Board-Ansicht
Mix-Ansicht- A Cheat Sheet For Greenspan's Successor - Cosa, 06.09.2002, 10:49
- Re: A Cheat Sheet For Greenspan's Successor - Danke, @Cosa - great find! (owT) - Popeye, 06.09.2002, 11:11
- re: Die Frage heisst ganz anders: - Bob, 06.09.2002, 11:37
A Cheat Sheet For Greenspan's Successor
-->Moin,
der Artikel ist zwar vom Wochenende, aber die Daten sind ja weiter aktuell.
<font size="5">A Cheat Sheet For Greenspan's Successor</font>
August 30, 2002
Fed Chairman Greenspan is sticking with his story - he can't a priori identify a stock market bubble. I offer this analysis to his successor so as to improve his or her"vision." I have modified a stock market valuation approach being used by Arthur Laffer. In its simplest terms, after-tax economic corporate profits - a series published by the Bureau of Economic Analysis (BEA) - is capitalized (divided by an interest rate). These capitalized profits can be viewed as some theoretical market value or market cap. Comparing this theoretical market cap value with the actual market cap gives one some indication as to whether stock values are over- or under-valued. My analysis is shown in Chart 1. The chart indicates that something"bubblicious" started occurring in 1997. If future Fed chairpersons should see something similar to this in the future at a time when broad money supply growth is out-striping private sector saving by wide margins (Chart 2), he or she would know to start reining in money growth so that the bubble did not inflate further, ultimately burst, and leave us in the economic mess we are in today.
Let me explain in more detail how I arrived at the data in Chart 1. I used the BEA after-tax economic profits data for all nonfinancial corporations. Then I smoothed the profit series using a Hodrick-Prescott filter in order to remove some of the cyclicality. This is similar, but not exactly, what Shiller, of Irrational Exuberance fame, has done with his profit series. Then I increased each smoothed profit data point by 8.6%, which is the compound annual rate of growth in the raw profit series from 1946:Q1 to 1997:Q4. So, I have a smoothed"expected" profit series. This series compared with the raw profit series is shown in Chart 3. Rather than using the Treasury 10-year yield as the interest rate to capitalize my profit series, as Laffer does, I use Moody's Aaa-rate corporate bond yield. Why? Because I want to use something that represents corporations' cost of capital, not the federal government's. Using the Aaa bond rate biases upward my theoretical market cap value because most corporations' bond ratings are lower than Aaa. My actual market cap data come from the Fed's flow-of-funds database (balance sheet of nonfinancial corporations).
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Maybe I had better get my eyes checked, but it looks to me that the actual market cap of nonfinancial stocks in 2002:Q1 was still considerably above its theoretical level. Because the Fed has not yet published second-quarter market cap data, I am unable to update my over-under valuation chart. But doing some back-of-the-envelope figuring, taking into consideration that profits did not have change much, the Aaa rate was up slightly, and the Wilshire 5000 dropped almost 13%, the value of nonfinancial stocks still was considerably above the theoretical value.
Note: Positive Economic Commentary will not be published next week.
Paul Kasriel
Quelle: Northerntrust
Die Kolumne erscheint unter der Überschrift"Positive Economic Commentary" oder hatte P. Kasriel so eine Ahnung, dass keine überragenden Wirtschaftsdaten publiziert wurden ;-)
Bisher, wir haben ja heute noch den Arbeitsmarktbericht.....
Gruss
Cosa
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