| ECRI“不可避免的衰退”预测发出一周年，股市涨到4年高点。 | ||
| 送交者: 2012年09月30日08:41:18 于 [世界股票论坛] 发送悄悄话 | ||
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The Weekly Leading Index (WLI) of the Economic Cycle Research Institute (ECRI) rose for the eighth consecutive week, now at 126.7, up from last week's 125.3 (revised from 124.7). See the WLI chart below. The WLI growth indicator (WLIg) now marks its sixth week in expansion territory at 3.8 (up from last week's 2.7). It has now posted thirteen consecutive weeks of improvement and is at its highest level since June 10, 2011. The indicators ECRI shares with the public continue to contradict the company's repeated recession forecasts, which have, for the past few months, escalated into assertions that we are already in a recession. Here is a chronology of selected interviews with Lakshman Achuthan, ECRI's chief operations officer, on Bloomberg TV since its first public recession forecast on September 30th of last year: The most concise explanation of how ECRI continues to justify its recession call in light of weak but not recessionary economic data is this recent post on the company's website: The 2012 Recession: Are We There Yet? In particular this commentary explains in more detail the July claim that key economic indicators were "rolling over".
This morning I updated my Big Four Economic Indicators with the release of the August Real Personal Income data (which excludes transfer payments like Social Security and other social benefit programs). Here is one of my Big Four charts with ECRI's 2011 recession call annotated. And note especially the table below.  The latest Real Income data point is in line with ECRI's grim outlook, as was the latest Industrial Production data. Similarly, retail sales have declined in two of the last five months, and this indicator remains fractionally below its interim peak in March. In fact, the average of the Big Four (the gray line in the chart above) has been flat or contracting in three of the last six months. ECRI also reminds us that the recent months for these data series are subject to revision -- downward revision, in their view. In the past I have described ECRI's recession call as "embarrassing", emphasizing the fact that they made that call on September 21st of last year, and the Big Four indicators had shown continuous (albeit weak) improvement. The August data, however, is perhaps showing early signs of a broader economic contraction. In time the NBER may determine, based on downward revisions to data, that a recession began at some point in mid-2012. ECRI will see that as a vindication of its call. But the question will remain: How much lead time is too much lead time? Note: For more another perspective on the Big Four economic indicators, see the following article by Dwaine van Vuuren: The NBER Co-incident Recession Model: "Confirmation of Last Resort". For a less deterministic view on the US economy from another independent economic "think tank", see this commentary on the Conference Board's latest Leading Economic Index update. Appendix: A Closer Look at the ECRI IndexThe first chart below shows the history of the Weekly Leading Index and highlights its current level.
For a better understanding of the relationship of the WLI level to recessions, the next chart shows the data series in terms of the percent of the previous peak. In other words, a new weekly high registers at 100%, with subsequent declines plotted accordingly.
As the chart above illustrates, only once has a recession occurred without the index level achieving a new high -- the two recessions, commonly referred to as a "double-dip," in the early 1980s. Our current level is 11.9% off the most recent high, which was set over five years ago in June 2007. We're now tied with the previously longest stretch between highs, which was from February 1973 to April 1978. But the index level rose steadily from the trough at the end of the 1973-1975 recession to reach its new high in 1978. The pattern in ECRI's indictor is quite different, and this has no doubt been a key factor in their business cycle analysis. The WLIg Metric The best known of ECRI's indexes is their growth calculation on the WLI. For a close look at this index in recent months, here's a snapshot of the data since 2000. It is the recent behavior of this indicator that most clearly suggests that ECRI has painted itself into a corner with its unequivocal recession call.
Now let's step back and examine the complete series available to the public, which dates from 1967. ECRI's WLIg metric has had a respectable record for forecasting recessions and rebounds therefrom. The next chart shows the correlation between the WLI, GDP and recessions.
The History of ECRI's Latest Recession Call ECRI's weekly leading index has become a major focus and source of controversy ever since September 30th of last year, when ECRI publicly announced that the U.S. is tipping into a recession, a call the Institute had announced to its private clients on September 21st. Here is an excerpt from the announcement:
Year-over-Year Growth in the WLI Triggered by another ECRI commentary, Why Our Recession Call Stands, I now include a snapshot of the year-over-year growth of the WLI rather than ECRI's previously favored method of calculating the WLIg series from the underlying WLI (see the endnote below). Specifically the chart immediately below is the year-over-year change in the 4-week moving average of the WLI. The red dots highlight the YoY value for the month when recessions began.
As the chart above makes clear, the WLI YoY is now higher than at the onset of all but one of the seven recessions in the chart timeframe. The second half of the early 1980s double dip, which was to some extent an engineered recession to break the back of inflation, is a conspicuous outlier in this series, starting with a WLI YoY at 2.7%. We can assume from this data that ECRI believes we're in another outlier situation. Additional Sources for Recession Forecasts Dwaine van Vuuren, CEO of RecessionAlert.com, and his collaborators, including Georg Vrba and Franz Lischka, have developed a powerful recession forecasting methodology that shows promise of making forecasts with fewer false positives, which I take to include excessively long lead times, such as ECRI's September 2011 recession call (barring a future NBER announcement of a Q1 2012 recession start). Here is their latest snapshot of the WLI growth variants, which should be studied in the context of the analysis at the Shadow Weekly Leading Index Project.
Here is today's update of Georg Vrba's analysis, which is explained in more detail in this article.
Additional Analysis on Recession Forecasting Here are some links to some useful articles for evaluating the substance of the ECRI's controversial recession call, including work by Dwaine and others:
Note: How to Calculate the Growth series from the Weekly Leading Index ECRI's weekly Excel spreadsheet includes the WLI and the Growth series, but the latter is a series of values without the underlying calculations. After a collaborative effort by Franz Lischka, Georg Vrba, Dwaine van Vuuren and Kishor Bhatia to model the calculation, Georg discovered the actual formula in a 1999 article published by Anirvan Banerji, the Chief Research Officer at ECRI: The three Ps: simple tools for monitoring economic cycles - pronounced, pervasive and persistent economic indicators. Here is the formula: "MA1" = 4 week moving average of the WLI
Remember, if you have a question or comment, send it to editor@advisorperspectives.com. © Copyright 2012, Advisor Perspectives, Inc. All rights reserved. |
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