Macro Economic Activity and Sector Price Movements: A Closer Look at PMI Data

Authors

Presenter(s)

David A. Christian, Matt G. Putbrese

Files

Description

The purchasing managers' index (PMI) is considered a leading indicator of U.S. manufacturing activity as well as overall economic activity. Financial markets respond quickly to above or below trend movements in PMI. In this study I develop regression models that specify the relationship between PMI and each of the 10 SPDR ETFs. I test the hypothesis that b>0 i.e. that SPDR ETF prices covary directly with changes in the PMI index. Using log linear models, I also test the hypothesis that the response coefficients are relatively elastic i.e. b>1. I use monthly data to construct the models. The overall time period analyzed is 2004-2014.Two subperiods are also evaluated (1) 2004-2008 and (2) 2009-2014.

Publication Date

4-9-2015

Project Designation

Independent Research

Primary Advisor

Trevor C. Collier

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium project

Disciplines

Arts and Humanities | Business | Education | Engineering | Life Sciences | Medicine and Health Sciences | Physical Sciences and Mathematics | Social and Behavioral Sciences

Recommended Citation

"Macro Economic Activity and Sector Price Movements: A Closer Look at PMI Data" (2015). Stander Symposium Projects. 624.
https://ecommons.udayton.edu/stander_posters/624