Monday, March 19, 2012

Ten Year Treasury Plot

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

Friday, March 16, 2012

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...

Friday, March 2, 2012

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?