• 556 days Will The ECB Continue To Hike Rates?
  • 557 days Forbes: Aramco Remains Largest Company In The Middle East
  • 559 days Caltech Scientists Succesfully Beam Back Solar Power From Space
  • 958 days Could Crypto Overtake Traditional Investment?
  • 963 days Americans Still Quitting Jobs At Record Pace
  • 965 days FinTech Startups Tapping VC Money for ‘Immigrant Banking’
  • 968 days Is The Dollar Too Strong?
  • 968 days Big Tech Disappoints Investors on Earnings Calls
  • 969 days Fear And Celebration On Twitter as Musk Takes The Reins
  • 971 days China Is Quietly Trying To Distance Itself From Russia
  • 971 days Tech and Internet Giants’ Earnings In Focus After Netflix’s Stinker
  • 975 days Crypto Investors Won Big In 2021
  • 975 days The ‘Metaverse’ Economy Could be Worth $13 Trillion By 2030
  • 976 days Food Prices Are Skyrocketing As Putin’s War Persists
  • 978 days Pentagon Resignations Illustrate Our ‘Commercial’ Defense Dilemma
  • 979 days US Banks Shrug off Nearly $15 Billion In Russian Write-Offs
  • 982 days Cannabis Stocks in Holding Pattern Despite Positive Momentum
  • 983 days Is Musk A Bastion Of Free Speech Or Will His Absolutist Stance Backfire?
  • 983 days Two ETFs That Could Hedge Against Extreme Market Volatility
  • 985 days Are NFTs About To Take Over Gaming?
  1. Home
  2. Markets
  3. Other

Real Time Recession Indicator: 6.10.13

Our real time recession indicator is constructed from various leading economic indicators and two pricing models. The indicator continues to show that the US economy is NOT in a recession. However, 2 out of 6 components continue to show weakness in the economy.

The following data is used in the construction of the indicator: 1) Aruoba-Diebold-Scotti Business Conditions Index (ADS); this is from the Philadelphia Federal Reserve and it is designed to track real macroeconomic activity at a high frequency; 2) the Chicago Fed National Activity Index (CFNAI); this is from the Chicago Federal Reserve, and it uses 85 different variables in its computation; 3) There are two components from the Economic Cycle Research Institute the Leading Economic Indicator (LEI) and Weekly Leading Index (WLI). Two pricing models are used. One is the Faber model, which looks at price in the SP500 relative to its simple 10 month moving average. The second is proprietary, and it looks at price relative to past pivot points and trend lines formed by those pivot points. The final composite indicator is shown in figure 1, a weekly chart of the SP500.

Figure 1. Real Time Recession Indicator

Real Time Recession Indicator

A close below SP500 1200 would put our pricing model into recession territory. A monthly close below SP500 1500 would put the Faber model into recession territory. Our proprietary pricing model is based upon pivot points or swings in the markets. The SP500 has been straight up for about year, and I suspect there will be a long period of digestion to consolidate the past year's gains. This will bring our model in line with the Faber model.

In any case, for our present purposes, the data is not consistent with a recession. However, the indicators are not strong either.

 

Back to homepage

Leave a comment

Leave a comment