Tuesday, June 7, 2016

ism pmi cumulative, lcmi cumulative




1. cumulative sum of labor market conditions index
2. cumulative sum of (ism pmi - 51.89791(mean of the period))


http://runmoneyrun.blogspot.kr/2016/06/labor-market-conditions-index-inferior.html
http://www.advisorperspectives.com/dshort/updates/Labor-Market-Conditions-Index


lmci is not yet useful.
but cumulation of index is a interesting idea.

i applied that idea to ism pmi.

5 recessions/10 peaks


cumulative index of ism pmi shows pre-recession peak sometimes.
still 50% of false positive rate is not negligible.


but term spread does not shows false positive since 1960s.

http://runmoneyrun.blogspot.kr/2016/06/noisy-employment-us-economic-cycle.html


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참고

http://danskeresearch.danskebank.com/abo/FlashCommentLMCIindex071014/$file/FlashComment_LMCIindex_071014.pdf

왜 굳이 더해서 보나 했는데 이 지표가 발표된 시기부터 고용시장이 보기보다 빡빡하다는 것을 보여준다고 믿는 사람들이 많았던 듯하다.







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