analysis of the impact of economic data releases

A

aqtrader

This is a tough question. Many believe they know some economic data releases are very significant and so a true market movers, and some are trivial. From Yahoo's financial website, it lists at least 65 active economic data releases in the economic data calendar, including such as FOMC Rate Decision. I did some analysis and list all those 65 economic data in the order of significance (I used the magnitude of volume changes over the broader market index as the indicator to measure the efficiency of the data, and the analysis is based on all data since 2001). From the most to the least significant, here is:
1 FOMC Rate Decision
2 GDP-Adv.
3 Chain Deflator-Adv.
4 Current Account
5 CPI
6 Core CPI
7 Productivity-Prel
8 Feds Beige Book
9 Housing Starts
10 Building Permits
11 Help-Wanted Index
12 Employment Cost Index
13 Chicago PMI
14 Crude Inventories
15 Initial Claims
16 PPI
17 Core PPI
18 Truck Sales
19 Auto Sales
20 FOMC Minutes
21 FHFA Housing Price Index
22 Retail Sales ex-auto
23 Retail Sales
24 Consumer Confidence
25 Industrial Production
26 Capacity Utilization
27 Empire Manufacturing
28 MBA Mortgage Index
29 Trade Balance
30 Treasury Budget
31 Philadelphia Fed
32 GDP-Prel.
33 ADP Employment
34 Continuing Claims
35 ISM Services
36 Construction Spending
37 Durable Orders
38 Business Inventories
39 Existing Home Sales
40 Net Long-Term TIC Flows
41 NAHB Housing Market Index
42 Leading Indicators
43 Factory Orders
44 Case-Shiller 20-city Index
45 Natural Gas Inventories
46 Durable Orders -ex Transportation
47 Unemployment Rate
48 Nonfarm Payrolls
49 Hourly Earnings
50 Average Workweek
51 Productivity-Rev.
52 Import Prices ex-oil
53 Export Prices ex-ag.
54 ISM Index
55 Wholesale Inventories
56 New Home Sales
57 Personal Spending
58 Personal Income
59 Michigan Sentiment - Final
60 Challenger Job Cuts
61 Pending Home Sales
62 PCE Prices
63 Consumer Credit
64 Mich Sentiment-Prel.
65 Mich Sentiment-Rev.
 
The above ordered list helps me know which economic data I should pay more attention. For example, this week, it says there are a few at the top are important.

1 FOMC Rate Decision
4 Current Account
5 CPI
6 Core CPI
9 Housing Starts
10 Building Permits
14 Crude Inventories
15 Initial Claims
25 Industrial Production
26 Capacity Utilization
26 Capacity Utilization
27 Empire Manufacturing
28 MBA Mortgage Index
31 Philadelphia Fed
34 Continuing Claims
39 Existing Home Sales
40 Net Long-Term TIC Flows
40 Net Long-Term TIC Flows
41 NAHB Housing Market Index
42 Leading Indicators
45 Natural Gas Inventories

conomic data release for year 2014 week 12
20140317 Mar 17 8:30 AM Empire Manufacturing Mar 5.6 2.0 5.4 4.5 -
20140317 Mar 17 9:00 AM Net Long-Term TIC Flows Jan - NA NA -$45.9B -
20140317 Mar 17 9:15 AM Capacity Utilization Feb - NA NA 78.5% -
20140317 Mar 17 9:15 AM Industrial Production Feb 0.6% -0.1% 0.1% -0.2% -0.3%
20140317 Mar 17 9:15 AM Capacity Utilization Feb 78.8% 78.4% 78.5% 78.5% -
20140317 Mar 17 10:00 AM NAHB Housing Market Index Mar 47 50 50 46 -
20140318 Mar 18 8:30 AM Housing Starts Feb 907K 875K 915K 909K 880K
20140318 Mar 18 8:30 AM Building Permits Feb 1018K 945K 955K 945K 937K
20140318 Mar 18 8:30 AM CPI Feb 0.1% 0.2% 0.2% 0.1% -
20140318 Mar 18 8:30 AM Core CPI Feb 0.1% 0.1% 0.1% 0.1% -
20140318 Mar 18 9:00 AM Net Long-Term TIC Flows Jan $7.3B NA NA -$45.9B -
20140319 Mar 19 7:00 AM MBA Mortgage Index 03/15 -1.2% NA NA -2.1% -
20140319 Mar 19 8:30 AM Current Account Q4 -$81.1B -$88.0B -$87.6B -$96.4B -$94.8B
20140319 Mar 19 10:30 AM Crude Inventories 03/15 5.850M NA NA 6.180M -
20140319 Mar 19 2:00 PM FOMC Rate Decision Mar 0.25% 0.25% 0.25% 0.25% -
20140320 Mar 20 8:30 AM Initial Claims 03/15 320K 330K 330K 315K -
20140320 Mar 20 8:30 AM Continuing Claims 03/08 2889K 2900K 2883K 2848K 2855K
20140320 Mar 20 10:00 AM Existing Home Sales Feb 4.60M 4.55M 4.60M 4.62M -
20140320 Mar 20 10:00 AM Philadelphia Fed Mar 9.0 2.0 2.0 -6.3 -
20140320 Mar 20 10:00 AM Leading Indicators Feb 0.5% 0.2% 0.3% 0.1% 0.3%
20140320 Mar 20 10:30 AM Natural Gas Inventories 03/15 -48 bcf NA NA -195 bcf -

But for the week ago (Mar 11), nothing really matters much:
14 Crude Inventories
15 Initial Claims
16 PPI
17 Core PPI
22 Retail Sales ex-auto
23 Retail Sales
28 MBA Mortgage Index
30 Treasury Budget
30 Treasury Budget
34 Continuing Claims
38 Business Inventories
45 Natural Gas Inventories
52 Import Prices ex-oil
53 Export Prices ex-ag.
55 Wholesale Inventories
64 Mich Sentiment-Prel.

20140311 Mar 11 10:00 AM Wholesale Inventories Jan 0.6% 0.3% 0.4% 0.4% 0.3%
20140311 Mar 11 10:00 AM JOLTS - Job Openings Jan 3.974M NA NA 3.914M 3.990M
20140312 Mar 12 7:00 AM MBA Mortgage Index 03/08 -2.1% NA NA 9.4% -
20140312 Mar 12 10:30 AM Crude Inventories 03/08 6.18M NA NA 1.429M -
20140312 Mar 12 2:00 PM Treasury Budget Feb - -$195B -$195B -$203.5B -
20140313 Mar 13 8:30 AM Initial Claims 03/08 315K 335K 329K 324K 323K
20140313 Mar 13 8:30 AM Continuing Claims 03/01 2855K 2950K 2925K 2903K 2907K
20140313 Mar 13 8:30 AM Retail Sales Feb 0.3% 0.2% 0.2% -0.6% -0.4%
20140313 Mar 13 8:30 AM Retail Sales ex-auto Feb 0.3% 0.2% 0.2% -0.3% 0.0%
20140313 Mar 13 8:30 AM Export Prices ex-ag. Feb 0.6% NA NA 0.2% -
20140313 Mar 13 8:30 AM Import Prices ex-oil Feb -0.2% NA NA 0.3% -
20140313 Mar 13 10:00 AM Business Inventories Jan 0.4% 0.3% 0.3% 0.5% -
20140313 Mar 13 10:30 AM Natural Gas Inventories 03/08 -195 bcf NA NA -152 bcf -
20140313 Mar 13 2:00 PM Treasury Budget Feb -$193.5B -$195B -$195B -$203.5B -
20140314 Mar 14 8:30 AM PPI Feb -0.1% 0.2% 0.2% 0.2% -
20140314 Mar 14 8:30 AM Core PPI Feb -0.2% 0.1% 0.1% 0.2% -
20140314 Mar 14 9:55 AM Mich Sentiment-Prel. Mar 79.9 81.6 82.0 81.6 -
 
[Partial QUOTE=aqtrader;3955641]This is a tough question. Many believe they know some economic data releases are very significant and so a true market movers, and some are trivial. From Yahoo's financial website, it lists at least 65 active economic data releases in the economic data calendar, including such as FOMC Rate Decision. I did some analysis and list all those 65 economic data in the order of significance (I used the magnitude of volume changes over the broader market index as the indicator to measure the efficiency of the data, and the analysis is based on all data since 2001). From the most to the least significant, here is:
1 FOMC Rate Decision

9 Housing Starts

14 Crude Inventories

44 Case-Shiller 20-city Index

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Good question,A-trader;
most of those fundamentals dont mean much @ all;
except in the longest of trends, or a weak /ending bull market. Sure raise interest rates, do it enough long enough, stock uptrend/bull market may be bearish.Case-Schiller-20 , is a chart, also...................................................................

If you do see a sell off, based :cool: on those, it may mean the bull market/trend maybe over;
not a prediction ,look out BELOW,LOL
 
I realise this book will sound pretty naff, but I highly recommend
"The Secrets of Economic Indicators" , if you are interested in this sort of thing.

FWIW, economic data releases are important - in my opinion - in so far as they influence policy makers / central bankers. If the Fed is targetting Unemployment explicitly, NFP takes on even greater import, etc.

The suggestion that a bunch of analysts producing ISM Manufacturing data, are more accurately measuring where the market "should be" than the collective buying & selling of stocks on a constant basis, is IMO wrong. Those same fellows would be making money hand over fist if that were so.

I believe the market responds to ISM because the participants realise policy makers are influenced by it.
 
In a long run maybe. Maybe if you see several months of consistently bad reports you may expect some weaknesses in the long-term trend. In mid- and short-term I have not seen much of impact. Over the past two month despite good reports we have volatile and side-way trend on the major indexes. last FOMC Minutes had 25 minutes lasting impact only - see chart :
FOMC Minutes on 4/9/2014

I guess it is more depend on how much money are pumped in the market by the Government and other big investors.
 
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