Philly Fed 3 Month Coincident Diffusion Indices

So I was looking at the Philly Fed conincident indices for the states on Calculated Risk this morning, and it got me to thinking I wanted to dig into the numbers... (usually when the trouble starts).  Above, we have the 1 month and 3 month diffusion indices for the state coincident indices from the Philly Fed.

(data here: http://www.philadelphiafed.org/research-and-data/regional-economy/indexes/coincident/2012/CoincidentIndexes0712.pdf ) 

I wanted to see more trend activity and reduce the noise, so I took the 3 month diffusion index and examined the quarter over quarter (or 3 month) change in that value, plotted against NBER called recessions in the time series data available.

Conclusion:  I observe a change of -50, a value that has previously only been represented in recessions.

Motor Gasoline Prices Revisited

A quick look at motor gasoline prices, trying to assess whether the cumulative impact of the price trajectory has been more severe than in 2008.  This appears likely, though it will be a long grind down.  Using the monthly price series for all grades of gasoline from the EIA, and looking at the 12 month moving average (MA).  It surpassed the 12 month MA peak from 2008 10 months ago and has stayed there since.

Price for Motor Gasoline in 2012

So there has been huge amounts of financial press discussion of motor gasoline prices, and the prospects for relief for the remainder of 2012. I decided to take a look at the data, and based on the EIA data series for the price of all grades, all formulations the prospects decidedly favor paying more, not less for the remainder of the year.

Using monthly price data, I took the average for the first three months (1Q of each year), the annual average, and the average of the remaining nine months (2Q to 4Q of each year). The linear fits for 1Q vs full year and 1Q vs 2Q to 4Q are at the end of the post, but those results provided the point estimates seen in the plot below (the EIA data series EMM_EPM0_PTE_NUS_DPG).

Punchline: $3.97/gallon for the full year, and $4.07 for the remaining nine months.

What we see is that in in only 4 of the 18 years (1994 to 2011) did annual average gas prices decline from the first quarter, and when they did the maximum decline for the full year average price was 2%, and for the 2Q to 4Q average price it was 3%.

The confidence interval results from the linear regression for the point estimates follow:

 The aforementioned data plots:

Ten Year Treasury Plot

The current "bond-pocalypse" in progress - a little perspective - that is all...

Real Disposable Income Per Capita

So how does the current recovery stack up against other recoveries? One measure that seems meaningful to me is real disposable income per capita - rather than staring blankly at aggregate measures that ignore population growth - what kind of purchasing power to individuals have after the necessities? (and even this ignores distribution issues)

So courtesy of the good people at BEA (Bureau of Economic Analysis) we have here Series A229RX0, Real Disposable Personal Income: Per capita in chained 2005 dollars. I've smoothed it a bit with a three month moving average to reduce the noise.


Now I wanted to look at year over year changes (yes yes even though this is a seasonally adjusted series) to see what kind of annual growth is being experienced in this measure of economic well being.

So things look a bit anemic for the last several months.


And the question occurred to me, how to compare the year over year performance of this measure over the course of this recovery in comparison to other recoveries, so I normalized to the start dates of the respective recoveries since 1980. One note, as we are in month 31 of the current recovery, when we index the 1980 recovery the subsequent 31 months include the entire second recession of the "double dip".

The thing that really grabbed me I've highlighted in the callout is that the 1980 recovery outperformed the current recovery with respect to this metric - by 70% for the period of the second recession - that is, real per capita disposable income growth in the second recession of the "double dip" outpaced the growth in the current recovery over 70% of the time during the period of the second recession, and 84% of the time over the course of the entire 31 months that corresponds to the latest data point available in the current recovery, January, 2012.

Finally, I have to wonder what this looks like when it is broken out by income quintiles...

Whither Commercial Paper?

So it has been awhile since I took a look at commercial paper, so I wandered over to the FRB Outstandings web site to take a look... this is the non-seasonally adjusted (NSA) weekly data in a 4 week moving average (MA).


So the recovery begins more or less where the total outstanding amount approximatley flatlines after the kickoff with the epic ablation of asset backed commercial paper.


NSA data is well suited for looking at year over year changes, so we'll start looking at the year over year change in the 4 week MA of the total amount of commercial paper outstanding on a NSA basis.

As we can see, the total amount of outstanding commercial paper began to decline on a year over year basis around the end of 3Q2011.


Commerical paper is a 1 to 270 day promissary note, broadly bucketed into three categories: financial, asset backed and non-financial in order of amount outstanding. Financial commercial paper is issued by financial institutions of varying stripes, non-financial is any other type of institution and typically used to finance inventories, while asset backed commercial paper is issued from a bankruptcy remote SPV that sells the paper to purchase the assets from the financial institution (general descriptions, anyone who would like to add to that please do so in the comments). So a year over year look at the different categories:

We see that:
1. Asset backed commercial paper has yet to go positive on year over year basis since the onset of the Great Recession
2. Financial commericial paper went negative on a year over year basis around the end of 3Q2011
3. Non-financial commercial paper is showing strong growth on a year over year basis, though that appears to be decelerating

The strength of the non-financial commericial paper is encouraging, given its place in the real economy. However, in the onset of the Great Recession we saw that it was the last of the categories of commercial paper to decline on a year over year basis, and it currently constitutes 18% of the outstanding amount.

So what do you think this means?

Different This Time Redux - Labor Force Declines

First posted on this back in February of last year:
Different This Time - More on Labor Force Declines

Here is the update with another year of annual data from BLS Series LNU00000000, LNU01000000 and LNU05000000:




In summary, it is clearly different this time, as only 2009, 2010 and 2011 year over year changes show consecutive declines in the size of the labor force and consecutive year over year increases in the not in labor force greater than the increases in population. The pace of the change suggests more than demographics to me, and as Barry R. says, "What say ye?"