This PDF is a selection from an out-of-print volume from the National Bureau of Economic Research

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1 This PDF is a selection from an out-of-print volume from the National Bureau of Economic Research Volume Title: Signals of Recession and Recovery: An Experiment with Monthly Reporting Volume Author/Editor: Julius Shiskin Volume Publisher: NBER Volume URL: Publication Date: 1961 Chapter Title: Appendix B: Measures of the Cyclical Behavior of Selected Business Cycle Series Chapter Author: Julius Shiskin Chapter URL: Chapter pages in book: (p )

2 Appendix B Measures of the Cyclical Behavior of Selected Business Cycle Series MONTHLY AMPLITUDES AND RELATED MEASURES The measures shown in Table B-i relate only to the monthly series used in this report. A brief definition of these measures is given below; more complete explanations appear in my "Electronic Computers and Business Indicators," Business Cycle Indicators, Volume I, Chapter 17. is the average month-to-month percentage change without regard_to sign in the seasonally adjusted series, I is the same for the irregular component. C is the same for the cyclical component which is a smooth, flexible moving average. represents months for cyclical dominance. Percentage changes of the irregular and cyclical factors are computed for consecutive months (January-February-March, etc.), two-month spans (January-March, February-April, etc.), three-month spans (January- April, February-May, etc.), and so on. MCD is the first interval of months for which the average (without regard to sign) percentage change of the irregular factor is less than that of the cyclical factor and remains so. I/C is a measure of the relative smoothness (or irregularity) of the seasonally adjusted series. It is shown for one-month spans and for spans of the period of MCD. This ratio is approximately equal for all periods except where MCD is one, in which case the I/C ratio may be relatively low, orwhere MCD is given as six but is really greater, in which case the I/C ratio may be relative.ly high. The program does not compute the I/C ratio for the MCD period when this period is greater than six. Average duration of run is a measure of smoot.hness, and is equal to the average number of consecutive monthly changes in the same direction, disregarding zeros, in any series of observations. 142

3 TABLE B-l MONThLY AMPLITUDES AND BELA't'EI) 1\4EASUIIES FOR MONTHLY ]IusINEss CYCLE I he MCD I/C [or MCD Curvc Average Duration of Run CI I C MCD Leading Series 1. Average workweek, nilg Accession rate, mfg Nonagricultural placements, total Layoff rate, nifg , Temporary layoffs Initial claims Mfrs.' new orders, c.hirables Mfrs.' new orders, mach. and equip Construction contracts, comm. and indus. build ] New iiwcstinent orders and contracts ( , Buying policy, capital expend New private nonfarm dwelling units New pvt. housing units, bldg. pen'nits ' Net change, no. of businesses New l,usiness incorporations Liab. of bus, failures Large business Failures Price-labor cost index Index oi stock prices , Buying prod, mater '32. Vendor perfoniiancc Industrial materials prices Roughly Coincident Series 41. Employees in nnnagric. establish I Total nonagric. employment Uncmploynicnt rate Unemployed, number of Insured unensployrncnt 5.6; Help-wanted advertising (continued)

4 TABLE U-i (concludedl I/C Average l)uraliort of Run I i/c MCI) MCI) C MCD Curve p47. Industrial production index Bank debits outside NYC Personal income () Labor income, induxtnal Sales of retail stores , Wholesale pricc index (cxci. farm anti foods) ( Lagging Series 62. Labor cost/unit of output MIrs.' invcntorics, total ( MIrs.' inventorics, finished goods Consumer instalment debt 1.31) I ( Other U.S. Series with Business Cycle Sie,iificance 81. Index of consumer prices , Payments to the public 7.17 ( Receipts from the public Exports, total U.S., cxci, military , Imports, total U.S., general : cunstr. contracts, total value , )clcnsc Dept. oblig., procurement Defense l)cpt. oblig., total 15.8$ 15,31 3.1) Military contract awards International Corn pririsons of lurlustrial Prothiction 121. O.E.E.C countries (1: United Kingdom France ! ( United States Germany ,15 1, Italy Canada Japan iiii'luilc'd in the National ltiirea,i 196 list 1 2 indicators. 1 I

5 The summary measures in Table B-i were computed by a special adaptation of the standard time series program which bypassed the seasonal adjustment routine because the series either had been seasonally adjusted previously or were free of season ality. This is accomplished by using the standard program with a subroutine, which substitutes a series of numbers equal to 1 for each of the seasonal factors after they are computed. As a result, the original observations (here seasonally adjusted series or series free of seasonality) reappear in the table (13) of the computer program showing the final seasonally adjusted series, and, therefore, all the subsequent operations are performed on these observations. A program to compute similar measures for quarterly series is being prepared. LEADS AND LAGS The leads and lags of each business cycle series are shown in Table B-2 for the period since These show the number of months by which each specific cycle peak or trough in each series leads or lags behind the corresponding business cycle peak or trough. For quarterly series, the intervals are from the midmonth of the speciflc peak or trough quarter to the business cycle peak or trough month. For an explanation of the procedures used in identifying specific cycle turns and matching them with business cycle turns, see Arthur F. Burns and Wesley C. Mitchell, Measuring Business Cycles, New York, NBER, 1946, pp and The leads and lags for the period before World War II are given for most of these series in Business Cycle Indicators, Volume I, Appendix B, pp For summary measures of leads and lags pertaining to the entire period covered by the series, see Table 1 in the text.

6 TABLE B-2 LEADs ( ) ( -f- ) oir SIxTY-Two-' ULISINISS INI)ICATOHS, Series Nov From llii.cinr's.s Cycle i'cak From 13,,sincss Cycle July 1953 July 1957 May 196 Oct. 149 Aug Apr. 158 ( ni o n t Ii s LEADING SERIES Sensitive Em plo tpnent and Unemplorjmen t Indicators *1. Average workweek, manufacturing (M) nc Accession rate, manufacturing (M) Nonagric. placcnicnts, all industries (M) Layoff rate, manufacturing (M)b Temporary layoffs, all industries (M)b Initial claims for unemploy. insurance, state programs New Investment Commitments Mfrs.' new orders, durable goods (M) MIrs.' new orders, macli. and equip. (M) , Construction contracts, consmcr. and indus. build. (M) nc. 1. New investment orders and contracts (M) n.a Newly approved capital appropr., 62 mfg. corp. (Q) n.a. 27. Buying policy', capital expenditurcs, NAPA (M) n.a. 17 n.a. 7, New nonfarm dwelling units started (M) New private housing units, local build, permits (M) n's. a. 18 Netv Bi,rimsesscs and Business Failures 12, Net changes in operating businesses (M) New business incorporations, no- of (M) Current liabilities, business failures No. of large business failures (M)b rue

7 Pro/its and Stock Prices 16 Corporate profits after taxes (Q) 17. Price-labor cost index (M) 18. Prolts (before taxes) per $ of sales, all mfg. corp. (Q) 19. Index oi stock prices, Standard and Poor's (M) tnventorij Investment, Buying Policy, and Sensitive Prices 21. Change in business inventories (Q) 31. Changes in book value of mfg. and trade inventories (M) 2. Changes in 1)k value of mfrs.' inventories, purchased materials (M) 26. Buying policy, production materials, NAPA (M) 32. Vendor performance, Chicago PAA (M) 25. Change in rnfrs.' unfilled orders, durable goods (M) 23. Index of industrial materials prices (M) ROUGHLY COINCIDENT SERIES &flploijtlicflt and Unemployment 41. Employees in nonagric. establishments (M) 42. Total non agric. employment, labor force survey (M) 43 Unemployment rate (M)h 44. Unemployed, number of (M)b 45. Average weekly insured unemployment, state programs (M)b 46. Help-wanted advertising in newspapers (M) Production and Demand O 57. Jnclex of industrial production (M) Gross national product in current dollars (Q) Gross national product in 1954 dollars (Q) Final purchases (Q) Income, Trade, and Prices 51. Bank debits outside New York City (M) 52 Personal income CM) (continued) n_c l I-i

8 -S TABLE B-2 (concluded) Froni Business Cr1dc I'cak From Business Cycle Trough Nov. July July May Oct. Aug. Apr. Series ( m o n t Ii s 53. Labor income in mining, infg., and construe, (M) 54 Saics of rctnil stores (M) 1 n.c Index of wholesale prices cxci. farm and foods (M) - ri.c n.c. 7 LACCINC SERIES 61. I3usincss cxpcnclit., new plant and equip. (Q) Wagcandsaiarycostpcrunitofoutput,mfg. (M) Labor cost pcr dollar of real CNP (Q) Manufacturers' inventories, book value (M) + 3V '/ ½ '65. Mfrs.' inventories, finished goods, 1)k value (M) + 5V V2 + 1V2 + 9½ 66 Consumer instalment debt (M) + 7V2 + lt/2 5½ 67. Bank rates on short-term business loans (Q) OTILET1 U.S. SERIES WITH RUSINESS CYCLE 81. Consumer price index (M) Federal cash payments to the public (M) Federal cash receipts from the public (M) Net federal cash surphis or deflcit (M) Rate of change in total U.S. money supply (M) Free reserves (M)b n.c n.c U.s. exports, total, excl. military (M) U.S. general imports, total (M) + I Merchandise trade balance (M)b receipts or payments in U.S. balance of payments (Q) n.a Index of construe. contracts, total value, Dodge (M) timing comparisons have been made for the seven foreign industrial production indexes (series ); the three Defense Department series (9-92) have been omitted because of their brevity and the irregularity of their movements. bspeeiflc cycle troughs are compared with business cycle peaks and specific cycle peaks with business cycle troughs. Serics included in the National Bureau's 196 list of 26 indicators. = no corresponding turn. n.a. = not available