Content

背景が赤色で塗りつぶされた時系列チャートについて

  • 以下に示す対象範囲(サンプルサイズ:\(n\))の時系列データについて説明変数を\((1,2 \ldots,n)\)、応答変数を指標値とし、次の2つの条件を満たした場合にチャート背景を赤色で塗りつぶしています。
    • 条件1:“線形回帰係数(傾き)\(=0\)”が有意水準5%で棄却される。
    • 条件2:その残差の“系列相関なし”および“正規性”が有意水準5%で棄却されない。
    • 上述の時系列データの対象範囲は、
      • 日次データ:直近20営業日分
      • 週次データ:直近15週分
      • 月次データ:直近6ヶ月分
      • 四半期データ:直近8四半期分
      • 年次データ:直近5年分

ファンダメンタルズ

  • Source:FRED,Federal Housing Finance Agency,Federal Reserve Bank of Philadelphia,The Regents of the University of Michigan,U.S. Department of the Treasury,ADP, LLC,U.S. Department of Commerce,S&P Dow Jones Indices LLC,American Bankruptcy Institute

雇用統計失業保険フィラデルフィア連銀製造業景気指数ミシガン大学消費者態度指数個人消費支出ADP雇用統計ケース・シラー住宅価格指数外国籍保有米国債建設許可件数[年率換算件数]鉱工業生産国内総生産住宅価格指数住宅着工件数小売売上高消費者信用残高消費者物価指数新築住宅販売件数[年率換算件数,千件]デフォルト率倒産件数不履行率

雇用統計

雇用統計
Date 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12
All Employees: Total Nonfarm Payrolls:Thousands of Persons,Seasonally Adjusted 151,431 151,267 151,074 151,012 150,796 150,643 150,587 150,275
Average Hourly Earnings of All Employees: Total Private:Dollars per Hour,Seasonally Adjusted 27.98 27.9 27.82 27.75 27.71 27.66 27.56 27.53
Average Weekly Hours of All Employees: Total Private:Hours,Seasonally Adjusted 34.3 34.4 34.4 34.4 34.5 34.4 34.5 34.5
Civilian Labor Force Participation Rate:Percent,Seasonally Adjusted 63 62.9 62.8 62.8 63 63.2 63.2 63.1
Civilian Unemployment Rate:Percent,Seasonally Adjusted 3.7 3.7 3.6 3.6 3.8 3.8 4 3.9


失業保険

失業保険
Date 08-10 08-03 07-27 07-20 07-13 07-06 06-29 06-22
4-Week Moving Average of Initial Claims:Number,Seasonally Adjusted 213,750 212,750 212,000 213,250 218,750 219,000 222,500 221,750
Continued Claims (Insured Unemployment):Number,Seasonally Adjusted NA 1,726,000 1,687,000 1,699,000 1,677,000 1,689,000 1,728,000 1,696,000
Initial Claims:Number,Seasonally Adjusted 220,000 211,000 217,000 207,000 216,000 208,000 222,000 229,000


フィラデルフィア連銀製造業景気指数:Philadelphia Fed Manufacturing Business Outlook Survey

フィラデルフィア連銀製造業景気指数:Philadelphia Fed Manufacturing Business Outlook Survey
Date 2019-08 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01
capital expenditures:cefdfsa 22.6 36.9 28 23.3 30.9 19.5 31.7 31.6
delivery time:dtcdfsa 9.3 15 15.6 3.4 -5.1 8.8 13.6 13.4
employment:necdfsa 3.6 30 15.4 18.2 14.7 9.6 14.5 9.6
general activity:gacdfsa 16.8 21.8 0.3 16.6 8.5 13.7 -4.1 17
inventories:ivcdfsa 8.7 8.1 2.4 -3.1 2.6 17.2 3.3 -7.6
new orders:nocdfsa 25.8 18.9 8.3 11 15.7 1.9 -2.4 21.3
prices paid:ppcdfsa 12.8 16.1 12.9 23.1 21.6 19.7 21.8 32.7
prices received:prcdfsa 13 9.5 0.6 17.5 20 24.7 27.7 24.8
shipments:shcdfsa 19 24.9 16.6 27.6 18.4 20 -5.3 11.4
unfilled orders:uocdfsa 9.1 3.7 10.2 1.9 0.4 3.1 6.9 5.4
workhours:awcdfsa 6.8 23 7.3 10.9 11.2 10.6 4.7 6


ミシガン大学消費者態度指数:Michigan Index

ミシガン大学消費者態度指数:Michigan Index
Date 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12
CURRENT INDEX 110.7 111.9 110 112.3 113.3 108.5 108.8 116.1
EXPECTED INDEX 90.5 89.3 93.5 87.4 88.8 84.4 79.9 87
INDEX OF CONSUMER SENTIMENT 98.4 98.2 100 97.2 98.4 93.8 91.2 98.3
Inflation Expectations(%):NEXT 5 YEARS 2.5 2.3 2.6 2.3 2.5 2.3 2.6 2.5
Inflation Expectations(%):NEXT YEAR 2.6 2.7 2.9 2.5 2.5 2.6 2.7 2.7


個人消費支出

個人消費支出
Date 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12 2018-11
Personal Consumption Expenditures:Billions of Dollars,Seasonally Adjusted Annual Rate 14,549.6 14,508.6 14,440.9 14,354.6 14,216.6 14,227.6 14,148.6 14,266
Personal Consumption Expenditures Excluding Food and Energy (Chain-Type Price Index):Index 2012=100,Seasonally Adjusted 111.641 111.365 111.193 110.96 110.894 110.852 110.812 110.616


ADP雇用統計:ADP National Employment Report

ADP雇用統計:ADP National Employment Report
Date 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12
ADP:Administrative & support services(Thousands) 9,553 9,535 9,528 9,526 9,498 9,479 9,447 9,430
ADP:Construction(Thousands) 7,544 7,530 7,535 7,556 7,514 7,508 7,484 7,422
ADP:Education & health services(Thousands) 24,239 24,202 24,148 24,116 24,049 23,993 23,956 23,900
ADP:Education(Thousands) 3,791 3,789 3,776 3,783 3,768 3,761 3,765 3,751
ADP:Financial activities(Thousands) 8,683 8,672 8,665 8,656 8,648 8,643 8,628 8,622
ADP:Goods producing(Thousands) 21,084.42 21,075.18 21,076.25 21,098.73 21,053.31 21,046.65 21,007.17 20,919.69
ADP:Healthcare(Thousands) 20,447 20,412 20,372 20,333 20,281 20,232 20,191 20,149
ADP:Information(Thousands) 2,827 2,832 2,837 2,839 2,839 2,828 2,823 2,833
ADP:Leisure & hospitality(Thousands) 16,740 16,714 16,713 16,698 16,653 16,628 16,602 16,550
ADP:Management of companies(Thousands) 2,443 2,437 2,433 2,431 2,425 2,419 2,412 2,404
ADP:Manufacturing(Thousands) 12,803 12,802 12,795 12,795 12,789 12,791 12,774 12,752
ADP:Natural resources & mining(Thousands) 738 744 746 748 750 748 749 746
ADP:Other services(Thousands) 5,918 5,912 5,908 5,914 5,900 5,889 5,877 5,870
ADP:Prof.l/business services(Thousands) 21,543 21,499 21,474 21,450 21,388 21,350 21,287 21,243
ADP:Professional services(Thousands) 9,548 9,528 9,513 9,494 9,465 9,452 9,428 9,409
ADP:Service providing(Thousands) 107,935.6 107,789.2 107,676.2 107,608 107,398.8 107,247.7 107,067.3 106,891.1
ADP:Total private(Thousands) 129,020 128,864.4 128,752.5 128,706.8 128,452.1 128,294.3 128,074.4 127,810.7
ADP:Trade/transp./utilities(Thousands) 27,986 27,959 27,931 27,935 27,921 27,915 27,894 27,873


ケース・シラー住宅価格指数

ケース・シラー住宅価格指数
Date 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12 2018-11 2018-10
S&P CoreLogic Case-Shiller 10-City Composite Home Price NSA Index 230.12 229.03 227.31 225.82 225.54 226.24 226.88 227.37
S&P CoreLogic Case-Shiller 20-City Composite Home Price NSA Index 216.94 215.66 213.92 212.44 212.13 212.69 213.27 213.68
S&P CoreLogic Case-Shiller U.S. National Home Price NSA Index 209.66 207.91 206.02 204.73 204.47 204.96 205.37 205.62


外国籍保有米国債:Foreign Holders of U.S. Treasury Securities

外国籍保有米国債:Foreign Holders of U.S. Treasury Securities
Date 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12 2018-11
All Countries:Total Holdings(Millions of dollars) 6,582,517 6,471,921 6,363,842 6,410,034 6,311,983 6,256,838 6,203,419 6,137,168
China, Mainland:Total Holdings(Millions of dollars) 1,112,548 1,110,174 1,113,031 1,120,478 1,130,877 1,126,695 1,123,570 1,121,428
Euro Area:Total Holdings(Millions of dollars) 1,064,643 1,043,185 1,020,769 1,032,887 1,018,669 1,014,816 1,011,258 1,026,067
European Union:Total Holdings(Millions of dollars) 1,534,182 1,498,967 1,454,756 1,481,284 1,451,321 1,431,303 1,431,988 1,418,299
Grand Total:Total Holdings(Millions of dollars) 6,636,318 6,539,129 6,433,625 6,473,263 6,374,754 6,324,658 6,256,022 6,199,933
Japan:Total Holdings(Millions of dollars) 1,122,854 1,100,977 1,064,010 1,078,059 1,068,798 1,064,921 1,039,700 1,036,619


建設許可件数[年率換算件数]

建設許可件数[年率換算件数]
Date 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12
New Private Housing Units Authorized by Building Permits - in Structures with 1 Unit(Thousands of Units,Seasonally Adjusted Annual Rate) 838 823 810 786 813 814 821 827
New Private Housing Units Authorized by Building Permits(Thousands of Units,Seasonally Adjusted Annual Rate) 1,336 1,232 1,299 1,290 1,288 1,287 1,316 1,339


鉱工業生産

鉱工業生産
Date 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12
Industrial Production: Electric and Gas Utilities(Index 2012=100,Seasonally Adjusted) 104.8723 101.7248 105.1692 103.2758 106.8378 105.0447 104.3991 103.5903
Industrial Production: Manufacturing (NAICS)(Index 2012=100,Seasonally Adjusted) 105.7423 106.1245 105.5357 105.3615 106.2787 106.3204 106.879 107.4963
Industrial Production Index(Index 2012=100,Seasonally Adjusted) 109.1756 109.4144 109.2243 108.9651 109.6691 109.5631 110.1185 110.5516


国内総生産

国内総生産
Date 2019-04 2019-01 2018-10 2018-07 2018-04 2018-01 2017-10 2017-07
Gross Domestic Product:Billions of Dollars,Seasonally Adjusted Annual Rate 21,337.9 21,098.83 20,897.8 20,749.75 20,510.18 20,163.16 19,918.91 19,611.7
Gross Domestic Product:Percent Change from Preceding Period,Seasonally Adjusted Annual Rate 4.6 3.9 2.9 4.8 7.1 5 6.4 5.4
Real Gross Domestic Product:Billions of Chained 2012 Dollars,Seasonally Adjusted Annual Rate 19,023.82 18,927.28 18,783.55 18,732.72 18,598.13 18,438.25 18,322.46 18,163.56
Real Gross Domestic Product:Percent Change from Preceding Period,Seasonally Adjusted Annual Rate 2.1 3.1 1.1 2.9 3.5 2.5 3.5 3.2


住宅価格指数:House Price Indexes

住宅価格指数:House Price Indexes
Date 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12 2018-11 2018-10
traditional:purchase-only:USA or Census Division:United States:NSA 280.14 277.92 274.88 271.69 269.82 269.62 270.2 269.6
traditional:purchase-only:USA or Census Division:United States:SA 275.03 274.82 273.62 273.17 271.9 270.36 269.11 267.92


住宅着工件数

住宅着工件数
Date 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12
Housing Starts: Total: New Privately Owned Housing Units Started(Thousands of Units,Seasonally Adjusted Annual Rate) 1,191 1,241 1,264 1,270 1,199 1,149 1,291 1,142
Privately Owned Housing Starts: 1-Unit Structures(Thousands of Units,Seasonally Adjusted Annual Rate) 876 865 814 862 833 792 966 814
Privately Owned Housing Starts: 5-Unit Structures or More(Thousands of Units,Seasonally Adjusted Annual Rate) 303 366 438 385 361 352 308 307


小売売上高:Advance Retail Sales

小売売上高:Advance Retail Sales
Date 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12
Retail (Excluding Food Services)(Millions of Dollars,Seasonally Adjusted) 458,340 455,392 454,135 452,232 450,752 442,081 445,249 438,003
Retail and Food Services Excluding Motor Vehicles and Parts Dealers(Millions of Dollars,Seasonally Adjusted) 420,301 416,045 414,635 412,466 410,122 404,352 406,791 397,412
Retail and Food Services, Total(Millions of Dollars,Seasonally Adjusted) 523,514 519,860 518,131 515,545 513,608 504,441 507,222 499,879


消費者信用残高

消費者信用残高
Date 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12 2018-11
Total Consumer Credit Owned and Securitized, Flow:Billions of Dollars,Seasonally Adjusted 14.59591 17.79261 17.48337 9.88525 15.60505 17.03421 11.98325 21.82395
Total Consumer Credit Owned and Securitized, Outstanding:Billions of Dollars,Seasonally Adjusted 4,102.151 4,087.555 4,069.762 4,052.279 4,042.394 4,026.789 4,009.755 3,997.771


消費者物価指数:Consumer Price Index for All Urban Consumers

消費者物価指数:Consumer Price Index for All Urban Consumers
Date 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12
All Items:Index 1982-1984=100,Not Seasonally Adjusted 256.571 256.143 256.092 255.548 254.202 252.776 251.712 251.233
All Items Less Food and Energy:Index 1982-1984=100,Not Seasonally Adjusted 263.566 263.177 262.59 262.332 261.836 261.114 260.122 259.083


新築住宅販売件数[年率換算件数,千件]:Annual Rate for New Single-family Houses Sold

新築住宅販売件数[年率換算件数,千件]:Annual Rate for New Single-family Houses Sold
Date 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12 2018-11
United StatesSeasonally Adjusted All Houses [Thousands of Units] 646 604 658 693 669 644 564 615


デフォルト率

デフォルト率
Date 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12 2018-11
Auto Default Index(%) 0.87 0.87 0.94 0.94 0.99 0.99 1.03 0.93
Bankcard Default Index(%) 3.9 3.9 3.83 3.68 3.48 3.42 3.34 3.09
Consumer Credit Default Composite Index(%) 0.83 0.83 0.88 0.92 0.92 0.9 0.89 0.83
First Mortgage Default Index(%) 0.59 0.59 0.65 0.7 0.7 0.69 0.67 0.64
Second Mortgage Default Index(%) 0.48 0.49 0.57 0.56 0.61 0.56 0.6 0.54


倒産件数

倒産件数
Date 2019-07 2019-06 2019-05 2019-04 2019-03 2019-02 2019-01 2018-12
Chapter 11:Total Filings 417 425 487 443 448 685 366 456
Chapter 13:Total Filings 854 826 902 913 893 843 878 821
Chapter 15:Total Filings 6 10 22 14 9 3 NA 11
Chapter 7:Total Filings 1,952 1,800 2,100 2,088 1,934 1,645 1,694 1,648
Commercial Totals:Business Filings Per Day 148 154 161 159 158 168 141 148
Commercial Totals:Filing Days 22 20 22 22 21 19 21 20
Commercial Totals:Total Filings 3,258 3,076 3,541 3,493 3,308 3,199 2,955 2,962


不履行率

不履行率
Date 2019-01 2018-10 2018-07 2018-04 2018-01 2017-10 2017-07 2017-04
Delinquency Rate on All Loans, All Commercial Banks 1.53 1.53 1.59 1.64 1.7 1.78 1.82 1.84
Delinquency Rate on Commercial and Industrial Loans, All Commercial Banks 1.14 0.96 1 1.06 1.1 1.2 1.28 1.34
Delinquency Rate on Consumer Loans, All Commercial Banks 2.33 2.33 2.29 2.26 2.27 2.24 2.26 2.22
Delinquency Rate on Credit Card Loans, All Commercial Banks 2.59 2.54 2.5 2.48 2.53 2.48 2.53 2.48
Delinquency Rate on Single-Family Residential Mortgages, Booked in Domestic Offices, All Commercial Banks 2.67 2.83 3.01 3.23 3.46 3.57 3.65 3.69


Mr.President, I don’t think so.

  • A strong economic environment can never be achieved by just one person.
  • Comparisons between Obama and Trump.
  • The Obama administration:2009-01-20 - 2017-01-19,2922 days
  • The Trump administration:2017-01-20 ~ 943 days(Until 2019-08-20)
  • Source:FRED,Yahoo Finance,U.S. Department of Commerce


米国市場

  • Daily time series.
  • Source:FRED,Cboe Global Markets, Inc.,MSCI Inc.
Date 08-16 08-15 08-14 08-13 08-12 08-09 08-08 08-07
Dow Jones Industrial Average:Index,Not Seasonally Adjusted 25,886.01 25,579.39 25,479.42 26,279.91 25,897.71 26,287.44 26,378.19 26,007.07
S&P 500:Index,Not Seasonally Adjusted 2,888.68 2,847.6 2,840.6 2,926.32 2,883.75 2,918.65 2,938.09 2,883.98
NASDAQ Composite Index:Index Feb 5, 1971=100,Not Seasonally Adjusted 7,895.994 7,766.617 7,773.938 8,016.359 7,863.41 7,959.141 8,039.156 7,862.824
10-Year Breakeven Inflation Rate:Percent,Not Seasonally Adjusted 1.54 1.54 1.57 1.63 1.61 1.66 1.65 1.62
10-Year Treasury Constant Maturity Rate:Percent,Not Seasonally Adjusted 1.55 1.52 1.59 1.68 1.65 1.74 1.72 1.71
VIX 18.47 21.18 22.1 17.52 21.09 17.97 16.91 19.49
SKEW 115.84 112.52 113.48 117.58 115.15 116.34 117.71 113.96
USA Index - MSCI 2,753.101 2,713.532 2,707.499 2,789.548 2,748.994 2,783.046 2,802.042 2,749.632