payroll employment, orders of durable goods, the balance of trade, initial unemployment claims, the NAPM index
, retail sales, consumer confidence, and advance GDP significantly affect all exchange rates studied.
Note that the NAPM index, factory orders, nonfarm payrolls, Consumer Price Index (CPI), retail sales, industrial production, consumer confidence, durable goods orders, and FOMC announcements have significant coefficients for most maturities.
The coefficients for NAPM index, nonfarm payrolls, and retail sales reject both equality restrictions and exhibit a clear humpshaped path peaking at two-year maturities.
Nor is there any direct correlation between concurrent observations of Ohio's unemployment rate and the NAPM index
for this period.
A particularly promising result from the survey was the new-orders component of the NAPM index
, which rose sharply to 53.1, from 46.3 in July.
Dealers said the weak NAPM index
made the market slightly pessimistic about the U.S.
The NAPM index
for last month is just below the 56.3 reading expected by analysts.
data on business conditions appear to have applications in all three areas.
Each indicator is measured by its market significance: very high (employment and GDP); high (CPI, NAPM index
, producer price index, and retail sales); moderate to high (durable goods new orders and housing starts), moderate (motor vehicle sales, consumer confidence, employment cost index, home sales, industrial production, international trade, personal income and expenditures, productivity and costs, and unemployment insurance claims); and low (business inventories, construction expenditures, consumer credit, the cyclical indicators, the federal budget, and manufacturers' new orders, sales and inventories).
* The NAPM index
measures the percentage of manufacturing firms reporting higher material prices, plus half the percentage of those firms reporting no change in prices.
These macroeconomic data series are the consumer price index (CPI), the CPI excluding food and energy (core CPI), the producer price index for finished goods (PPI), nonfarm payroll employment, retail sales, and the NAPM index
. (1) Sack matches the on-the-run 10-year TIIS with a portfolio of nominal Treasury STRIPS (Separate Trading of Interest and Principal Securities) that replicates the pattern of expected payments of the TIIS.
Correlation coefficients from a comparison of NAPM indexes
to changes in aggregate measures of manufacturing activity provide a rough benchmark of the degree of correlation that might reasonably be expected in the Richmond survey.