energyecon

DOT Miles Driven: Overlay 2007-2011

2011-11-21T13:21:00.001-08:00

Things that make me go hmmm... I tend to take that view that the economy is a heat engine, this looks like less heat to me... along with this:

IEA Oil Market Report US Motor Gasoline Demand

Here is the data source, go to September 2011 and click on the .xls version - you will find it on the Data tab in column I - enjoy!
US DOT Data Source

We Will Be Exploring the Limits of Storage for Natural Gas

2011-11-11T11:16:00.000-08:00

So I've been watching storage for the natty for some time now, and it struck me that I should put up a post on it as I think we are about to explore the physical limits of the natural gas storage system in the USA...

Thanks to the good people at the EIA, I downloaded the data for natural gas storage levels from their weekly report (Thursday mornings). I constructed a 4 week moving average to smooth things out a tad and then looked at the month over month change on a percentage basis, with each year set up as an overlay.

Short version: we are coming in 'hot', and in absolute terms the last storage report was 0.2% under the previous all time high, I expect we punch through next week (I may get expelled from the economics profession for calling both direction and time). Will coal switching provide sufficient demand to set the price floor this time around?

I've added this plot to illustrate what I have been talking about - here are 12 month moving averages for natural gas production and the front month Henry Hub natural gas contract - note the divergence and even the accelerating natural gas production as prices grind lower... and lower...

U-3 Unemployment Rates from Recession Peak to Expansion Trough

2011-10-22T15:38:00.000-07:00

Some descriptive statistics of the behavior of U-3 across all post-WWII business cycles using UNRATE and the NBER cycle dating.

The top of each red column corresponds to the peak in the U-3 unemployment rate associated with a particular recession, typically happening after that recession has ended. The lower end of each red column corresponds with the trough in the U-3 unemployment rate experienced prior to the onset of the next recession... note that for the last bar on the chart, the current trough is provisional (the low to date was 8.8% in March, 2011 while in September, 2011 that is 9.1%).

DJIA Volatility - What Next?

2011-08-11T15:20:00.000-07:00

So is this the start of something?

First, what we are looking at - a five day intra-day range of the DJIA divided by the five day average of the close - and the absolute level of the Dow 30 index.

Now, what next? Note the observation of the shorting ban is roughly contemporaneous with the Lehman failure... no claims as to causality, but we may be getting some additional insight into that with the recent moves by several markets within the EU to ban shorting... time will tell.

UEMPMEAN - UEMPMED: Structural Unemployment

2011-07-08T09:57:00.000-07:00

So using the mean and median weeks of unemployment time series data from the Fed FRED, here is what the spread between the mean time and median time looks like... so as mean times increase relative to median times, this would seem to indicate either a larger sub-group of long term unemployed, or that sub-group is experiencing longer durations of unemployment, or both.

What changed in the 2001 recession that resulted in a higher floor for the spread?

US Regular Gasoline Price - Perspective

2011-07-05T18:09:00.000-07:00

Courtesy of the EIA data set on the monthly average price for regular gasoline, above is a plot of the 12 month moving average...

SLV % of Shares Outstanding Traded Daily Redux

2011-05-18T14:57:00.001-07:00

First, we have about a 16 month view of the shares traded as a percent of outstanding...

Next, we are looking more closely at my SWAG at the region where the share volume appears to be 'different'...

Here we have the 10, 30 and 90 day daily moving averages of the share volume...

And finally, the comparison of SPY share volume to SLV share volume. Enjoy and a tip of the hat to Mike in Long Island of the CR commentariat for the shares outstanding data!

SLV One More Time: Share Volume 10, 30 & 90 Day Moving Averages plus SPY vs. SLV

2011-05-04T07:08:00.000-07:00

Data courtesy of Yahoo! Finance. Res ipsa loquitur.

New Record in Daily Trading Volume for SLV

2011-05-03T13:44:00.000-07:00

Another record set today in volume of shares traded and percent of outstanding shares traded in a single day.

Chart refresher, the right hand axis is shares outstanding (blue area and blue numbers on right axis), the left axis is percent of the outstanding shares traded on a particular day (red line and red numbers on left axis). The average line is the arithmetic average of all days for period covered (green), and the monthly MA line is a moving average of 22 trading days (orange).

Bon appetit.

Edit: adding a somewhat longer view of the same dataset where there appears to be a distinct change in the volume traded as the price ramp got underway in September, 2010.

Daily Trading Volume of SLV vs. Shares Outstanding Redux

2011-05-02T14:32:00.000-07:00

Once more, and with a hat tip again to Mike in Long Island of the CR commentariat.

Daily Trading Volume for SLV

2011-04-27T14:16:00.001-07:00

This post began as a conversation with a data request to the commentariat over at Calculated Risk, and exists because of the generous assistance of Mike in Long Island - hats off to you, Mike!

It seemed to me that the daily volume of shares traded in the silver ETF SLV was quite high, but I did not have the time series data of the daily shares outstanding (a moving target with an ETF such as SLV).

So, from the start of 2010 through today, is the daily shares outstanding (right axis, in blue) and the percent of those shares outstanding that the daily trading volume represents (left axis, in red). For comparison the total arithmetic average is included along with a monthly moving average.

Readers may draw their own conclusions, but there appears to be two distinct periods with the higher volume period starting around the beginning of November, 2010. And recently, the daily traded volume has been quite high compared to the rest of the data in the time period covered.

Median Unemployment Duration by Age Cohort

2011-02-12T09:19:00.000-08:00

Okay, can BLS make it any more difficult to get at this data? grumble grumble rippensnatz... I ahd to end up going to some ftp directory and extracting data to flat files then import to MS Excel - bug or feature?

The data shows the other side of the UE story, that while the UE rate among the youngest cohort is the highest, the duration of that UE is the lowest. In addition to the 16 to 19 cohort, I emphasize the 44 to 55 cohort as that represents peak earning years. But among all cohorts we see increasing median duration of UE with increasing age.

So there appears to be another strong predictor of UE duration, a person's age (the other being the duration itself, the longer unemployed the likelier to remain there).

And here is what the absolute numbers look like for 27+ weeks UE duration by age cohort...

Different This Time - More on Labor Force Declines

2011-02-10T12:39:00.000-08:00

As the population grows each year, how have they moved into the economy? Are things different this time?

Starting with BLS annual data for Civilian noninstitutional population 16 years and over, Civlian labor force 16 years and over and Not in labor force 16 years and over I took the year over changes for each series and constructed plots:

Looking at the changes in the over 16 population and labor force, we see only three years in which the year over year change in the labor force was negative - 1951, 2009 and 2010 - and the 1951 event is characterized by the only year over year decline in the civilian population. In fact, the year over year change for all three series was negative in 1951. This is not the case in 2009 and 20010, where there is ~1% population growth, year over year declines in the labor force, and year over year increases in not in the labor force (seen in following graph).

Here we see the population changes and the not in labor force changes, and there are three years that stand out for the increase in not in the labor force being greater than the increase in population (excepting 1951 op cit) - 1976, 2009 and 2010 - with by far the largest outlier being the 1976 data point.

In summary, it is clearly different this time, as only 2009 and 2010 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.

Continuing Declines in Labor Force Participation Rate

2011-02-07T15:03:00.000-08:00

The plot above shows the 4 week moving average of the seasonally adjusted weekly Initial Claims numbers, and that same curve shifted forward 99 weeks, showing that the peak number of '99ers' is now rolling off the back end of their extended benefits. There appears to be a relationship with the decline in the labor force participation rate also shown above, which looks a tad strange as it is a monthly series and ICSA is a weekly series.

We can see that the labor force particpation rate began to decline around six months to a year after the ICSA began to ramp up.

UEMPMEAN appears to have a strong relationship with the declines in the labor force participation rate, and the average duration is likely to continue to rise as it appears the probability of remaining unemployed has become in part of function of unemployment duration... the longer you are unemployed, the likelier you are to remain that way.

Both of these suggest to me that we will continue to see declines in the labor force pariticipation rate... which might well drive the U-3 headline unemployment rate but for all the wrong reasons.

Alternate Misery Index

2010-09-28T13:25:00.000-07:00

OK, so the commentariat over at Calculated Risk was kicking around conceps for an alternate misery index (or at least cinco-x and myself). If you will recall, the original misery index is the sum of the unemployment rate and the rate of inflation (Okun).

But in ZIRP world, inflation is not much of a factor even though misery we got aplenty, so what might be another approach to quantifying that? Above is one alternative, taking annual data from BLS for U-3 unemployment (well, that was monthly data taking an annual arithmetic average) and Census data for the ratio of the income share of the top 20% to the income share of the bottom 20% for the USA.

I think the 2010 numbers will be pretty close to the current set, so a conjecture for 2010 would be an approximately level line segment from 2009... though the most striking thing to me was the rate of change 2008-2009, I think the ripples are still propagating across the pond on that.

Household Formation and USA Population Changes

2010-09-17T08:56:00.000-07:00

I'm still trying to figure out if this is just a descriptive statistics exercise or whether it may also inform on another level, but this is taking Census data for the number of households and the total population of the USA and looking at the ratio of the annual change in the number of households over the annual change in the population.

It is interesting to note that in some years, the number of households added exceeded the number of people added, so there are multiple factors in play... perhaps the most significant of which was the coming of age of boomer cohort members (with respect to the household formation rate). Any thoughts appreciated.

Decline in UEMPMED - Labor Market Deterioration?

2010-09-03T09:31:00.000-07:00

So we saw a sharp decline in the median duration of unemployment with today's data release from the St. Louis Fed FRED database (mad propz to FRED!). Is this really an indication of improvements in the labor market in the USA?

Here we have the data series from FRED for the unemployed, segmented by duration. It is a bit busy, so what we are looking at here is the proportion of the 100% of the unemployed that each duration segment is contributing to that total...with the absolute number of each segment as the label for each month as well.

With respect to the longest term unemployed data segment, 27 Weeks and Over, is declining in both the absolute number and the relative contribution. On a month over month basis, the trend is also solidly in decline. But is the reason for this decline improvements in the labor market or workers exiting the labor force?

Looking at the change in PAYEMS, the total non-farm payroll in thousands of employees, the answer appears to be exit...

And finally, as a lagniappe for a negative interpretaion of the decline in UEMPMED, it appears that there was a big jump in the in the unemployed between 1-3 months, UEMP5TO14.

To recap on reasons for the decline in UEMPMED:

1. The longest term unemployed are declining according to the current counting methodology
2. They are almost certainly exiting the labor force as non-farm payrolls are flat over the period of the big declines in UEMPMED
3. A significant increase in the UE duration segment of between 1-3 months is also pulling the median down

Diesel: US Prime Supplier Sales

2010-08-11T14:45:00.001-07:00

Here is the entire data series for diesel prime supplier sales in the USA, courtesy of the EIA. This took a little bit to cobble together, as the changing sulfur regulations change the data series over time.

The data is reported monthly, in the form of the average daily sales of diesel, so if we see a value of 100,000 that is 100 million gallons per day in a particular month. I've plotted up the monthly values and the 12 month moving average which will smooth out the heavy seasonality we observe.

Structural Changes in the Labor Force?

2010-08-10T15:06:00.000-07:00

So here is the labor force, in thousands of persons pulled from the St. Louis Fed FRED database by aggregating the eight regional data sets (non-seasonally adjusted). It pretty much grinds upwards at the rate of population growth, with some seasonality around the trend line...until recently.

As a fan of non-seasonally adjusted (NSA) data, one way to account for seasonal effects is to look at the data on a year over year basis, which we see above. The data series is right at twenty years, so it is not that long...but we see one striking observation with respect to changes in the size of the labor force on a year over year basis, there aren't any negative values until recently.

Now I have a quirk about trying to quantify things, but a meaningful framework of analysis is often the tricky bit (which is not to say that I have cracked that nut here!).

So, the approach I took was to compare the values for year over year change for the month of June across the data set, a total of twenty observations. I took the first nineteen to be from the same distribution, and assumed a normal distribution (quite arguable, but it keeps the spreadsheet work simple). Using the mean and standard deviation derived, if the last observation is from the same distribution, where does it fit?

For the June, 2010 year over year change in the labor force, the value is 4.5 standard deviations out which is, umm improbable...suggesting that this observation is from a different distribution, which I interpret as an indication of structural changes in the make up of the US labor force.

Examing the month over month change for the time series, a strong seasonality is clearly indicated. A comparison of June values only but for month over month changes might also be indicative...

So what does the month over month change tell us for June, 2010? Now we are only 3 standard deviations out, which is still <1%...

So, this would appear to be an armchair indication of structural changes in the labor force and hence reflected in the labor force participation rate, EMRATIO and the like.

State Tax Revenues - Q1 2010 Year Over Year Increase Due to Tax Rate Increases

2010-08-02T09:29:00.000-07:00

OK, this has been out for a few weeks and there has been no direct discussion in the press that I have found that the year over year increases in state tax revenues for Q1 2010 are completely due to legislated tax increases (taking the Rockefeller estimates of the revenue impacts of those increases as a given).

Here is the table from the most recent report on state tax revenues by the Rockefeller Institute:

above from Rockefeller Institute State Revenue Report, July, 2010 p. 15

Now, let us normalize the reported increases in that table with the estimates of the impacts of legislated tax rate increases. First, the estimated impacts:

During the January-March 2010 quarter, enacted tax changes increased state revenue by an estimated net of $4.9 billion compared to the same period in 2009.3 Personal income tax increases accounted for approximately $2.7 billion and sales tax for approximately $1.7 billion of the change.

Rockefeller Institute State Revenue Report, July, 2010 pp. 12-13

Now, the calculation of the impacts - taking the values for Personal Income Tax (PIT), Corporate Income Tax (CIT), Sales Tax and Total (which includes some other sources of revenue in addition to the three breakout categories):

Lots to think about here, but the most glaring question that arises is with respect to the retail revival that has been much reported in the business press...show me the money.

Rockefeller Institute State Revenue Report, July, 2010

Deficit Spending - Percent of Federal Expenditures

2010-05-28T09:52:00.000-07:00

Courtesy of St. Louis Fed FRED data update for 1Q2010, this plot uses two series of SAAR quarterly data: FGRECPT, which is federal government receipts and FGEXPND, which is federal government expenditures. I then calculate the percent of total federal expenditures that is borrowed ([FGRECPT-FGEXPND]/FGEXPND).

So, the question is what is the tipping point? Most analysis in the public domain seems centered around total debt as a function of GDP, and 100% as some kind of threshold...anyone see any papers using this framework?

Industrial Capacity - More Record YoY Declines

2010-04-15T07:25:00.001-07:00

Industrial capacity utilization rate was released today, along with industrial production. We continue to see record year over year declines in industrial capacity, now for the seventh consecutive month.

The headline year over year change in industrial capacity utilization was +3.7%, an about 25% of that increase is due to reducing the denominator, the decline in total industrial capacity. I decomposed the change by taking current industrial production and dividing it by the industrial capacity of a year ago to arrive at the +2.7%.

Retail Sales ex-Autos and State Sales Tax Receipts - correction (ht josap)

2010-04-14T12:46:00.000-07:00

So here we are in the midst of a 'robust retail recovery', which unfortunately has yet to be manifested in the state sales tax receipts. Unfortunately, the most authoritative source of data there is provided quarterly and that at a modest lag...

So here we have a plot of the year over year change of 3 month moving average of retail sales ex-autos (RSFSXMV 3 mo MA) courtesy of the FRB FRED, and the year over year change in quarterly state sales tax receipts courtesy of the Rockefeller Institute of Government - if anyone can get the full time series of their data that would be great, but the current data set is limited to their most recent publication.

What the data set shows is the two curves as lines, and the faint green bars are the variance between the two. The average variance is -2.0% over the time period of the plot, and the most recent observation for 4Q2009 is -2.1%. Of interest is a quarterly breakout of the impacts of tax rate increases on total sales tax revenues, please post any information available in comments.

Technical notes: The RSFSXMV series is monthly, and a rolling 3 month cumulative total and the annual difference is calculated. The year over year change in quarterly state sales taxes are taken as is from the Rockefeller Institute, and then the monthly positions are a linear interpolation between those observations. The observed values were placed in the middle month of each quarter. [NB: Hat tip to josap who got me to re-examine my plot and so find a calculation bust!]

Personal Income and Transfer Receipts

2010-04-12T14:07:00.001-07:00

Here is an update and refinement of the look at personal income less transfer receipts from the BEA NIPA Table 2.1.

A few observations:
1. On the way up, the personal income gains occurred primarily at the upper income ranges (some might say in a disproportionate manner).
2. On the way down, the personal income losses are falling most heavily on the lower income ranges (op cit).
3. 4Q2009 does not look like 'recovery' to me. We should see some slower rates of decline in 1Q2010, but that will be the first year on year comparison to the 1Q2009, the start of the 'cliff dive.'

The question occurred to me, what is the proportion of the transfer receipts to the personal income less transfer receipts? This seems pertinent to me as 98.5% of the transfer receipts are government social benefit payments to persons...

Marketable Treasury Debt Maturity - 1Q2010 Update

2010-04-09T03:04:00.000-07:00

Looking at the debt held by the public, the front two quarters of Treasury roll has ballooned back up to just a hair under where it was this time a year ago. Over the quarter just passed, the marketable debt increased by 6.7%, which annualizes at ~29% rate of increase. This is also improvement from this quarter a year ago, when the quarterly rate of increase annualized at ~37%!

The actual increase on a year over year basis was $1.49 trillion of publicly held marketable debt, or a 23.9% increase. Again, my focus is just on the publicly held portion.

4Q2009 Update
3Q2009 Update
2Q2009 Update
1Q2009 Update
4Q2008

Data Source: Treasury Direct March 2010 MSPD

Charge Off and Delinquency Rates

2010-04-07T16:01:00.001-07:00

In the previous two recessions that the time series covers, it appears the combined delinquency and charge off rates peaked within one quarter after the end of the recession.

The line plot is stacked, so the current combined rate in excess of 10% is the sum of the 3.04% charge off rate and the 7.42% delinquency rate (likewise for the year over year changes).

This might also serve as a supporting argument for why the unemployment rate (and underemployment rate) are now leading indicators...as they will be the primary driver for cure vs write off for the delinquencies (absent the Fed assuming the balance sheet of the entire private sector).

Data Source:
FRB CHGDEL Data Download Page

Year Over Year Decline in LOANS - New Record

2010-04-06T13:15:00.000-07:00

So here we have more Fed FRED data, also in release H.8, specifically LOANS: Total Loans and Leases at Commercial Banks.

The most current data at this time is from February, 2010 and we can observe a new record decline on percent year over year basis.

It appears that the year over year change typically reaches a local minima from one to six months after the end of a recession, though the early '90s recession breaks this pattern. If the end of the recession was July, 2009 than this should start turning up...well, last month but if not this month...well, if not next month...

U-6 - U-3 Spread NSA - Update

2010-04-04T08:12:00.000-07:00

The spread between the non-seasonally adjusted numbers for U-6 - U-3 set a new record in February, at 7.5%. The value for the spread in March is 7.3%.

I have been arguing for some time that the UE rates and persistence are not lagging indicators but rather harbingers...but more on a gut basis rather than with any quantitative arguments. So this is an initial foray in that direction.

The old saw about UE being a lagging indicator is fundamentally based on the idea that things are going to go along in "Business As Usual" (BAU) mode. The dramatic elevation of the spread between U-6 and U-3 indicate that significant structural changes in employment markets are afoot.

The quantitative argument rests on the assumption of a normally distributed spread around the mean value, which may be questionable but not unreasonable (particularly from a simplistic BAU framework).

If we restrict BAU as the period prior to the start of this recession, the spread has a mean of 3.64% and a standard deviation of 0.42% which means the probability of seeing the current spread of 7.3% would occur once each 6.2 x 10^16 observations (monthly), or once every 5.1 x 10^15 years or so...without getting into the significant issues of autocorrelation for this series (the previous month's observation has significant predictive value for the next month's observation).

If we take a more expansive view of BAU as including the perturbations of the current recession then we experience a mean of 4.08% with a standard deviation of 1.13%, which would put the probability of the current spread at once each 159 observations, or once every 13.2 years.

No doubt the econometric police will shower me with approbation for this exercise, however it seems like the most direct way to make a quantitative argument that there are profound structural changes underway in the labor market and prism of recent experience during the expansion of the FIRE segment of the economy is a poor guide for the future.

UEMPMEAN - 3 Month Moving Average Year Over Year Changes

2010-04-02T11:08:00.000-07:00

This is not a lagging indicator...

Industrial Capacity - Continuing Record Declines

2010-04-02T10:46:00.000-07:00

So we have had lots of play for the increases in the rate of industrial capacity utilization, but no play at all regarding the state of industrial capacity.

Short version: industrial capacity is going away at a faster rate than at any other period in the historical time series - which starts in 1967, so 1968 in terms of measuring year over year changes (Fed unique identifier: G17/CAP/CAP.B50001.S).

This month is another record in two ways - for the sixth straight month in a row - both the month over month decline and the year over year decline is the largest on record.

Oil to Natural Gas Price Ratio

2010-03-17T15:33:00.000-07:00

Lots of discussion with a few members of the commentariat at Calculated Risk regarding the extreme nature of the price ratio between oil and natural gas so I decided to hunt up some data and see just what we were talking about.

The price behavior on a linear plot over the same time.

...and on a log plot due to the disparity of oil and gas when displayed on a common axis.

Data source:
EIA time series US Energy Information Administration

Federal Receipts - Federal Expenditures: 3Q2009 Update

2010-01-13T13:40:00.000-08:00

Here without much commentary is the 3Q2009 update using the St. Louis Fed FRED data from FGRECPT and FGEXPND, which are data series for the seasonally adjusted annualized rate(SAAR) by quarter.

Marketable Treasury Debt Maturity - Update

2010-01-08T20:03:00.000-08:00

Well it looks like the boys and girls in the US Treasury have been busy pushing out the curve...the front quarter rollover was reduced by a whopping 20.8% while the front six months cumulative rollover dropped 5.5%. All this while the total marketable debt outstanding increased 3.4%...

Which begs the question, who is buying all the interest rate risk? The scuttlebutt I have read is that foreign holders are moving to shorter durations - anyone heard different with sources?

Data Source:US Treasury Dec 2009 MSPD

Previous post on rollover:Marketable Debt Rollover 3Q 2009

3rd Quarter State Sales & Gross Receipts Taxes

2010-01-01T11:26:00.000-08:00

Well, the US Census Bureau released the data for state tax income, and I broke out the sales and gross receipts taxes to see how that showed aggregate economic activity performing.

On a year over year basis for the 3rd Qtr, state sales and gross receipts taxes were down -6.7%, and on a rolling 4 Qtr basis the year over year amount is down -7.6%.

While the 3rd Qtr is down from the 2nd Qtr, this is typically the case and the amount appears to be in the midrange of the -3% to -7% seen at -4.9%.

(If I get the chance I will update later with some additional data going back to 1988 - have to help my lovely wife pack for the trip home).

Data:
Quarterly Summary of State and Local Government Tax Revenue

Year Over Year Changes in UEMPMED

2009-12-31T16:34:00.001-08:00

So how is the "recoveryless recovery" (seen written in all seriousness, can't make that up!) treating the hapless jobseeker now that we are seeing a decline in new claims?

Well, as of the November, 2009 data point not all that well. I decided to take a look at the year over year changes in the median duration of unemployment (UEMPMED). I chose that series over the Mean Duration (UEMPMEAN) so as to limit the impact of outliers and the pre-Great Recession chronically unemployed on the number.

What we are looking at is the amount of time in weeks in which 50% of the people move off of the UE rolls...and the amount of time required is accelerating through November on a year over year basis.

Data source:

St Louis Fed FRED: UEMPMED

Industrial Capacity: Continuing Decline

2009-12-20T12:02:00.000-08:00

We had another increase in industrial capacity utilization in the latest stats from the Fed, while we experienced the largest year over year percent decline in the data series going back to 1967 (so the year over year changes begin in 1968).

The industrial capacity also declined on a month over month basis for the eleventh consecutive month.

Data source:

FED Industrial Capacity data download

Rolling 12 Month Total - UE Final Payments

2009-12-11T14:26:00.000-08:00

This is another case where the data had to be copy-pasted into a .csv and then imported into a spreadsheet to make the plot...it is the 12 month rolling total number of final UE benefit payment recipients, i.e. folks who have exhausted their standard 26 weeks of unemployment benefits over the previous year.

What struck me was the change in character of the peak count curve over time - what is quite a sharp peak after the first recession in the '70's (recall it is a twelve month total, so it will lag) becomes a somewhat broader peak in the double dip recession of the '80's, then it changes character significantly in the '90's recession becoming a much blunter and broader peak - and the final transformation into a plateau after the first recession of the '00's (double oughts?).

The question being, should the progression continue as the changes in the curve shape reflect broad changes in the makeup of the US economy and work force? And would that mean an even broader plateau at a much higher level now?

Consumer Goods Imports - Year Over Year Changes

2009-12-10T13:24:00.000-08:00

This is the M4 account from the Bureau of Economic Analysis (BEA), which is the quarterly nominal dollar amount of consumer goods ex-automobiles imported into the USA, non-seasonally adjusted. It would appear to have a nice uptick in 3Q 2009...

This type of unadjusted data, which exhibits strong seasonal behavior, is best reviewed on year over year basis and we see that in the plot above. This shows the "uptick" to be essentially entirely seasonal behavior as the 3Q 2009 as compared to the 3Q 2008 was down by ~-$18 billion

One approach to normalizing the absolute dollar amounts is to compare the year over year changes on a percent basis, which is displayed in the final plot above. Overall, it makes me wonder how big a holiday sales season could be had even if end demand was there...

Data source:BEA Balance of Payments

Personal Income Less Transfer Payments

2009-12-09T13:43:00.001-08:00

So the 3rd quarter of 2009 was the start of the recovery, with a positive GDP that has been revised down once so far...looking at previous recessions and the call by NBER (using their quarterly dates) for the start and end of recessions, unless the private income less transfer payments starts seriously ticking up on on a year over year basis - that call may be awhile in coming...

Data sources:
BEA NIPA Tables - Section 2 Table 2.1 is the one you want
NBER Recession Dates

Consumer Credit - Continued Declines

2009-12-07T18:15:00.000-08:00

Quick plot ginned up on FRED - what we see appears to be a continuing acceleration in the year over year decline in revolving consumer credit... ho ho ho...

Industrial Production - Capacity and Utilization Rate

2009-11-17T14:32:00.000-08:00

We just had the latest industrial capacity utilization rate released, with a microscopic 0.1% uptick in capacity utilization month over month...but are things getting busier, or are we shedding capacity faster?

This is a look at the year over year change in the industrial capacity from the Fed, using the total index. Looks like we set another record here...

Year Over Year Change in Total Revolving Credit Outstanding

2009-11-16T07:10:00.000-08:00

This is total revolving credit, non-seasonally adjusted. When you look at the data month over month there is strong seasonality exhibited, so the non-seasonally adjusted numbers are best viewed year over year.

When the retail season is considered, let's look at private wage income, revolving credit and...? Any suggestions welcome to answer the question, "Show me the money?" - what the heck are consumers going to spend?

Personal Income: Private Wages Year Over Year Change

2009-11-09T14:55:00.000-08:00

An assertion was made regarding private sector wages going up - can't see it from this data from NIPA Table 2.1...

U-6 Update

2009-11-07T09:21:00.001-08:00

So here is the latest U-6, unadjusted 16.3% which becomes a seasonally adjusted 17.5%

Now we examine the year over year change in the unadjusted U-6, and while the rate of change is declining from the peak (due to the elevated prior year base now that we are almost two years into this recession) it is still in excess of the peak from the prior recession. Also, recall that the absolute level of U-6 unemployment is still increasing year over year until the graph goes below the 0% line.

The spread between U-3 and U-6 remains elevated.

EMRATIO - Continued negative acceleration Year Over Year

2009-11-07T08:48:00.001-08:00

Almost two years into the recession, the rate of the year over year decline in the EMRATIO is actually accelerating...using the most recent recession as a guide, the peak rate of change for EMRATIO occurred about 36% of the way through the EMRATIO decline associated with that recession. If this month is the peak year over year rate of change and that relationship holds, then we would begin to see improvements in EMRATIO about 51 months from October, 2009 or about January, 2014.

Yep, its that bad

2009-10-29T10:37:00.001-07:00

After some crosstalk with fellow members of the commentariat at Calculated Risk, one remark was "Are you sure? It can't be that bad!"

So I made a clean download of the data from the Bureau of Economic Analysis (BEA) Table 2.1 (FD: well, I took all the Section 2 tables because I could). From Line 1, Personal Income I subtracted Line 17, Government Social Benefits to Persons. I then Q1 from the first year of the series from Q1 of the second year of the series and then copy/pasted to the end of the data...producing the graph above (with at least the y-axis labeled, another hat tip to RATM).

Yes, it's that bad.

BEA NIPA Tables

Edit: after some discussions regarding normalization, here is the (YoY change in personal income - govt benefit payments)/(personal income - govt benefit payments)

Continued Deterioration in Personal Income - Govt Social Benefits

2009-10-29T10:00:00.001-07:00

(NB: Y-axis is in billions of USD - hat tip RATM)
Well we had our 3.5% preliminary GDP number out this morning, so what is the sustainability of this "recovery?" Given how central consumption is to the economy, how has the personal income of my fellow citizens been doing - and not just the headline number, but what is personal income less government social benefit transfer payments?

Data from the latest BEA release, soon to be updated with September numbers (NIPA Table 2.1)
Download MS Excel Table with 2009 values

Link to previous post on topic

Time normalized data for CDC US Outpatient Influenza Surveillance: 1997-present

2009-10-26T14:20:00.000-07:00

This is the publicly available data from CDC, current up to the end of week 41 (October 11-17, 2009).

CDC Current Weekly FluView Report
Archive of FluView Weekly Reports
CDC Historic Influenza Surveillance Data
Notes on the CDC data:
1. Some years contain a "week 53", the years without week 53 do not have that data point.
2. Some of the years only have data from week 40 to week 20 (approximately the months of October-April).
3. Starting in 2003-2004 influenza season data, the CDC began providing a weighted % ILI value, which is the data used in the plots from 2004 forward. Prior years use the unweighted CDC reported value.

Treasury Marketable Debt Rollover Update

2009-10-15T20:54:00.000-07:00

Well it's a "good news/bad news" story...the average tenor of the outstanding marketable debt has decreased as both the one quarter and cumulative two quarter rollover amount of debt have decreased. On the other hand, the marketable debt outstanding has increased by 6.0% over 3Q2009, slightly faster than the 5.6% increase in marketable debt in 2Q2009 (current quarter annualizes at ~26% rate of increase).

Though in examining the "good news", one wonders who is buying the long end of the curve at the current yields, when the information available in the press is that foreign central banks are moving to the shorter end...[sighs] ok maybe I'm not wondering too much...

Previous posts on Treasury marketable debt maturity:
2Q2009 Update
1Q2009 Update
4Q2008

EMRATIO - return to cliff diving?

2009-10-03T13:37:00.001-07:00

The monthly reported value of EMRATIO took a relatively big leg down month over month of -0.4% in September, and the year over year comparison of the 3 month moving average is even more disconcerting as it represents the largest decrease for this recession and the seventh new all time record for the series...

Link to FRED for EMRATIO

Credit Growth in the Commerical Paper Market

2009-09-28T10:45:00.001-07:00

Triggered by a Calculated Risk post on credit market indicators, this provides me with more information than the 30 day spread with respect to the commercial paper market...

Deficit as a % of Spending

2009-08-24T16:08:00.000-07:00

A couple of critiques I received to the eye popping deficit plot I posted related to the nominal nature of the dollar values and the % of GDP etc. After some thought, there seemed to be some merit to the normalization over time argument, thought I think the % of expdenditures by the government is more meaningful than the GDP argument...for your viewing "pleasure".

U-6 Unemployment Stats Revisited

2009-08-22T23:16:00.000-07:00

Here we have the unadjusted U-6 unemployment data, which hasn't been around all that long so the plots only go back a relatively short time. Also, I am looking at the Year Over Year (YoY) changes, so there is additional truncation of the first twelve months to keep the plots' timeframes aligned. There is clear seasonality exhibited, and the YoY look tells you what the changes are without muddying the waters with seasonal adjustments (inadvertantly or...advertantly?).

So looking at the YoY changes in both absolute and as a percentage change (new - old)/(old)can give some perspective on the rate of change, as evaluating the impact of a change is a function of both magnitude and the time it takes...and we can relate that to the previous plot of the U-6 unemployment rate.

Finally, I am still working out what the change in the relationship between the U-3 unadjusted rate of unemployment (the headline rate of unemployment) and the U-6 unadjusted rate means, but my WAG is that it is trying to tell us that the headline UE rate is understating the degree of economic distress being experienced by wage earners.

Distribution of Real Income Growth since 1980

2009-08-19T07:47:00.000-07:00

Here is real income growth for households since 1980 in 2007 dollars showing the mean value for income in each quintile and the mean income for the top 5%, as found in the US Census Bureau Historical Income Tables - Households (Table H-3).

Link US Census data

Cost plot courtesy of Wiki, the spread above the CPI line shows how much real costs grew, and compare those rates to the real income growth rates above. The bow on the package would be debt, and the growth in debt service payments.
Link Wiki Inlation, Tuition, Medical Cares since 1978

Words Fail Me

2009-08-18T14:59:00.000-07:00

Res ipsa loquitur

EMRATIO - 3 Mo MA YoY Decline - Continued Uncharted Territory

2009-08-15T17:10:00.000-07:00

The journey into uncharted territory for the year over year change in EMRATIO continues - this is the monthly series from the St. Louis Fed, the Civilian Population to Employment ratio - smoothed into a 3 month moving average (3 Mo MA) and then subtracting the previous year's monthly measure to get the delta...

Uuuuuuuuugly continues to be the name of the game, for the sixth consecutive month the YoY change has matched or exceeded the previous record from 1954 by an increasing amount each month.

In comparing to previous recessions, the two most recent prior to the current recession would seem to be the best analogs with respect to the structure of civilian employment (service vs. manufacturing in particular). If the duration of YoY declines is at all analogous, this is going to deteriorate for an extended period of time - the peak declines for the previous two recessions occurred 31% to 36% of the way through the decline in 3 Mo MA of EMRATIO - measuring from the start of the EMRATIO declines six months prior to the declared recession start date, there could be 46 to 58 more months of YoY declines in the 3 Mo MA of EMRATIO from July, 2009...

(N.B.: When reading the graph, anything below the black line represents deterioration - as we approach from below, things continue to decline only more slowly - actual gains do not occur until the value is above the black line)

UI Exhaustion Rate - Declines As Monthly Total Climbs

2009-08-13T14:03:00.000-07:00

So running through the DOL stats on the exhaustion rate for UI (the current final UI payments over the 26 week lagged initial payments), the only accessible value is a 12 month average that looked like it was experiencing some compression (barely went up this month from last month).

So I grabbed some numbers (had to copy/paste into a .csv and then bring into a spreadsheet). I expect we will see/are seeing some declines in the monthly exhaustion rate due to the huge ramp in the number of initial payments six months ago - while the monthly total of final payments continues its exponential climb. There will be lots more folks falling off the backside of continuing claims due to that bulge in initial payments starting last December...want to see continuing claims plus extended claims...

DOL Monthly Data

UPDATE

As is indeed the case, the large influx is making the exhaustion rate go down - for the moment - but it is just putting more folks in the pipeline as potential future "exhaustees"...

Treasury Marketable Debt Rollover Update

2009-07-11T06:11:00.001-07:00

Here is the quarterly update to the Treasury rollover plot. "Good news" in the sense of being less bad, as the rate of increase has slowed on a quarterly basis and the maturity distribution of the change improved - unlike last quarter, the front quarter rollover grew at a slower pace than the total.

What is still distressing is the rate of growth. While the QoQ rate of growth declined to 5.6% from the previous quarter's 8.1%, this still annualizes out to ~24% growth rate (a three year doubling time for the marketable debt). As I like to look at YoY growth rates, I checked that and may go back to work up a recent YoY growth rate history...2Q YoY growth was 41%.

Previous US Treasury marketable debt posts
1Q 2009 update
4Q 2008 post

EMRATIO Year Over Year Decline - Uncharted Waters

2009-07-04T06:21:00.000-07:00

In keeping with the KISS principle, I am currently paring back my different views of unemployment to the EMRATIO data from the St. Louis Fed FRED series...

Short version: the current rate of change for job losses as measured by the EMRATIO, or civilian employment to population, exceeds everything on the books by a wide margin - the energy shock recessions of the '70's, the double dip of the'80's - which appears to be even worse than it might otherwise seem as the economy is now strucuturally far more dependent on wage supported spending power.

BLS Birth/Death Model - 3 Month Cumulative Impact

2009-07-02T07:30:00.000-07:00

Lots of discussion on the net effects of the Birth/Death model, here is my modest contribution. For the last three months, the cumulative impact of the B/D model has been to reduce the reported job loss by a third - there's your green shoot right there...

Personal Income Less Government Social Benefits - YoY Delta

2009-06-26T08:51:00.000-07:00

More uncharted terrain - was reading some comment by-play on Calculated Risk, and the question of how good the two month uptick in Personal Income is was in play - for me, it is always back to the Year Over Year look as usual...

Hard to say things are improving by my lights...

Commercial Paper Outstandings - Wile E. Coyote Lives!

2009-06-12T13:02:00.000-07:00

This first plot is from the Fed's latest release on the outstanding balance of commercial paper...
So what does that look like on a Year Over Year basis using the 3 month moving average, you say?

Green shoots indeed...

A/H1N1 Weekly Post 06 May 2009

2009-05-06T09:04:00.000-07:00

Changing to a weekly view on this as it appears all of North America is in sustained community transmission mode. If this follows typical seasonal patterns it should start to trail off soon...otherwise, the peak new cases in the USA should occur around the end of June if the start was in the beginning of March (based on R0 of 1.6 and a world of other assumptions)

Hence the weekly view - here's hoping all the scoffers are correct - for this wave and in the Fall.

Image updated for Canada 06 May 2009 number (PHAC)

Adding link to unedited transcript of CDC presser today: http://tickerforum.org/cgi-ticker/akcs-www?post=94020

Adding link: WHO updated guidance on pandemic preparedness and response http://www.who.int/csr/disease/influenza/PIPGuidance09.pdf

Lab Confirmed A/H1N1 Cases - update

2009-05-03T17:24:00.000-07:00

Latest numbers gleaned from WHO, CDC, ECDC, PHAC...

Added link: ht to Market Ticker Forum unedited CDC transcript from this afternoon http://tickerforum.org/cgi-ticker/akcs-www?post=93578

Data request: Any curves similar to figure 2 in this ECDC paper - unfortunately this curve applies to the second wave of the 1918 influenza with an R0 of >3... need similar for R0=1.6 and R0=2.4 http://www.ecdc.europa.eu/en/files/pdf/Health_topics/Lessons_from_previous_pandemics.pdf

Great paper, hat tip Wisdom Speaker - translating the data from the log plots in this paper to the format from the ECDC paper is what I would truly like to see... http://www.pnas.org/content/103/15/5935.full.pdf+html

Laboratory Confirmed A/H1N1 Cases - update

2009-05-02T21:56:00.000-07:00

Already out of date from earlier this afternoon, country count is now 18, with South Korea added to the list...press reports 809 confirmed cases worldwide, with 197 in the USA.

Laboratory Confirmed A/H1N1 Cases - Update

2009-05-01T09:42:00.000-07:00

Daily update, added some data sources beyond WHO as the update cycles are now hopelessly out of sync...huge spike in Mexico confirmed cases is likley a function of clearing out a testing backlog.

If you want to go directly to the data sources:

CDC: http://www.cdc.gov/h1n1flu/

WHO: http://www.who.int/en/

ECDC: http://www.ecdc.europa.eu/en/Health_topics/novel_influenza_virus/2009_Outbreak/

WHO Laboratory Confirmed A/H1N1 Cases - Update

2009-04-30T10:50:00.000-07:00

According to WHO as of 1700 GMT 30 April 2009
http://www.who.int/csr/don/2009_04_30_a/en/index.html

WHO Laboratory Confirmed A/H1N1 Cases

2009-04-29T14:05:00.001-07:00

Well the World Health Organization just raised the Pandemic Alert Level to 5 from 4 (the raise to 4 was yesterday). Here is a graph of the laboratory confirmed cases of A/H1Na1, the flu previously known as "Swine."

Treasury Marketable Debt Maturity Redux

2009-04-12T00:07:00.000-07:00

UPDATE: the change in total marketable debt has been added (ht MrM)

Here is the end of 1Q2009 US Treasury marketable debt maturity plot - I have decided to update this quarterly - this makes the quarterly roll structure easiest to maintain and analyze.

It is still a front end loaded beast as it ever was, only more so...

The rate of growth for the next quarter roll doubles in six quarters (five to go!) if maintained at the 12.8% seen between the end of 4Q2008 and the end of 1Q2009

The rate of growth for the combined front two quarters roll shows a growth rate of 10.3%, which is weighted to the first quarter

The post showing the EOY 2008 maturity plot:

http://energyecon.blogspot.com/2009/01/treasury-marketable-debt-maturity.html

EMRATIO Rate of Change and CIVPART-EMRATIO Update

2009-04-04T09:15:00.000-07:00

OK the rate of change YoY for the 3 month MA of EMRATIO is officially into uncharted waters...plus an update on the CIVPART-EMRATIO spread.

The lag in the peak of the spread in the 1990-1991 and 2001 recessions is not seen in previous recessions, which may be a function of structural changes in the economy (read: the hollowing out of manufacturing). Also, there are not enough data points to determine a trend, but it appears that the lag is lengthening in duration...

U-6: Year Over Year Changes - Continued Deterioration

2009-04-04T08:22:00.000-07:00

U-6 not seasonally adjusted continues to deteriorate at an accelerating pace on a Year Over Year basis. Also, the Month Over Month January-March change violates the seasonal directionality of the last ten years (a 0.8% increase vs. -0.6 decrease on average excluding this year).

Fast Food Stamps for Scone

2009-04-02T14:51:00.000-07:00

Well the discussion in CR on a reference to food stamp enrollment went the way I roll - what does the *data* show us - here without further ado is the year over year change in inidvidual food stamp enrollment for the very limited data set available on:
http://www.fns.usda.gov/pd/34SNAPmonthly.htm

EMRATIO - More Back to the Future

2009-03-28T14:12:00.000-07:00

There I was, blissing on the latest chart and info posted on Calculated Risk, and the point was made by the commentariat (ht Evil Henry Paulson IIRC) that EMRATIO was the real tell regarding the state of the economy in the US...so I had to update my CIVPART-EMRATIO spread chart, which shows continued widening.

But then I got to thinking about the change in EMRATIO, so I smoothed things a bit by making a 3 Month Moving Average, and then took the Year Over Year change in that to generate the second plot. For rate of change, this recession is in there with the best of them and out does the double dip of the 80's - what it does not have (so far) is duration...

Port of Los Angeles TEU Volumes Year Over Year

2009-03-14T13:02:00.000-07:00

Over at Calculated Risk yesterday there was a post on the TEU traffic at the Port of Los Angeles, with lots o' discussion on what was going on. I prefer the Year Over Year view of this sort of data, which accounts for seasonal variability in the month to month changes. This plot is the rate of change for the YoY (3 month MA), so the absolute level of TEU volumes is still climbing if the plot is above 0%. Below 0%, there is an absolute decline in YoY TEU volumes, though the MoM number could still be up (just lower than the same month in the previous year)

Total (In + Out) TEU volumes began declining in absolute terms prior to the start of the recession, have been doing so continuously since that start, and recently began moving sharply downward

There was a period of flat to mild decline in YoY TEU volumes in 4Q2004 to 3Q2005

In the last recession (2001), while the rate of growth significantly declined, it did not go negative (3 month MA of TEU volumes)

The Calculated Risk post:

http://www.calculatedriskblog.com/2009/03/la-port-import-traffic-collapses-in.html

U-6's Disturbing Seasonal Trend

2009-03-07T09:31:00.000-08:00

U-6 non-seasonally adjusted has become my weathervane for employment distress, and there are two disturbing trends (in addition to the value being too damn high at 16%!):

The rate of change reaccelerated (the second derivative increased) - we need to see that start to come down or at least stabilize for that light in the tunnel be daylight and not train.

The seasonal trend should be for the absolute value to decline going into the first quarter, but it is not - it is increasing - not good.

This is what I am talking about - unfortunately, the time series is somewhat limited for U-6 - but as you can see, even through the last recession the seasonal pattern of a Month Over Month decline held. Things are different this time.

U-6 Year Over Year Delta of the Delta: Acceleration Slowing?

2009-02-21T15:20:00.000-08:00

Context: this is the rate of change of the Year Over Year change in U-6 (unadjusted). The absolute number may go down from one monthe to the next but still represent an increase from the previous year...this approach avoids the seasonality issues but can be more than a little confusing when you start looking at the underlying time series. We may be seeing some flattening in the acceleration, which would be slightly encouraging in that the breathtaking rate of increase might at least subside. However, in the last recession the YoY U-6 continued to increase for another two years after that point (albeit, much more slowly). Here we are starting from a higher base rate for U-6 in absolute terms, ramping up much faster and will likely take longer to begin the reduction when that happy day finally arrives.

In the "it is different this time" department, I wondered how the end of year changes looked for the U-6 (unadj.) time series - how was the end of year holiday hiring? This graph looks at the change in U-6 (Dec 'XX - Sept 'XX) from 1999 to 2008. Grim.

U-6 - U-3 Spread Revisited

2009-02-21T15:04:00.000-08:00

The spread between the U-6 unemployment rate and the 'headline' U-3 unemloyment rate continues to widen...I wish the U-6 series went back farther to have a larger dataset of how these rates behaved in more than the two recessions covered. But something sure seems to be different this time.

Treasury Marketable Debt Maturity

2009-01-10T21:24:00.000-08:00

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:
http://energyecon.blogspot.com/2008/11/worlds-biggest-arm.html

CIVPART - EMRATIO Revisited

2009-01-10T12:01:00.001-08:00

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:

http://energyecon.blogspot.com/2008/04/local-minima-in-civpart-emratio-spread.html

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

2009-01-10T10:50:00.000-08:00

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.

Charge-off and Delinquency Rates from the Fed

2008-12-06T10:56:00.001-08:00

Third quarter shows a slowing in the rate of acceleration of real estate loan charge-offs and delinquencies - again, this plot is looking at the rate of change of the rate of change - what was the delta in CHGDEL over the starting number (going from 4% to 5% is +25%, going from 5% to 4% is -20%). The total percent of loans going bad will be going up until this plot crosses the zero line.

So the rate of charge offs and delinquencies for RE loans is still more than doubling on a YoY basis, but the good news appears to be that the rate loans are going bad stopped accelerating...the question being, is this a real trend change or hiccup (as CRE appears to be really hitting the wall in 4Q2008, spending declines by consumers, more layoffs, etc.)?

U-6 Redux: Casting the Unemployment Rate net a bit wider

2008-12-06T08:39:00.001-08:00

U-6 is one of the Bureau of Labor Statistics alternative measures of unemployment, and I think a better reflection of what is happening in a consumer driven economy at large than the headline unemployment rate (U-3 in BLS speak). The plot above is the year over year rate of change: if we went from 4% to 5% over the course of a year, that would be a 25% increase; if it went from 5% to 4% that would be a -20%.

Here is the definition for U-6:

Marginally attached workers are persons who currently are neither working nor looking for work but indicate that they want and are available for a job and have looked for work sometime in the recent past. Discouraged workers, a subset of the marginally attached, have given a job-market related reason for not looking currently for a job. Persons employed part time for economic reasons are those who want and are available for full-time work but have had to settle for a part-time schedule. For more information, see "BLS introduces new range of alternative unemployment measures," in the October 1995 issue of the Monthly Labor Review. Updated population controls are introduced annually with the release of January data.

I like to look at the second derivative as it were - the rate of change of the rate of change - so for the U-6 unemployment rate to actually go down, the plot above would have to go below zero. Looking at the 2001 recession, U-6 unemployment did not begin to decrease until the first quarter of 2004.

For the August post on U-6

http://energyecon.blogspot.com/2008_08_01_archive.html

Can you say opportunity cost? I knew that you could!

2008-11-28T09:03:00.000-08:00

Res ipsa loquitur.

http://jessescrossroadscafe.blogspot.com/2008/11/cost-of-irrational-greed.html

Changes in Marketable Treasury Debt Maturity 1997-2008

2008-11-16T07:26:00.000-08:00

In the ongoing discussion of the term structure of with Calculated Risk community members PeakVT, MLM and Austin Tex the question of whether the dramatic increase in short term borrowing was a significant change or mere 'nothingburger' (paraphrase with liberties taken). I am grinding on a quarterly cumulative rollover but that might never get completed given RL demands, so I hit on an alternate route - what is the aggregate structure for the October report for as many years as electronic data is available for...The October report was taken from each year to remove any seasonality differences between years. The 1997-2008 period is used as that is the electronic dataset, there are .pdf's for earlier periods but I don't have the time (or motivation) to do the manual data grind...

Some interesting trends are apparent in the absolute amount of marketable Treasury debt in the different categories. Note in the 1997-2001 period the total US debt is declining (sigh). Also, the T Bills category is fairly constant, then both total debt and T Bills increase, then T Bills plateauing while total debt increases slowly but steadily...until this year. The rate of change for the total debt AND T Bills is nothing short of breathtaking. (NB: Y-axis scale is in USD millions, to 2008 tops out just short of $6 trillion - so far).

Also, it seemed to me a normalized view of the debt structure would be informative. Here is the percentage of the Treasury marketable debt for each component over the time series. Again, interesting trends emerge - the relative proportion of T Bills was falling in the October report 2002-2007 s total debt was steadily climbing - until 2008, with an explosion of short term debt.

(NB: The Treasury debt under consideration is the Marketable category, which the debt held by the public, other CB's etc. Hat tip to PeakVT for pointing that out. Also, some graph improvements done for today's post courtesy of Mel and Comrade Counterpointer's suggestion.)
(Addendum: MLM clarification - we are at a tipping point, some external event is needed to trigger the change from a 'status quo' approach to rollover in the Treasury market - then lookout.)

The World's Biggest ARM - Marketable US Treasury Debt

2008-11-15T19:17:00.000-08:00

Ummm...wow. I was reading and commenting on my favorite blog, Calculated Risk and the issue of the maturity of the US debt came up. Hat tip to EvilHenryPaulson (raised the issue) and Plantagenet (for the link to the granular data) - here is the data before we roll in the longer term debt.

Res ipsa loquitur...

(Hat tip to PeakVT from the CR community for pointing out this is the publicly traded debt, in the Marketable category in the Treasury reports).

And now for something completely different...

2008-11-01T06:01:00.000-07:00

This is a daily chart for the ETF for US Treasury long bonds (20+ years duration).

And the weekly chart for the same security.

Gasoline Stocks - Good news/Bad news...

2008-10-03T19:46:00.000-07:00

Good news - national stocks increased slightly

Bad news - east coast stocks declined slightly

Bad news - production rates still down

Good news - imports up

Ruh Roh Redux

2008-09-24T21:43:00.000-07:00

Stocks are now at their lowest level since 1967...I don't even want to figure out what the per capita for per vehicle story is - that is just too damn low.

Update on gasoline stocks

2008-09-21T09:19:00.000-07:00

Well, the stocks are down regionally and prices are up - hope they can get the grid back to speed as that is what seems to be producing the kink in the hose.

Ruh Roh

2008-09-13T21:29:00.000-07:00

This is the state of gasoline stocks BEFORE Hurricane Ike.

Res ipsa loquitur.

###########################################################

OK, a bit of elaboration since it probably is not as self-evident as it seems to me. See the links below about the Colonial pipeline being shut in, and the extensive damage to the backbone of the electrical grid by Hurricane Ike. That ties in with the gasoline distribution system being very near Minimum Operating Level (MOL).

This is the point where bits of the system for moving gasoline around start shutting down because there is not enough physically present to make it flow through the supply chain. That level is around 170 million barrels or so but that is at the national level - it is very large and complex and not in perfect balance, so we are going to be experiencing localized shut downs and gasoline shortages starting now...

Graphic produced by Energy Information Administration
EIA Petroleum Week in Review: Gasoline

Dow Jones Newswire report on Ike related transmission line damage
Ike Leaves Widespread Power Outages; Review Begins

Reuters report on Colonial Pipeline closure
Colonial says oil product pipelines shut due to Ike

Alternative Measures of Unemployment: U-6

2008-08-17T02:24:00.000-07:00

The BLS data series that gets most of the press is the headline unemployment rate, or U-3 (seasonally adjusted). With the structural changes in the economy which would seem to result in undercounting issues in how U-3 is calculated, many folks have started giving U-6 some attention(U-6 casts the net very broadly, in particular folks who are involuntarily part time).

This plot is based on U-6 unadjusted, the year over year percent change in the value - so if the value in July, 2007 was 5% and then the value in July, 2008 was 6% this would be a 20% increase on this plot - declines in the unemployment rate would be a negative value. On a rate of change basis, we are where we were at around September, 2001 only with a U-6 value that is 10.8%(7/2008) instead of 8.2%(9/2001). The Federal Funds rate in 9/2001 started the month at 3.5%, ended the month at 3% on the way to 1%...

Riddle me this...

2008-08-01T17:18:00.000-07:00

I have links below to source the material but here is one that might have kept the Sphinx whole...

The nominal GDP growth for 1Q2008 was $119.6 billion, represented as a real annualized GDP growth rate of 0.9%.

The nominal growth for 2Q2008 was $105.7 billion, represented as a real annualized GDP growth rate of 1.9%.

A nominal decline QoQ of 11.6% is equal to a real annualized QoQ increase in rate of 111% - that is some change in deflator kids! Can anyone clearly define what state change occurred to make that kind of change in the deflator? Anyone? Buehler?

http://www.bea.gov/newsreleases/national/gdp/gdpnewsrelease.htm
GROSS DOMESTIC PRODUCT: Second Quarter 2008 (Advance)
[snip]
Current-dollar GDP
Current-dollar GDP -- the market value of the nation's output of goods and services -- increased 3.0 percent, or $105.7 billion, in the second quarter to a level of $14,256.5 billion. In the first quarter,current-dollar GDP increased 3.5 percent, or $119.6 billion.
[snip]

http://www.bea.gov/newsreleases/national/gdp/2008/tech208a.htm
Technical Note Gross Domestic Product, Second Quarter of 2008 (Advance), July 31, 2008
[snip]
Real GDP
Real GDP increased 1.9 percent (annual rate) in the second quarter (that is, fromthe first quarter to the second), following an increase of 0.9 percent (revised) inthe first quarter.
[snip]

Real Estate Loan Delinquency Rates - CHGDEL update on rate of change

2008-08-01T17:11:00.001-07:00

This is another bit of Fed data, though this is from the main FRB web site. This update is looking at the rate of change of the percent of real estate loans that are delinquent on a year over year basis...so if we go from 2% to 4% YoY that would be a 100% rate of change.

What we see is continued acceleration from the very low base we started from - the question is once this has been underway for awhile when will it start to slow down? If we get to 6% and a year later the rate is 9% that would be 50% on the plot, the rate of delinquency won't actually be improving until the line goes under the 0% baseline.

The Employment Spread Trade - CIVPART - EMRATIO update

2008-08-01T17:03:00.001-07:00

What has happened in the last quarter is a continuation of the trend of a wider spread between the civilian participation rate (CIVPART from FRED) and the employed ratio of the population (EMRATIO again courtesy of FRED).

I am curious if there is a secular change in the works, as the spread since about 1980 has bottomed at a lower point in each expansion until the latest one...maybe related to the reduction in labor force participation by women that is occuring (no value judgement there, just the observation).

Modern American Patriots!

2008-04-29T19:48:00.000-07:00

This video of citizens in action is downright INSPIRING!http://www.youtube.com/watch?v=EUpQ_EJMdGs

Local Minima in the CIVPART-EMRATIO Spread (with thanks to the St Louis Fed -I like FRED!)

2008-04-10T19:59:00.000-07:00

Here is another look at yet more data suggesting that we are indeed entering a recession - just in case the most recent new claims report has you questioning whether that is the case or no - I welcome speculation on the explanatory side of this...

I got to fiddling around with data series from FRED, the St Louis Fed online data source and got curious about the spread between the CIVPART series, which is the labor participation rate, and the EMRATIO series, which is the employed as a percent of the population. I eyeballed the recession bands and layered them in, I need to learn how my infoporn hero CR does his recession bands... in any case, it seems whenever this spread is coming off of a local minima we are going into a recession, period. How much and how long... quien sabe?

One more unnecessary recession indicator post

2008-04-04T19:10:00.000-07:00

Well today we had the third job loss month in a row, with some material revisions to the previous two months numbers - downward - which got me curious about the FRED plots from the St Louis Fed...

Here is the USPRIV, which is from the same source and plots the total of all private sector employees % change year over year:

Here is the UNEMPLOY series plot of the % change over year ago - we have just breached a level that appears to be associated with recessions when coming from a bottom in the unemployment rate - there is one time we reached it back in the late '60s without a breach that did not result in a recession...take a look and draw your own conclusions.

Seems to me the question now, as so many others have also posed is which mix of short/long and shallow/deep are we going to have with this recession? Talk amongst yourselves.

Real Esate Loan Delinquency Rates - Rate of Change

2008-03-02T19:49:00.000-08:00

From the Federal Reserve Board Statistics and Releases - Bank Asset Quality - Charge Off and Delinquency Rates: This is a plot of the rate of change of the quarterly data year over year (YoY) from 1992 through 4Q2007.

The yellow line is Commercial Real Estate, ex-farmland. The base data is the delinquency rate, and the rate of change of the delinquency rate is what we are looking at YoY

I ginned up the plot in OpenOffice and had some problems getting the dates on the bottom axis to display correctly in the image I uploaded, and this is a first feeble attempt to get a plot online to share it with Stagflationary Mark at http://illusionofprosperity.blogspot.com/

Hopefully I will get better at this with time!