Saturday, January 10, 2009

Treasury Marketable Debt Maturity

Here are the December 31, 2008 numbers from the US Treasury on the maturity of outstanding marketable debt and an updated plot of the roll.

Here is the previous post on marketable Treasury maturity:


It's been almost six months since I updated the CIVPART - EMRATIO spread, and nine months since the original post.
Events have completely borne out the local minima in this curve as a recession indicator, back in April 2008 when the question was still hotly debated ( the original post referred to above).
The original post:

Makes me go hmmmm....U6-U3 Spread (unadj.)

I was wondering about changes in the makeup of the labor force, and how the increase in contractors, temps and part-time might change how we view the headline (U3) unemployment rate, to wit "less is more." That is, incremental increases in the U3 unemployment rate might indicate larger negative impacts than they have in the past.
So I considered U-6, which casts the net much wider in considering unemployment, and far more of the "shadow unemployment." Which led me to the spread between the unadjusted U6 and U3 unemployment rates. Unfortunately, the time series I built is only ten years and captures one previous recession but the difference there is remarkable.