Economic Research. Understanding US Economic Statistics B Sixth Edition February, Edward F. McKelvey, Editor

Transcription

1 Economic Research Understanding US Economic Statistics Sixth Edition February, 2008 Edward F. McKelvey, Editor B Important disclosures appear on the back cover of this publication.

2 Table of Contents I. Introduction to the Sixth Edition 1 II. Economic Data Their Special Quirks 2-9 Revisions: Why They Occur; How to Deal With Them 2 A Primer on Seasonal Adjustment 3 Exhibit A: Seasonal Factors for Housing Have Moderated 5 Exhibit B: Retail Sales Correlated With Heating Days 6 Growth Rates Sequential versus Year-to-Year Change 8 Exhibit C: How Sequential Growth Rates Affect Annual Averages 9 III. Which Economic Data Have the Biggest Impact on Financial Asset Prices? Exhibit A: Equity Market Movers 12 Exhibit B: Fixed-Income Market Movers 13 Exhibit C: Exchange Rate Movers 14 IV. GS Proprietary Economic Indexes The Goldman Sachs Financial Conditions Index (GSFCI SM ) 15 Exhibit A: Lots of Ways to Move the GSFCI SM 100 Basis Points 17 The Goldman Sachs Analyst Index (GSAI) 18 Exhibit B: The GSAI and GDP Growth Reasonably Correlated 20 Exhibit C: The GSAI vs. ISM Mfg Correlated but Noisier 20 The Goldman Sachs Surprise Index (GSSI) 21 Exhibit D: GSSI Components Payrolls, GDP, ISM Top the List 22 Exhibit E: The GSSI Correlates Well With 2-Year Yields 23 V. GS US Economic Publications and Forecasts Publications 25 Forecasts 26 VI. National Output and Income Gross Domestic Product (GDP) 27 Personal Income " 29 Corporate Profits 30 Exhibit A: From NIP A Profits to S&P 500 Earnings Per Share 32

3 VII. Sectoral Production, Orders, and Inventories ISM Report on Business Manufacturing 33 ISM Report on Business Nonmanufacturing 34 ISM Semiannual Reports. 35 Chicago Business Barometer 36 Federal Reserve Surveys of Business Conditions 36 Exhibit A: A Cook's Tour of Regional Fed Surveys 3 7 Philadelphia Fed Business Outlook Survey 38 Empire State Manufacturing Survey 38 Richmond Federal Reserve Bank Survey 39 Kansas City Federal Reserve Bank Manufacturing Survey 40 Current Economic Conditions ("Beige Book") 40 NFIB Small Business Optimism Index 41 Durable Goods Orders (Advance Report) 42 Manufacturers' Shipments, Inventories, and Orders 43 Industrial Production 44 Capacity Utilization 45 Manufacturing and Trade Inventories and Sales 46 Composite Index of Leading Economic Indicators 47 VIII. Consumer Spending and Confidence Retail Sales 49 Personal Consumption Expenditures (PCE) 51 Unit Auto and Truck Sales 52 ICSC/UBS Warburg Retail Sales Index 52 Johnson Redbook Report 53 Goldman Sachs Retail Index (GSRI) 54 Consumer Confidence (Conference Board) 54 Consumer Sentiment (Reuters/University of Michigan) 55 ABC News Consumer Comfort Index 57 Other Measures of Consumer/Investor Confidence 57 IX. Housing and Construction Housing Starts and Building Permits 58 New Single-Family Home Sales 59 Existing Home Sales 60 Pending Home Sales Index (PHSI) 61 Construction Spending 62 Housing Market Index 63 Mortgage Applications Indexes 64

4 IX. Housing and Construction (continued) Mortgage Delinquencies and Foreclosures OFHEO Home Price Index S&P/Case-Shiller Home Price Indexes Housing Vacancies and Homeownership Rate X. Foreign Trade and International Capital Flows International Trade Balance Current Account Balance Treasury International Capital System (TICS) XI. Employment The Employment Situation ADP National Employment Report Unemployment Insurance Claims Manpower Employment Outlook Survey Challenger, Gray and Christmas Layoff Announcements Help-Wanted Advertising Index Monster Employment Index Job Opening and Labor Turnover Survey (JOLTS) Business Employment Dynamics (BED) XII. Prices, Wages, and Productivity Consumer Price Index (CPI) Exhibit A: CPI Relative Importance Weights PCE Price Indexes Exhibit B: CPI vs. PCE Price Indexes GDP-Based Price Indexes Employment Cost Index (ECI) Productivity and Costs Producer Price Index (PPI) Exhibit C: PPI Finished Goods Relative Importance Weights Goldman Sachs Commodity Index (S&P GSCI ) Exhibit D: S&P GSCI Components and Dollar Weights Reuters/Commodity Research Bureau (CRB) Indexes Import and Export Prices

5 XIII. Monetary and Financial Data Monetary Aggregates 95 Monetary Base 96 Senior Loan Officers' Survey 97 Flow of Funds 98 Consumer Credit 99 Household Debt and Financial Obligations Ratios 100 XIV. Federal Reserve Policy Federal Open Market Committee 102 FOMC Policy Statements 102 FOMC Minutes and Transcripts 103 Monetary Policy Testimony and FOMC Forecasts 104 Open Market Operations 105 Discount Rate 107 Term Auction Facility (TAF) 108 Reserve Requirements 110 XV. Federal Government Finances Federal Budget Balance 111 US Treasury Borrowing Schedule ' 111 Exhibit A: Treasury Securities Auction Cycle 112 Federal Debt Limit 113 Auction Techniques 114 Index