite
Economic Indicators
October 1, 2012
Dr. Edward Yardeni
516-972-7683
eyardeni@yardeni.com
Sailesh Radha
803-786-1368
sradha@yardeni.com
Please visit our sites at
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Yardeni Research, Inc.
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Table Of Contents Table Of Contents
ECRI Weekly Leading Indicators vs. Conference Board 1
ECRI Weekly Leading Indicators vs. S&P 500 Index 2
ECRI Weekly Leading Indicators vs. FSMI 3
YRI Leading Economic Index (LEI) 4
YRI LEI: CRB Raw Industrials, S&P 500 5
YRI LEI: Unemployment Claims, High Yield Corp. Spread 6
YRI Coincident Economic Index (CEI) 7
YRI CEI: Railcar Loadings, Electricity Consumption 8
YRI CEI: Petroleum Products Usage 9
October 1, 2012 / Weekly Composite Economic Indicators
Yardeni Research, Inc.
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- ECRI Weekly Leading Indicators vs. Conference Board -
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Figure 1.
INDEX OF LEADING ECONOMIC INDICATORS
ECRI Weekly Leading Index
(1992=100, 4-wa)
Conference Board LEI
(2004=100)
73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15
Note: Shaded areas denote recessions according to the National Bureau of Economic Research.
Source: Conference Board and Economic Cycle Research Institute (ECRI).
Figure 2.
INDEX OF LEADING & COINCIDENT ECONOMIC INDICATORS
ECRI Weekly Leading Index
(1992=100, 4-wa)
9/21
Aug
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73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15
Note: Shaded areas denote recessions according to the National Bureau of Economic Research.
Source: Conference Board and Economic Cycle Research Institute (ECRI).
Page 1 / October 1, 2012 / Weekly Composite Economic Indicators
Conference Board CEI
(2004=100)
9/21
Aug
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- ECRI Weekly Leading Indicators vs. S&P 500 Index -
Figure 3.
S&P 500 INDEX vs. ECRI WEEKLY LEADING INDEX
S&P 500 Index
ECRI Weekly
Leading Index
(1992=100. 4-wa)
73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15
Note: Shaded areas denote recessions according to the National Bureau of Economic Research.
Source: Standard & Poor’s Corporation and Economic Cycle Research Institute (ECRI).
Figure 4.
HIGH YIELD CORPORATE LESS 10-YEAR TREASURY YIELD SPREAD
(basis points, inverted scale)
Spread
ECRI Weekly Leading Index
(1992=100. 4-wa)
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1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Note: Shaded areas denote recessions according to the National Bureau of Economic Research.
Source: Merrill Lynch, Board of Governors of the Federal Reserve System, and Economic Cycle Research Institute (ECRI).
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Figure 5.
YRI FUNDAMENTAL STOCK MARKET INDICATOR vs. ECRI WEEKLY LEADING INDICATOR
YRI Fundamental Stock
Market Indicator*
ECRI Weekly Leading Index
(1992=100. 4-wa)
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
* Average of Consumer Comfort Index and Boom-Bust Barometer, which is CRB raw industrials spot price index divided by initial unemployment claims,
four-week moving average.
Source: Bloomberg, Commodity Research Bureau, Department of Labor, and Economic Cycle Research Institute (ECRI).
Figure 6.
- ECRI Weekly Leading Indicators vs. FSMI -
HIGH YIELD CORPORATE LESS 10-YEAR TREASURY YIELD SPREAD
(basis points, inverted scale)
Spread
Fundamental Stock
Market Indicator*
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1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
* Average of Consumer Comfort Index and Boom-Bust Barometer, which is CRB raw industrials spot price index divided by initial unemployment claims,
four-week moving average.
Source: Bloomberg, Merrill Lynch, Board of Governors of the Federal Reserve System, and Commodity Research Bureau, Department of Labor.
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155
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Figure 7.
YRI WEEKLY LEADING ECONOMIC INDEX*
(index = 100 on 1/10/1997)
YRI Weekly Leading Index
(4-week moving average)
ECRI Weekly Leading Index
73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15
* Includes S&P 500, CRB raw industrials spot price index, initial unemployment claims, and high yield corporate bond spread (data starts on
January 10, 1997).
Source: Yardeni Research, Standard & Poor’s Corporation, US Department of Labor, Commodity Research Bureau, US Treasury, Bank of America
Merrill Lynch, and Haver Analytics.
Figure 8.
- YRI Leading Economic Index (LEI) -
YRI LEADING ECONOMIC INDEX COMPONENTS*
(index=100 on 1/10/1997)
S&P 500
CRB Raw Industrials Spot Price Index
Inverse Initial Unemployment Claims
Inverse High Yield Corporate Spread
9/21
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73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15
* For S&P 500, CRB raw industrials spot price index and high yield corporate spread, the weekly values are obtained by averaging the daily values
over the 5-day week.
Source: Yardeni Research, Standard & Poor’s Corporation, US Department of Labor, Commodity Research Bureau, US Treasury, Bank of America
Merrill Lynch, and Haver Analytics.
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Figure 9.
YRI LEADING ECONOMIC INDEX COMPONENT
(index = 100 on 1/10/1997)
CRB Raw Industrials
Spot Price Index*
73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15
* The weekly values are obtained by averaging the daily values over the 5-day week.
Source: Commodity Research Bureau and Haver Analytics.
Figure 10.
- YRI LEI: CRB Raw Industrials, S&P 500 -
YRI LEADING ECONOMIC INDEX COMPONENT
(index = 100 on 1/10/1997)
S&P 500*
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73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15
* The weekly values are obtained by averaging the daily values over the 5-day week.
Source: Standard & Poor’s Corporation and Haver Analytics.
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- YRI LEI: Unemployment Claims, High Yield Corp. Spread -
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80
60
40
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20
0
Figure 11.
YRI LEADING ECONOMIC INDEX COMPONENT
(index = 100 on 1/10/1997)
Initial
Unemployment Claims
(inverted scale)
73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15
Source: US Department of Labor and Haver Analytics.
Figure 12.
YRI LEADING ECONOMIC INDEX COMPONENT
(index = 100 on 1/10/1997)
High Yield
Corporate Spread*
(inverted scale)
9/21
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98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15
* The weekly values are obtained by averaging the daily values over the 5-day week.
Source: US Treasury, Bank of America Merrill Lynch, and Haver Analytics.
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Figure 13.
YRI WEEKLY COINCIDENT ECONOMIC INDEX*
(index = 100 on 1/10/1997)
YRI Weekly Leading Index
(4-week moving average)
YRI Weekly Coincident Index
(4-week moving average)
89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15
* Includes railcar loadings excluding coal, electricity output, and gasoline usage.
Source: Yardeni Research, Energy Information Administration, Atlantic Systems, Edison Electric Institute, and Haver Analytics.
Figure 14.
- YRI Coincident Economic Index (CEI) -
YRI COINCIDENT INDEX COMPONENT*
(index = 100 on 1/10/1997)
US Railcar Loadings (52-week sum)
US Electricity Output ex. Alaska and Hawaii
(52-week sum)
US Petroleum Products Usage
(26-week average of 52-week sum)
9/21
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89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15
Source: Yardeni Research, Energy Information Administration, Atlantic Systems, Edison Electric Institute, and Haver Analytics.
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- YRI CEI: Railcar Loadings, Electricity Consumption -
Figure 15.
YRI LEADING ECONOMIC INDEX COMPONENT
(index = 100 on 1/10/1997)
Railcar Loading ex Coal
(52-week sum)
89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15
Source: Atlantic Systems and Haver Analytics.
Figure 16.
YRI COINCIDENT ECONOMIC INDEX COMPONENT
(index = 100 on 1/10/1997)
US Electricity Output ex Alaska & Hawaii
(52-week sum)
9/21
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89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15
Source: Edison Electric Institute and Haver Analytics.
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Figure 17.
- YRI CEI: Petroleum Products Usage -
YRI LEADING ECONOMIC INDEX COMPONENT
(index = 100 on 1/10/1997)
US Petroleum Product Usage
(52-week sum)
89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15
Source: Energy Information Administration and Haver Analytics.
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