Proprietary Toolkit

ASR’s Proprietary Macroeconomic Datasets

Full methodology notes are available to clients upon request.

 

ASR Leading Indicators

Provide a lead of around 6-12 months on the business cycle in Europe, the US, and Asia. Compared with the OECD leading indicators, our metrics provide a longer lead on the cycle as well as excluding all market-based indicators.

 

ASR Surprise Indicators

The ASR Surprise Indicators measure the extent to which economic data have deviated from the expectations of professional forecasters on a daily basis over the previous quarter, providing a timely and high frequency indicator of economic news. In contrast to some other Surprise Indicators we do not use weights to aggregate our indicators, in order to capture a more pure measure of surprise.

 

ASR NewsFlow Indicators

Created by querying the Factiva database of news articles, searching for stories relating to economics, earnings, revenues, labour market, inflation and monetary policy. Stories about deterioration are netted off against stories of improvement to create the NewsFlow Indicators. The six components are then aggregated into a Composite.

 

ASR Expectations Indicators

Provide a real-time indication of analysts’ economic expectations. The indicators measure a broader definition of ‘economic activity’ but work well as a real-time daily series of Consensus GDP forecasts. Our Expectations Indicators are constructed in a broadly similar way to the Surprise Indicators. Median consensus forecasts are taken for the same set of variables as are used in the surprise indicators, and these are then normalised and aggregated using equal weights

 

ASR Business Cycle Indicators

The ASR Business Cycle Indicators (BCIs) classify the current stage of the business cycle in real time (i.e. recovery, mid cycle, late cycle and recession). They capture a cycle lasting between three and ten years from peak to trough and are based on five underlying components: the investment to GDP ratio, unemployment rate, corporate margins, consumer willingness to buy durable goods, and growth in credit to the private sector.

 

ASR Financial Stress Indicators

Seek to capture stress in the banking sector, equity and foreign exchange markets. We use seven components to create the overall FSI banking sector beta, Ted spreads, inverted term spreads; corporate spreads, stock market returns, time-varying stock volatility and time-varying real effective exchange rate volatility. We identify episodes of ‘financial stress’ as extreme values of the composite FSI, where the index is greater than one standard deviation away from its historic trend.

 

ASR Global Bank Lending Survey Indicators

Seek to capture how the demand for, and the supply of, bank credit is evolving globally. We use principal component analysis to extract the ‘global’ component in the underlying responses to the four major Bank lending Surveys (US, Eurozone, Japan and UK).

 

ASR Global Liquidity Leading Indicators

Designed to provide a lead of around 18 months on the cost of credit and the global credit cycle. In our global liquidity framework, monetary and financial conditions in major financial centres drive the supply of liquidity, which is then transmitted internationally through global players to eventually influence domestic financial conditions.

 

ASR Financial Cycle Indicators

Provide a guide to underlying cyclical momentum in the financial economy. They capture a financial or ‘leverage’ cycle lasting between eight and thirty years from peak to trough. We use three components to create the overall FCI credit to the private non-financial sector, the ratio of credit to GDP (leverage) and residential property prices.

 

Risk Diffusion Indicator Captures the change in 25 risk indicators over different time frames. It is calculated as the sum of indicators that rose (‘risk on’) minus the sum of indicators that fell (‘risk off’) as a percentage of the total number of indicators monitored. These indicators intend to capture broad macro-financial risks, such as monetary and financial risks, market and liquidity risks, credit risks, emerging market risks and also risk appetite. The indicator should help the reader to identify how investors’ attitude to risk is evolving and when it has become extended.