The Weekly Economic Index (WEI) is a composite of weekly year-over-year percentage changes in 10 economic indicators: Redbook same-store sales; Rasmussen Consumer Index; new claims for unemployment insurance; continued claims for unemployment insurance; adjusted income/employment tax withholdings; railroad traffic originated; the American Staffing Association Staffing Index; steel production; wholesale sales of gasoline, diesel and jet fuel; and, weekly average US electricity load. Does WEI usefully predict U.S. stock market and government bond returns? To investigate, we relate WEI to performance data for SPDR S&P 500 (SPY) as a proxy for the stock market and iShares Barclays 20+ Year Treasury Bond (TLT) as a proxy for government bonds. Since WEI measurements are nominally Saturdays but released mid-day the next Thursdays, we align its values with SPY and TLT prices as of the close on the next Thursdays. Using weekly data as described during January 2008 (limited by WEI) through mid-February 2023, we find that:
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