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.







labor market conditions index - inferior version of ism pmi?





no reason to use this index.

1. short history
2. more noise
3. black box-ish model
4. subject to extensive revisions

if you want more noisy employment data, see nonfarm payrolls
http://runmoneyrun.blogspot.kr/2016/06/noisy-employment-us-economic-cycle.html




change in lmci (quarterly, averaging)
unemployment rate (mom, quarterly, averaging)

change in lmci gives no additional information of employment market at all.





https://research.stlouisfed.org/fred2/graph/?graph_id=312211&updated=9553

The LMCI is derived from a dynamic factor model that extracts the primary common variation from 19, seasonally-adjusted, labor market indicators. Users can read about the included indicators at http://www.federalreserve.gov/econresdata/notes/feds-notes/2014/updating-the-labor-market-conditions-index-20141001.html.

Users of the LMCI should take note that the entire history of the LMCI may revise each month. Three sources contribute to such revisions. The first source is new data that were not available at the time of the employment report. In particular, at the time of the Employment Situation report each month, the quit rate and hiring rate will be missing for the last two months of the sample because the Job Openings and Labor Turnover Survey is published with a longer lag than the model's other indicators. In subsequent months, as these data become available, the LMCI will revise.

The second source of revision comes from revisions to existing data. Many labor market indicators are subject to revision as additional source data become available or to incorporate annual benchmark revisions or updated seasonal adjustment factors. Prominent examples in the LMCI include the three payroll employment series from the Current Employment Statistics program.

The third source of revision is inherent to the model. The LMCI is derived from the Kalman smoother, meaning that the estimate of the index in any particular month is the model's best assessment given all past and future observations. Thus, when a new month of data is added to the sample, the model will revise its estimate of history in response to the new information. In practice, these revisions tend to be modest and concentrated in the most-recent six months of the sample.





http://www.advisorperspectives.com/dshort/updates/Labor-Market-Conditions-Index

http://runmoneyrun.blogspot.kr/2016/05/ism-customer-inventories-as-fast-as-new.html

http://runmoneyrun.blogspot.kr/2016/04/ism-pmi-rebound-by-dollar-and-oil.html


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추가

http://runmoneyrun.blogspot.kr/2016/06/ism-pmi-cumulative.html