I often analyze the volume of U.S. train car activity released by the Association of American Railroads, hoping to find some magical predictive power over equities, manufacturing, IP, etc…, but what I usually end up with is a mediocre coincident indicator. While in some isolated incidents the index can exert considerable forecasting prowess, volatility and […]
Archive:
May 2010
The AUD/JPY exchange rate, commonly used as a carry trade to take advantage of stark interest rate differentials between the two countries, is also a measure of investor risk. For that reason it may surprise some of you to learn the cost of the Australian Dollar in terms of the Japanese Yen is tightly correlated […]
Now that the extended first time home buyer credit is history, so is whatever impact it once had on home sales. The good news is that data indicates the extended program had only a modest impact, especially compared to the original incentive; this however is also the bad news. A recent, albeit modest, jump in home sales […]
As the chart below illustrates, Chinese inflation has risen above levels where over the past five years Chinese authorities reacted with significant hikes in the country’s benchmark deposit rate. Yet, Chinese authorities may delay a hike, at least for the moment, to measure the effectiveness of targeted policies at the property sector and several increases […]
A slipping Euro isn’t the only indicator hinting that Europe’s unprecedented bailout may be insufficient to ease market fears over the developing debt crisis. 3M LIBOR (the intra-bank borrowing rate for USDs) has again begun to tick upward, albeit modestly; halting a retrenchment in the 3M TED spread. The spread has average 18.8bps over the […]
Since the announcement of Europe’s unprecedented rescue package late last night, the Euro rallied to as high as almost 1.31/USD off of a low of 1.2529 on May 6th. However, as the dust settles from Europe‘s nuclear option to address the continents widening debt crisis, lingering risks are reemerging as the Euro shows signs of weakness […]
Europe’s rapidly escalating out-of-control debt crisis has brought about a rare occurrence, solidarity amongst its members; an elusive attribute in the European experiment. Eurozone members, who have worked tirelessly over the weekend, appear to have agreed on creating a $645bn loan package to help defend its currency and stymie fears of Greek contagion to other […]
Fear is beginning to seep into the European financial system with LIBOR rates edging up; leading to a sharp rise in the three month TED Spread (tracking 3M LIBOR against 3M US Treasuries). While nowhere near its crisis high of over 450bps, the TED Spread has enlarged to 32bps from just 19bps on May 3rd. […]
As tomorrow morning’s employment report approaches I wanted to take a quick look at the relationship between the four week moving average of initial jobless claims and the change in payrolls. As a general rule of thumb significant sustained job growth cannot occur until claims move below 400K. However, in March payrolls grew at 162K, […]
As the crisis in Europe continues to spiral out of control, I wanted to take a look at the cost of insuring against default for the PIIGS (Portugal, Italy, Ireland, Greece, and Spain). As you can see from the chart below, over the past several weeks 5Y CDS for the PIIGS has risen substantially, with […]