Volatility? You bet!!!
Only nine days ago, we lamented a severe revision-related drop in the Philly Fed’s Business Conditions Index. Incredibly, its most recent revision pushed it to an opposing extreme, well short of the potentially recessionary territory it appeared to be in over the last couple of weeks:
The resulting whiplash motivated us to take a look at the historical data to see if its current volatility is out of the ordinary. Using the “tentacles spreadsheet” (.zip file containing a large Excel spreadsheet), we calculated an interquartile range (75th percentile less 25th percentile) across the vintages for each day, and smoothed it using a five year moving average. The result is a visual stunner:
The dotted line shows the median interquartile range for the data. The current five year average is over three times its median value.
The essential message would appear to be “Kiss your sweet moderation goodbye.”
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