Wednesday, November 30, 2011
Yesterday I posted this chart of monthly global trade:
and noted that the usual fall surge of global trade was missing.
To make the point clearer I wanted to seasonally adjust the numbers which is a bit tricky both because the series is short and because there's a giant anomaly in the middle from the 2008 financial crisis. To get around this, I cut the series into two pieces - Jan 2006 to Jun 2008 and Feb 2009 to Jun 2011 (leaving the financial crisis part on the cutting room floor). I separately fit quadratics to each of those regions and used those fits to derive seasonal adjustment factors, which then look as follows:
I take the reasonable agreement between imports and exports (which were adjusted separately) as evidence that the procedure is not crazy. One can also tell a reasonable narrative about what these mean: there are surges in the fall (as merchandise for Christmas is shipped) and again in the spring as summer retail goods are shipped.
I then seasonally adjusted the original series which looks as follows:
One can see that indeed we seem to be at the onset of another downtown in world trade.
The remaining question is how deep this new downturn is going to get.