Tuesday, August 21, 2012

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.

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.


tekewin said...

Interesting. CR is not even on recession watch, while Mish thinks we are already in recession. Good stuff, ee.

GreenWorld said...

Mish is usually right tekewin!
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Rob Dawg said...

Got a few minutes to update this graph?

And a warm invitation to join a few of the less nonsensical folk at my blog rather than trying to teach pigs to sing.