Inflation Forecast Update
The Inflation Forecast now incorporates actual total and core Consumer Price Index data for April 2012. The actual total (core) inflation rate for April is slightly lower than (slightly higher than) forecasted. The new actual and forecasted inflation r...
Dueling Consensus Forecasts of Economic Indicators [PREMIUM]
Which consensus forecast of U.S. economic indicators is best? How does the U.S. equity market react to consensus forecast errors? In their April 2012 paper entitled “Market Reaction to Information Shocks: Does the Bloomberg and Briefing.com Surve...
Unemployment Rate and Stock Returns
The business media and expert commentators sometimes cite the U.S. unemployment rate as an indicator of economic and stock market health, generally interpreting a jump (drop) in the unemployment rate as bad (good) for stocks. Is this indicator in fact ...
Employment and Stocks Over the Intermediate Term
U.S. job gains or losses are a prominent element of the monthly investment-related news cycle, with the the business media and expert commentators generally interpreting changes in employment as an indicator of future economic and stock market health. ...
ADP Employment Report and Stock Returns
Since May 2006, the monthly ADP National Employment Report has presented “estimates of nonfarm private employment…constructed from ADP’s data on payrolls following a procedure similar to that used by the BLS [Bureau of Labor Statistic...
Personal Savings Rate and the Stock Market
In a past entry in his blog, guru Marc Faber observes: “There seems to be an inverse relationship between the savings rate and the stock market performance. When the savings rate is declining it is favorable for equities whereas when savings rate...
Economic Announcements and VIX [PREMIUM]
Do economic announcements systematically remove uncertainty from financial markets and thus reliably lower implied volatility indexes? In their September 2010 paper entitled “The Impact of Macroeconomic Announcements on Implied Volatilities”...
Do Homebuilders Lead the Market?
...evidence from a simple analysis of historical stock prices does not support a belief that homebuilder stocks are early warning indicators for equities in general.
Alternative Yield Discount (Inflation) Rates
...the PCE-based inflation rate may be a very slightly better indicator for the stock earnings yield than the total BLS inflation rates.
Credit Spread as a Stock Market Indicator
...evidence from simple tests does not support a belief that the credit spread is a reliably useful indicator of future stock market behavior.
Election Season Stock Market VIX Drivers [PREMIUM]
Does political drama take over as the principal driver of U.S. stock market implied volatility during election seasons? In their March 2012 paper entitled “U.S. Presidential Elections and Implied Volatility: The Role of Political Uncertainty...
Election Season Stock Market VIX Drivers [PREMIUM]
Does political drama take over as the principal driver of U.S. stock market implied volatility during election seasons? In their March 2012 paper entitled “U.S. Presidential Elections and Implied Volatility: The Role of Political Uncertainty...
