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shoots zoho the new arthurian economics copyright 2010 2018 arthur shipman wednesday november 30 2011 shiller vs shiller the shiller interest rate numbers are monthly values after 1953 are from fred maybe values before 1953 are calculated from annual numbers before 1953 the file contains numbers for january of each year and calculated values for february thru december of each year these calculated values produce straight lines from january to january up until 1953 graph 1 shiller monthlies the graph below uses only the january values from the same shiller data graph 2 shiller januaries posted by the arthurian at 9 09 pm 0 comments omg so i started looking at the shiller file and i saw stuff in there like this b21 7 12 b33 5 12 what the turns out shiller is taking seven twelfths of a previous actual number and adding it to five twelfths of a subsequent actual number to calculate a monthly value it is all like that with a number for january of each year and calculated trend values for the eleven intervening months from 1871 all the way up to 1953 after that there are numbers for every month rather than calculations shiller is figuring points on straight lines that run from january to january that s why the econompic graph appears relatively smooth up to 1953 then jiggy graph 1 110 years of interest rates econompic in the previous post i wrote gotta go with annual because otherwise i m just making things up apparently sometimes it s okay to just make things up okay but instead of taking averages of shiller s calculated values i m just gonna go with the actual values that are given for january of each year that s definitely my plan for the numbers up to 1953 after that i could take averages of yearly values but it would be easier just to go with the january numbers all the way through we ll see posted by the arthurian at 4 00 am 6 comments tuesday november 29 2011 frequency aggregation my dpd numbers are annual i can go back to the 1940s or 50s with quarterly data but before that it s all annual so annual it is shiller s interest rate numbers are monthly it makes for a spreadsheet with a lot of rows something like 1600 excel scrolls down well but google docs goes at its own pace and you have time to see the numbers and notice whether they re increasing rapidly or not while you wait that s not really the problem the problem is that i want to compare the interest rate numbers to the dpd numbers on the same graph so i need or think i need numbers with the same frequency all monthly or all quarterly or all annual gotta go with annual because otherwise i m just making things up so naturally i turned to uncle fred the fred frequency aggregation feature converts higher frequency data series into lower frequency data series e g converts a monthly data series into an annual data series in fred the highest frequency data is daily and the lowest frequency data is annual there are 3 aggregation methods available average sum and end of period the average sum and end of period aggregation methods all return lower frequency values with the same number of decimal places as the higher frequency values that are being aggregated for example a monthly series with values 100 1 100 4 and 100 9 for the first 3 months of year is averaged to a quarterly value of 100 5 i e 100 467 rounded up to 100 5 fred s gdp series numbers are quarterly and when you convert them to annual the default aggregation method is average fred s fedfunds interest rate series shows monthly data and when you convert them to annual again the default aggregation method is average i will therefore average robert shiller s monthly numbers to get my annual values fred i don t know what i d do without ya posted by the arthurian at 4 00 am 3 comments monday november 28 2011 longwave 2 make that three peaks after i saw the similarities and differences between dpd and the interest rate see yesterday s post i decided to plot the two against each other like inflation versus unemployment on the phillips curve graph so i went back to econompic where jake has a link to interest rate data from robert j shiller s irrational exuberance when i clicked jake s link download started automatically for the excel file ie_data xls the file contains two sheets with graphs and one with data going back to 1871 stock dividends and a price index among others and in column g the interest rate numbers a graph of shiller s interest rate data going back to 1871 shows three longwave peaks not two graph 1 the graph also seems to show secondary peaks at the lows one in the neighborhood of 1894 and another at the time of the great depression the first of these falls neatly at the bottom between the 1872 and 1921 peaks the second seems to come before the 1941 low and belie the notion of secondary peaks could be or it could be that the severity of the great depression or the policy response to it or both created additional downward force i am obviously not prepared to say at this time the years between the first peak and the end of the first secondary peak match the years of the long depression posted by the arthurian at 4 00 am 0 comments sunday november 27 2011 longwave my thesis in this lecture is that macroeconomics in this original sense has succeeded its central problem of depression prevention has been solved for all practical purposes and has in fact been solved for many decades the many decades to which robert e lucas jr refers in the above excerpt were the decades called the golden age of postwar capitalism and the decades called the great moderation those many decades were the comfortable parts of the kondratieff cycle which is sometimes called the long wave a long term view of the interest rate on 10 year treasuries and a long term view of debt per dollar graph 1 110 years of interest rates econompic graph 2 debt per dollar 1916 2010 both graphs display cyclic patterns each graph peaks twice though the peaks occur at different times the interest rate peaks earlier dpd peaks later since interest rates peaked and began falling in the 1980s we should have known what was in store for us regarding debt since the 1960s we should have known heck our grandfathers should have told us as much but the people who study such things for a living like robert lucas were claiming victory over the forces of nature posted by the arthurian at 4 00 am 0 comments saturday november 26 2011 black friday black saturday people don t remember things black tuesday was not a good day but that s forgotten now now a black day is for some reason a day to be a shopping fool of course black tuesday was a lifetime ago you can t really expect people to remember it so i guess if there was a business cycle that lasted that long you couldn t really expect people to notice it either huh those who cannot remember the past are condemned to repeat it posted by the arthurian at 4 00 pm 1 comments the job guarantee people call for a job guarantee why because people need income but all income is money and all money is debt so all income is debt so income is a problem what s wrong with that argument the phrase money is debt is what s wrong the phrase does not mean money is the same as debt it means money comes into existence through the creation of debt or something like that whether that is always true is not up for consideration here certainly it is true sometimes i want a job so that i can receive money oh sorry that s too direct i want a job so that i can receive income because the stuff i receive as income is money and i want the money so far so good but now someone cries out all money is debt and that is supposed to bring the discussion to a grinding halt i want a job because i need the money but all money is debt what is that supposed to mean at best i have this i want a job because i need the money all money comes into existence through the creation of debt or maybe not all money but a lot of it or some of it anyhow the phrase all money is debt is irrelevant stop using it posted by the arthurian at 4 00 am 7 comments friday november 25 2011 all money is debt you say all red is color i say we should be using green you say green is still a color so there is no difference posted by the arthurian at 4 00 am 4 comments thursday november 24 2011 thanks i may not be an economist but i certainly am a blogger i probably spend as much time checking my blog stats as i spend checking my email i thought today might be a good day to say thanks thank you for all the visits and all the conversations and all the challenges and all the kind words from google analytics a peek at visitors per week since 1 july 2009 you guys give me confidence the other day i looked at the blogger stats and noticed something odd in the traffic sources most of the visitors were coming from mosler s and from mike norman s that meant there were links there to my blog that interested me what links a timely look turned up links in comments posted by clonal at mike norman s and matt franko at mosler s the blogger stats also showed which posts were getting the traffic my most visited current post showed up third on the list after two that were targets of matt and clonal s links by the way clonal the greatest scam of the 20th century is high on my list of best and most important posts so i m real glad you linked to that one and you did a great job of presenting it at mike norman s the blogger stats also showed a change in activity related to those links here s daily activity for 16 october to 15 november showing a major spike it s always graphs with me isn t it so thanks again to everyone to friends i can identify by name and point of view to people who stop by regularly but have not left their imprint in the comments and to first time and one time visitors who help to keep my stat trends going up and special thanks to clonal for thinkin and linkin my stuff and to matt for picking up that ball and running with it happy thanksgiving all posted by the arthurian at 4 00 am 1 comments wednesday november 23 2011 debttlusa188a a little something from our friend fred central government debt total of gdp for the united states notes debt is the entire stock of direct government fixed term contractual obligations to others outstanding on a particular date it includes domestic and foreign liabilities such as currency and money deposits securities other than shares and loans it is the gross amount of government liabilities reduced by the amount of equity and financial derivatives held by the government because debt is a stock rather than a flow it is measured as of a given date usually the last day of the fiscal year not sure why it only goes to 2009 i had a book that i used a lot when i was doing a lot of c programming programmer s problem solver for the ibm pc xt at by robert jourdain in his introduction jourdain warned that the book might not be easy reading the prose in this book is dense to say the least that paragraph from fred there that s dense prose good stuff if something goes up during recessions and kinda goes flat in a listless economy then maybe it would go down in a vigorous economy hey if that something is something you don t like so much like central government debt then maybe you would think restoring vigor to the economy is a high priority posted by the arthurian at 4 00 am 1 comments tuesday november 22 2011 averages of averages this is how i thought of it at first the double 3 take a zero phase 3 year moving average of a zero phase 3 year moving average of some economic data i think this would be like assigning weights to the numbers heaviest at the current value lightest two years ahead or behind when i looked at it in excel a double 5 gave a result more like what i had in mind looking at any point on a trend line the actual value at that point should have more significance than neighboring points and more distant neighbors should have even less i think this is a decent way to generate a trend line for an economic dataset to compare these images use bloggers lightbox click a graph to activate the lightbox and use the selector at the bottom of the screen to switch between graphs posted by the arthurian at 4 00 am 6 comments monday november 21 2011 the suppression of money i got numbers for m1 money from the historical statistics 1915 1970 and from fred 1959 2011 the hs numbers are annual so i decided to use annual values for this whole project i got gdp numbers from my google docs files they came from measuringworth again annual values i divided the m1 numbers by the gdp numbers to see how much spending money there is in the economy relative to the stuff we buy each year to see the history of that relation graph 1 money in circulation relative to output at actual prices the blue part comes from the historical statistics the red part comes from fred the m1 numbers from the two sources match up well i got percent change from year ago numbers for the consumer price index from fred i used their cpiaucns which goes back to 1913 the change from year ago numbers go back to 1914 i start the graph at 1915 because that s how far back the m1 money numbers go the blue line on graph 2 shows inflation as percent change from year ago of the cpi the abbreviation pcya is awkward shorthand for percent change from year ago graph 2 inflation annual change in prices plus trend lines i put a 5 year moving average line on the graph in red and in yellow a 5 year moving average of the 5 year moving average values something i ve been looking at a bit lately for the next graph i got rid of the moving averages i took the change in cpi line since 1921 from graph 2 and fitted it to graph 1 to look for similarity i scaled and shifted the cpi numbers multiplied by a number that made the height difference of the cpi about the same as the height difference of the m1 gdp and added a constant to slide the whole set of cpi numbers up and get them close to the m1 gdp numbers my goal was to make the two lines close i got them pretty close on the left half of the graph not so close on the right half graph 3 combining inflation from graph 2 with mrto from graph 1 look at the left half and look at the peaks of the yellow change in cpi line those peaks pretty well fall within the limits set by the blue m1 gdp line as the blue line rises the yellow inflation peaks also rise to a high point just at the end of world war ii after the war the blue line falls and so do the inflation peaks but then on the right half of the graph the lines don t match up inflation spikes up three times in the 1970s while the quantity of money relative to gdp now shown in red continues to fall then in the reagan years inflation is suppressed perhaps surprisingly the m1 gdp line stops declining at the same time it runs horizontal for 10 or 15 years and shows the bumps that i point out all the time inflation moderated when they stopped suppressing the money after the third bump the m1 gdp decline resumes reaching a low ten cents just a...
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