قاعدة سام

قاعدة سام 1949-2023

في الاقتصاد الكلي، قاعدة سام Sahm rule، أو مؤشر الكساد قاعدة سام، هو مقياس حدس مهني من الاحتياط الفدرالي الأمريكي لتحديد متى دخل اقتصاد في ركود.[1] وهي مفيدة في التقييم الآني لدورة الأعمال وتعتمد على بيانات البطالة الشهرية من Bureau of Labor Statistics (BLS). القاعدة مسماة على اسم الاقتصادية كلوديا سام، التي كانت تعمل سابقاً في الاحتياط الفدرالي و Council of Economic Advisors.

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الأصل

The Sahm rule originates from a chapter in the Brookings Institution's report on the use of fiscal policy to stabilize the economy during recessions.[2] The chapter, written by Sahm, proposes fiscal policy to automatically send stabilizing payments to citizens to boost economic well-being. Instead of relying on human intuition to determine when such payments should be sent, Sahm outlines a condition to trigger the payments.[3] The trigger suggested indicates an economy beginning a recession and is now known as the Sahm rule. The Sahm rule recession indicator was also featured early in a Goldman Sachs U.S. economic research report by economist William C. Dudley with a recommended trigger of 0.33%[4] (the nowadays more commonly used rule triggers a recession signal when the Sahm metric is crossing above 0.5%).


تعليق

Dr. Sahm cautions:

"The Sahm rule is an empirical regularity. It’s not a proposition; it’s not a law of nature."

And she further explains:

"I created the Sahm rule to send out stimulus checks automatically. The idea was to act fast to make the recession less severe and help families. The star was always the stimulus check, not the indicator that other people named after me.[5]"

التنفيذ

The Sahm rule was published by The St. Louis Federal Reserve bank's Federal Reserve Economic Data (FRED) system in October 2019.[6][7] It is retroactively calculated to evaluate performance from past recessions. The recession rule is defined as:

Sahm Recession Indicator signals the start of a recession when the three-month moving average of the national unemployment rate (U3) rises by 0.50 percentage points or more relative to its low during the previous 12 months.[8]

Relying on the change in unemployment from the previous 12 months means the natural rate of unemployment is seamlessly integrated. A rule relying on a fixed level of unemployment, in contrast, cannot take into account drifts caused by changes in demographics, technology, or labor market frictions.[9]

The rule only relies on a single data series, national unemployment, which is published monthly by the BLS. This differentiates the index from other recession indicators based on statistical models, which may rely on dozens of inputs.[10] Further, unemployment can be more easily understood than complex financial series.[11][12]

الدقة التاريخية

The Sahm rule is a robust tool that has been very accurate in identifying a downturn in the business cycle and almost always doesn't trigger outside of a recession. The simplicity of the calculation contributes to its reliability. The Sahm rule signals the early stages (onset) of a recession and generated only two false positive recession alerts since the year 1959 (there have been 11 recessions since 1950); in both instances — in 1959 and 1969 — it was just a little untimely, with the recession warning appearing a few months before a slide in the U.S. economy began.[13] In the case of the false positive warning related to the year 1959 it was followed by an actual recession six months later. The Sahm rule typically signals a recession before GDP data makes it clear.[14]

The Sahm rule is designed to indicate that the U.S. economy is in the early months of a recession, rather than forecasting future recessions.[15] While the historical performance and timeliness of the Sahm rule has been very accurate, the reliability of the Sahm rule in today's economy has been questioned due to several distortions and there is reason to believe that the economy might act differently this time around due to unique unusual conditions. This suggests that caution should be exercised when interpreting the Sahm rule in the current unprecedented economic situation. Like all economic indicators, it should be considered alongside other economic data and indicators. However, the Sahm Rule remains a valuable tool for economists and policymakers for early detection of economic downturns.

In summary, the Sahm rule's reliability lies in its consistent performance throughout various economic climates, particularly in signaling the beginning of a recession with a high degree of accuracy.

Unsmoothed-Sahm Rule

Dwaine Van Vuuren analyzed the historic performance of the Sahm rule and came to the conclusion that the smoothing of the default calculation, which is using a 3-month average of the unemployment rate to smooth the data, is not needed:

"The use of a 3-month average of the unemployment rate for the Sahm rule calculation is unclear. It adds a significant [multiple month] lag to the recession-start signalling and for the historical period under review, only reduces one post-recession false positive from unsmoothed data from June 2003. (...) Until the reasoning for this 3-month smoothing becomes more clear, and even if it was deployed to eliminate the single June 2003 post-recession false-positive, we are inclined to use the un-smoothed unemployment rate in the calculation “Unsmoothed-Sahm“ due to its superior timeliness (near-perfect coincident) in signalling recession starts. (...) Furthermore, the false-positive [when using no smoothing] can be ruled away when considering that the trigger only becomes active when the signal originates from zero within the last 12 months."[16]

Optimized-Sahm Rule "Redux number 2"

According to Dwaine Van Vuuren there is a way to improve the default calculation of the Sahm rule to achieve (as of to date) 100% confidence, by changing several parameters. His version named "Redux number 2" has zero historical false positives by eliminating the June 2003 false positive recession warning and he claims that:

"[Redux number 2] has less false positive risk in general due to the muting effect of the shorter calculation window, whilst retaining near identical signalling (...)"

He achieves this by a) using unsmoothed unemployment data, b) by raising the trigger threshold from 0.5 to 0.6, and c) by using a 7-month calculation window (as opposed to 12-month) to calculate the index. Overall he summarizes that his "Redux number 2" optimized Sahm rule calculation has a 0.44 month lag on average to NBER recession starts and a 2-month lead to recession ends.[17]

التقبل

The Sahm rule has received recognition by popular economics news sources.[18][12][19][20]American financial weekly newspaper Barron's describes the metric as a "well-regarded economic rule",[21] American financial news channel CNBC labels the recession indicator as a "fail-safe gauge,"[22] while Investopedia writes that "economists love the indicator for its simplicity and reliability".[23]

Its low rate of false positives are attractive features. Federal Reserve Chair Jerome Powell characterized the Sahm rule as a "statistical regularity" at a press conference in late July 2024.[24]

While the Sahm rule indicates recessions sooner than the formal NBER recession indications, which can take anywhere from half to two years, it is by no means predictive[25], when using the 3-month simple moving average as filter (because this smoothing of the U.S unemployment data adds a multiple month lag to the calculation). The commonly used version of the Sahm rule with the smoothed 3-month average triggered approximately three months into each of the last NBER recession starts, with the beginning of the recession retroactively officially determined by the NBER.[26]

A lesser-known feature of the Sahm model is that it is particularly useful in assessing recession ends. The standard 3-month smoothed Sahm rule has on average a minimum two month lag to recession ends (while the unsmoothed-Sahm indicator provides for near perfect coincident signalling of business cycle troughs), according to Dwaine Van Vuuren.

انظر أيضاً

  • Inverted yield curve - Economic indicator predicting recessions, which uses yields on 10-year and three-month Treasury securities as well as the Fed's overnight funds rate.
  • Recession predictors - List of other possible recession predictors, like e.g. Smoothed U.S. Recession Probabilities (RECPROUSM156N), which uses data obtained from a dynamic-factor markov-switching model applied to four monthly coincident variables: the index of industrial production and real manufacturing, non-farm payroll employment, real personal income and trade sales.

المراجع

  1. ^ "'Sahm Rule' enters Fed lexicon as fast, real-time recession flag". Reuters (in الإنجليزية). 2019-10-04. Retrieved 2023-01-12.
  2. ^ Shambaugh, Heather Boushey, Ryan Nunn, and Jay (2019-05-16). "Recession ready: Fiscal policies to stabilize the American economy". Brookings (in الإنجليزية الأمريكية). Retrieved 2020-12-20.{{cite web}}: CS1 maint: multiple names: authors list (link)
  3. ^ Sahm, Claudia (2019-05-16). "Direct stimulus payments to individuals". Brookings (in الإنجليزية الأمريكية). Retrieved 2020-12-20.
  4. ^ van Vuuren, Dwaine (2024-01-01). "The Sahm Rule Redux". RecessionALERT (in الإنجليزية الأمريكية). Retrieved 2024-07-31.
  5. ^ Dr. Sahm, Claudia (2022-12-30). "The Sahm rule: I created a monster". Substack (in الإنجليزية الأمريكية). Retrieved 2024-07-31.
  6. ^ "FRED Adds Sahm Rule Recession Indicators | St. Louis Fed". 2019-10-16. Archived from the original on 2019-10-16. Retrieved 2020-12-20.
  7. ^ "FRED Adds Sahm Rule Recession Indicators | St. Louis Fed Economic Research" (in الإنجليزية الأمريكية). 2 October 2019. Retrieved 2020-12-21.
  8. ^ Sahm, Claudia, Real-time Sahm Rule Recession Indicator [SAHMREALTIME], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/SAHMREALTIME.December 19, 2020.
  9. ^ Sahm, Claudia (2019-05-16). "Direct stimulus payments to individuals". Brookings (in الإنجليزية الأمريكية). p. 77. Retrieved 2020-12-20.
  10. ^ Berge, Travis J. (2015-05-13). "Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle". Journal of Forecasting. 34 (6): 455–471. doi:10.1002/for.2345. ISSN 0277-6693.
  11. ^ Schneider, Howard (2019-10-04). "'Sahm Rule' enters Fed lexicon as fast, real-time recession flag". Reuters (in الإنجليزية). Retrieved 2020-12-20.
  12. ^ أ ب "The Sahm Rule With The Eponymous Economist : The Indicator from Planet Money". NPR.org (in الإنجليزية). Retrieved 2020-12-21.
  13. ^ "U.S. employers likely added 175,000 jobs in July as labor market cools gradually". AP - The Associated Press, Washington (in الإنجليزية). 2024-08-02. Retrieved 2024-08-02.
  14. ^ "Sahm Rule Recession Indicator". Current Market Valuation (CMV) by Gramalam, LLC (in الإنجليزية الأمريكية). 2024-01-01.
  15. ^ Sahm, Claudia (2024-03-29). "No, you didn't invent the Sahm rule and that's ok, we need more tools!". Substack (in الإنجليزية الأمريكية).
  16. ^ van Vuuren, Dwaine (2024-01-01). "The Sahm Rule Redux". RecessionALERT (in الإنجليزية الأمريكية). Retrieved 2024-07-31.
  17. ^ van Vuuren, Dwaine (2024-01-01). "The Sahm Rule Redux". RecessionALERT (in الإنجليزية الأمريكية). Retrieved 2024-07-31.
  18. ^ "How to spot a recession". The Economist. 2019-06-11. ISSN 0013-0613. Retrieved 2020-12-21.
  19. ^ "America's recession indicators are more busted than ever". Axios (in الإنجليزية). 2024-07-23. Retrieved 2024-08-01.
  20. ^ "Keep Sahm and Carry On". The New York Times (in الإنجليزية). 2024-07-30. Retrieved 2024-08-01.
  21. ^ "Every Rule Has Its Exception. That May Be the Case for This Recession Indicator". Barron's (in الإنجليزية). 2024-08-01. Retrieved 2024-08-01.
  22. ^ "Why an indicator that has foretold almost every recession doesn't seem to be working anymore". CNBC (in الإنجليزية). 2024-07-24. Retrieved 2024-08-01.
  23. ^ "This Week's Jobs Report Could Trigger a Usually Reliable Recession Indicator". Investopedia (in الإنجليزية). 2024-07-29. Retrieved 2024-08-01.
  24. ^ "Jobs report could trigger closely watched recession indicator". yahoo! finance (in الإنجليزية). 2024-07-31. Retrieved 2024-08-01.
  25. ^ "Business Cycle Dating". NBER (in الإنجليزية). Retrieved 2020-12-21.
  26. ^ Brown, Randy. "This New Rule To Identify Recessions Could Give Investors An Edge". Forbes (in الإنجليزية). Retrieved 2020-12-21.

وصلات خارجية

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