The Experimental Index of Coincident Indicators (XCI) fell slightly to 243.9 in June from 244.2 in May, based on the most recently available data. However, the June XCI remains above its April value of 243.6. During the three months from March to June, the XCI grew 2.5% at an annual rate, while during the three months from December to March, the XCI grew 4.6% at an annual rate. Over the six months from December to June, the XCI grew 3.5% at an annual rate.
The Experimental Leading Index (XLI) for June is 3.1. This index, based on seven leading indicators, is a forecast of the percentage growth of the XCI (at an annual rate) over the next six months, from June to December. The June XLI forecasts continued growth at a rate slightly below that of the past six months.
Of the indicators used to calculate the XLI, only one made a positive contribution to the index, relative to trend: manufacturers' unfilled orders. Five of the indicators made negative contributions to the index, relative to trend: housing authorizations (building permits); exchange rates; part-time employment due to slack work; the premium on 3-month commercial paper over 3-month U.S. Treasury bills; and the spread between the yield on 10-year vs. 1-year U.S. Treasury bonds. The yield on 10-year U.S. Treasury bonds made no net contribution, relative to trend.
Based on the most recent data, the Experimental Recession Index (XRI), which estimates the probability that the economy will be in a recession six months later, was 4% in June, indicating a 4% probability that the economy will be in a recession in December.
The alternative experimental recession index (the XRI-2), which is based on seven leading indicators that do not include interest rates or interest rate spreads, estimates a 8% probability that the economy will be in a recession in December.
Figure 4 shows the probability that the economy will be in a recession during each of the months from June to December, computed using data through June. Based on the data through June for the variables in the XRI, the probability that the economy was in a recession in June is 1%, the probability of being in a recession in July is 1%, and the probability of being in a recession in December is 4%. Based on the variables in the XRI-2, the probability that the economy was in a recession in June is 1%, the probability of being in a recession in July is 3%, and the probability of being in a recession in December is 8%.
For further information contact:
James Stock phone: (617) 496-0502 email: james_stock@harvard.edu
Mark Watson phone: (609) 258-4811 email: mwatson@princeton.edu
| Experimental Leading Index (XLI) | 3.1 |
| Experimental Recession Index (XRI) | 4 % |
| Experimental Coincident Index (XCI) | 243.9 |
| Nonfinancial Experimental Recession Index (XRI-2) | 8 % |
| Series | Contribution |
|---|---|
| Housing starts (building permits) | -0.8 |
| Manufacturers' unfilled orders (durable goods industries) | 1.3 |
| Trade-weighted exchange rate | -0.1 |
| Part time work | -0.4 |
| Interest rate on 10 year U.S. Treasury bonds | 0.0 |
| Interest spread: 3 month commercial paper minus 3 month T-bills | -0.4 |
| Interest spread: 10-year minus 1-year Treasury bonds | -0.4 |
| Trend | 3.9 |
| 00:05 | 00:04 | 00:03 | 00:02 | 00:01 | 99:12 | 99:11 | 99:10 | 99:09 | 99:08 | 99:07 | 99:06 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| XLI | 1.7 | 2.7 | 3.3 | 4.1 | 5.0 | 3.9 | 3.0 | 2.7 | 1.8 | 3.1 | 3.3 | 3.4 |
| XRI | 9 % | 3 % | 2 % | 2 % | 2 % | 4 % | 6 % | 9 % | 15 % | 6 % | 5 % | 4 % |
| XCI | 244.2 | 243.6 | 242.4 | 241.5 | 241.1 | 239.7 | 238.7 | 237.7 | 236.1 | 236.3 | 235.7 | 235.0 |
| XRI-2 | 8 % | 8 % | 6 % | 4 % | 3 % | 4 % | 4 % | 5 % | 5 % | 5 % | 5 % | 5 % |
| Components of the Experimental Leading Index | ||||||||||||
| Housing BP | -1.3 | -1.1 | -0.8 | 0.3 | 1.2 | 0.7 | 0.5 | -0.3 | -0.7 | 0.3 | 0.5 | 0.3 |
| MD Unf Ord | 0.8 | 0.5 | 0.4 | 0.5 | 0.6 | 0.5 | -0.1 | -0.3 | 0.0 | -0.0 | -0.1 | -0.1 |
| Exchange Rates | -0.1 | -0.0 | -0.1 | -0.0 | 0.1 | 0.2 | 0.4 | 0.4 | 0.0 | -0.2 | -0.2 | -0.1 |
| Part Time Wk. | -0.7 | -0.1 | 0.1 | 0.0 | -0.4 | -0.4 | -0.3 | 0.0 | 0.2 | -0.2 | -0.2 | -0.3 |
| 10yr TBond Rate | 0.1 | 0.3 | 0.2 | -0.1 | -0.3 | -0.2 | -0.1 | -0.1 | -0.0 | -0.1 | -0.2 | -0.3 |
| 3mtCP,3mtTB Spr | -0.9 | -0.6 | -0.1 | -0.1 | -0.2 | -0.7 | -1.1 | -1.2 | -1.4 | -0.5 | -0.3 | -0.3 |
| 10yrTB,1yrTB Spr | -0.2 | -0.4 | -0.5 | -0.4 | -0.1 | -0.1 | -0.2 | -0.1 | -0.1 | -0.0 | -0.0 | 0.1 |
| Trend | 4.1 | 4.2 | 4.1 | 4.0 | 4.1 | 3.9 | 3.9 | 4.2 | 3.8 | 3.9 | 3.9 | 4.0 |
