A U.S Weekly Leading Economic Index

RecessionALERT.com has constructed a Weekly Leading Economic Index (WLEI) for the U.S Economy that draws from over 50  time-series from the following broad categories

  1. Corporate Bond Market Composite
  2. Treasury Bond Market Composite
  3. Stock Market Composite
  4. Labor Market Composite
  5. Credit Market Composite

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Being a weekly growth index, it provides data with at most a 1-week lag, which is far more timely than the lag found on monthly economic indicators. Additionally, it is published on Thursday afternoons, a full 18 hours before the widely known ECRI Weekly Leading Index.

As with all weekly indices though, the data is far more volatile than monthly or quarterly indicators and the WLEI components are  therefore subject to more false positives (calling recession when one does not occur.). The WLEI is heavily weighed toward financial market data, but the obvious advantage of this is that data revisions are minor and isolated to the Labor Market Composite and small portions of the Credit Market Composite.

The WLEI is a growth index and is compared below to the long-standing ECRI WLIg growth metric below:
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The WLEI in its current format has been running in-sample for 2 years with our subscriber base and this forms the first public release of the index. The WLEI is a work in progress since we have avoided temptation to include monthly data or weekly data of a long-leading nature (such as the Yield-Curve or Mortgage data). The last point is important since we include only data that is of a medium to short-leading nature and do not need to offset long-leading data by wide margins such as 52 weeks to achieve data alignment.

Despite its obvious usefulness, the index is new and we also do not believe the 5 major categories in the WLEI may be broad enough to properly encapsulate all manner of recessions likely to be encountered into the future. For this we consult our monthly Short Leading Index, monthly Long Leading Index and various other recession models we have designed (see “Risk of U.S Recession.“) As such we expect additions to the 5 major components of the WLEI over time as our research uncovers additional useful weekly-only data.

The public can download WLEI Ver 1.0 from the home page on RecessionALERT.com, and subscribers can download and get access to all the WLEI components and diffusion data from the Charting menu in the MACRO tab as shown below:
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About Dwaine Van Vuuren

Dwaine has a Bachelor of Science honors degree and is a full-time trader and investor. His passion for numbers and keen research & analytic ability has helped grow RecessionALERT into a company used by hundreds of hedge funds, brokerage firms and financial advisers around the world.

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