Spot The 'Different This Time' Seasonal Fudging In Macro Data

Tyler Durden's picture

We have noted the odd cyclicality in macro data (and its leading effect on the market) and it seems Goldman Sachs has also noticed that something is different this time. For 15 years, the seasonal patterns in Goldman's macro index have been mild to totally negligible; but since 2009, something changed. As the chart below indicates, it really is different this time as the macro cycle has become extremely short and consistent (drop in H1, rise in H2) - and is evident not just top-down but bottom-up in payrolls and ISM for instance. Goldman expounds pages of statistical jiggery-pokery to show what we suspected - that this is not weather or seasonality effects, and is not just US (UK and Europe see same pattern of six month cycles); but appears driven by central-bank policy actions (which have been more concentrated in Q4/Q1). 2013 is playing out exactly as the last three years has - with a downdraft that is set to continue for the next few months - though they note that stability in oil prices this time (and recent expansion of easing efforts - Fed and BoJ) may shift the pattern. For now, it appears the macro cycle is becoming shorter and warrants concern as they are unable to find anything but 'reality' as a driver of this odd cyclical pattern as the real economy fades rapidly after each and every infusion of promises from the Central Banks.

 

US Macro data is following the same downward path as we have seen for the last three years...

 

which is a very different pattern than we are used to seeing in macro cycle data...

 

The shift is not just a top-down adjustment artifact - it is in the underlying data (i.e the real economy) as Payrolls and ISM show below...

 

And Goldman's macro leading indicator is also following these six-month cycles very clearly...

 

But it's NOT explained by seasonality (or weather)...

 

as it appears macro policy decisions have dominated...

 

as each year Q4/Q1 is dominated by fiscal or monetary policy actions to recover from the exposed reality of the underlying economy...

 

Will this time be any different? Well, we noted the lead-lag relationship here before, and as stocks test new highs with macro data plumbing new depths, we can only imagine which better reflects reality for now.

 

As Goldman concludes:

Given that we are now in the part of the year that has typically presaged macro weakness, we will be paying close attention to developments in fundamental factors: policy, financial conditions, oil prices, and shocks from the rest of the world and the Euro area.

Put simply, each year central banks lift their foot modestly to see just what is going on in the real world, and each year the reality is not good - which then pushes them back into action; the question is (with BoJ not going open-ended until 2014, OMT off the table for Spain for now, and Fed QE4EVA 90% priced in) when will the central banks come back and with what...

 

Charts: Goldman Sachs