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www.koob.ru
,
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1,9

74.3

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Belgium

1.8

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2.9

2.8

127.0

123,5

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Austria

1.7

2.1

3.2

2.9

68.3

68.3

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Finland

1.1

1.8

1.8

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58.6

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166.386

200.482

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40.3399

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- 1998 ,
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1997

1998

1997

1998

1997

GBP

Canadian Dollar

CAD

French Franc

FRF

German Mark

DEM

Italian Lira

ITL

Japanese Yen

1998

Germany

1.6

1.7

3.0

3.0

62.0

62.5

6.1

France

1,6

1.9

3.1

2.9

58.0

58.5

6.1

Italy

2.2

2.3

3.1

2.9

124.3

121.5

8.6

Spain

2.2

2.3

3.3

3,9

68.2

67.5

8.0

11

British Pound

JPY

United States Dollar

USD

New Zealand Dollar

NZD

Australian Dollar

AUD

Belgian Franc

BEF

Portuguese Escudo

www.koob.ru
Danish Krone

DKK

Dutch Guilder

NLG

Euro

EUR

Singapore Dollar

SGD

Finnish Mark

FIM

Greek Drachma

GRD

Spanish Peseta

ESP

Hong Kong Dollar

HKD

Swiss Franc

CHF

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www.koob.ru

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Pd = S * Pf,

www.koob.ru
( , ,
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www.koob.ru
. ,
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GDPt real = p0(l)*qt(l) + p0(2)*qt(2) +... +0(N)*qt(N) = p0(i)*qt(i),
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2.1.
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.

16

. 4.1. , 1999
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1999 .
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www.koob.ru
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www.koob.ru

FTSE NIKKEI.

, , ,
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,
. 4.5. , 1999
. ,
,
.

. 4.5. Nikkei

5.

. 4.4. , FTSE

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www.koob.ru
, ,
(Monetary Aggregates), ,
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( - Interbank Offered Rate); ,
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, (Lending Rates); ,
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19

Bid ( ) ,
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DM=

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RIC

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Ask

RIC

Bid

Ask

www.koob.ru
USDOND=

5,12

EUR=

1,0228

1,0233

USDTND=

5,1

5,2

EUROND=

2,48

2,58

USDSND=

5,09

5,19

EURTND=

2,54

2,68

USDSWD=

5,07

5,17

EURSWD=

2,53

2,6

USD1MD=

5,08

5,2

EUR1MD=

2,61

2,66

USD2MD=

5,13

5,25

EUR2MD=

2,52

2,65

USD3MD=

5,2

5,3

EUR3MD=

2,63

2,68

USD6MD=

5,5

5,6

EUR6MD=

2,58

2,6

USD1YD=

5,68

5,78

EUR1YD=

2,86

2,98

CHF=

1,5678

1,569

GBP=

1,575

1,576

CHFOND=

0,43

0,81

GBPOND=

4,62

4,75

CHFTND=

0,86

1,11

GBPTND=

4,78

4,93

CHFSWD=

0,97

1,07

GBPSWD=

4,9

CHF1MD=

1,01

1,15

GBP1MD=

5,05

5,15

CHF2MD=

1,06

1,19

GBP2MD=

5,05

5,15

CHF3MD=

1,18

1,28

GBP3MD=

5,12

5,22

CHF6MD=

1,51

1,61

GBP6MD=

5,12

5,22

CHF1YD=

1,68

1,78

GBP1YD=

5,35

5,45

JPY=

122,27

122,32

JPYOND=

0,01

0,13

JPYTND=

0,03

0,06

JPYSWD=

0,02

0,12

, .
, ,
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1999 ,
, . (Bank of England, )
,
; ,
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5,25% 5,0%,
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. 5.2. ( rates), 10 1999 .

, ,

(. 5.3.). (Yield Curves)
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www.koob.ru
. , ,
( ),
,
, , ,
. ( ) ,
, . ,
,
: .
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. , 1997 .
( 1999 .).

U.S

Federal funds
Discount rate
Japan Discount rate
o/night call rate target
Euro zone
Refinancing tender
Marginal lending rate
Deposit rate
U.K
Repo rate
Canada Bank rate
Switzerland Discount rate
Sweden Repo rate
Lending rate
Deposit rate
Australia Cash rate
Denmark Discount rate
Repo rate
Norway Deposit rate
O/N lending rate
Greece
14-day depo rate
Lombard rate

5.25% (5.00)
4.75% (4.50)
0.50% (1.00)
0.15% (0.25)

Aug 24, 99
Aug 24, 99
Sept 8, 95
Feb 12, 99

2.50% (3.00)
3..5% (4.5)
1.5% (2.0)
5.25% (5.00)
4.75% (5.00)
0.50% (1.00)
2.90% (3.15)
4.25% (4.75)
2.75% (3.25)
4.75% (5.00)
2.75% (3.25)
2.85% (2.90)
6.00% (6.50)
8.00% (8.50)
12.00% (12.25) 13.50%'
(15.50)

Apr 8, 99
Apr 8, 99
Apr 8, 99
Sept 8, 99
May 4, 99
Apr 8, 99
Mar 25, 99
Feb 12, 99
Feb 12, 99
Dec 2, 98
Apr 9, 99
June 17, 99
June 16, 99
June 16, 99
Jan 13, 99
Jan 13. 99

,
.
(discount rate) , ()
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1998 .
, ,
1992 1993 .., ,
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1999 .


()

21

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(1 - ) S.
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www.koob.ru
.
, :
Discount rate. Federal funds rate, Treasury bill rates, Treasury notes rates, Treasury bond rates.
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22

www.koob.ru
, (Q=0, V=0), :
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12 .

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,
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, ,
1999 2000 . .

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,
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FED.

(rate hike -
); , ,
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24

www.koob.ru

,
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+ V = + Q,
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, 5. ,
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, V = 0,

,

.

99

99 99

99 99

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4.76

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= - ,
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( ,
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25

7.

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www.koob.ru
(leading)

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CAPU ( 9) , ,
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(, , ,
.).

www.koob.ru
; - 20-
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, ,
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8. ,
, (Gross Domestic Product, GDP) -
, ,
. (
, ).
- , .
. ,
() .
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:
GDP = + I + G + NE = PI + PR,
- (consumption), I - (investment), G -
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income), PR - (profits) .
( ),
( , Real GDP).
(Implicit Price Deflator), . ,
(Gross
National Product, GNP),
, , ,
.
28

. 8.1. ( )
, -
. 1991 68,5%
( ), 59,7% ( ,
). 1947 . 1992 .
3,1% ; (83-92 ..) 2,9%.

( )
, .
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1980 .). - .
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.
, ()
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.
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, 1999
, ,
. 8.2. 1992 , 8.3.
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, -

www.koob.ru
.
FED Volcker'a, ,
1999 , 4,5% 9,0%,
.

. 8.3.

. 8.4. .
1999 . (10 ) (10 14 )
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29

www.koob.ru
, -
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, ,
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Excel,
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.
. 9.1.

9.

(Industrial Production, IP)
, .
,
, , . IP , ,
, ,
.
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. 1992 ., 84,6%
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- (production diffusion index),
( 255), .
IP , 15 .
IP .
(1948 -1992 ..),
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0,4%.

30

IP 8 1999 .
,
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, ). 1.08 /,
;
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.

www.koob.ru

. 9.3.
. 9.2. .
(DEIP)u (DEGDD) , - PPI
.

(Capacity Utilization, CAPU)

( ) .
,

, .
, CAPU
81,5%;

. , CAPU > 85% ,
; CAPU
( ).

CAPU
. , recession ( 80,3%),
recovery ( 78,8%),
. expansion CAPU = 84%
85,4% ( 89,2%).
CAPU .
( , 1977 - 1992 ..) CAPU
. 1
, CAPU ( ).
CAPU

86

85

84

83

82,5

82

81,5

81

80.5

80

PPI

7,5

6,9

6,4

5,8

5,5

5,2

4,9

4,7

4.4

4,1

79,5

79

78,5

78

77

76

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3,5

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(Durable Goods Orders)
3
(, , , ..). 4
: (primary metals), ,
.
defense / nondefense.
,
.
, , , .
31

www.koob.ru
, .

. 9.4. ,
.
recovery. 1,5% recovery (
I960 -1992 ..) expansion.

,
(Business Inventories and Sales) ,
. ,
. : ,
(Inventories to Shipments Ratio, INSR) , 6
.
Inventories INSR .
, . 9.5.
.

32

. 9.5. ,

10.

. ,
, ,
, . ,
.
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.
,
-, .
, ,
.
.

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,
. , ,
, ,
, , ,
.
.

www.koob.ru

.

(Consumer Price Index, CPI) - ,
, ,
( , , , ,
..).
.
Pi (0) - i- ()
( ), a Pi (t) - t (), wi - ,
( 1),
I = wi Pi (t) / Pi (0).
,
,
,
.
, , 19000 57000
80% .
44,1% , 55,9% - .
( ,
), CoreCPI,
(CPI EX
FOOD&ENERGY).
CPI , .
- , CPI, CoreCPI.
, 0,2 ,
.
CPI -:
- ()
, ( foods&energy 50%),
( foods&energy 6%);
- 6 - 9
;
- ,
.

. 10.1. ,

(Producer Price Index, PPI) -
, ,
. PPI : ,
, , : , ,
. ,
. ,
, , ,
.
3400 40000 ;
: 24% . / , 7% ,
6% . : CorePPI = (PPI EX FOOD&ENERGY).
, .
PPI .
PPI :
- , CPI (food&energy 36%, CPI 23%);
- , ,
CPI;
- PPI ( ) 3 - 6
,
9 ;
- , PPI CPI
, .

33

www.koob.ru
, 5 ,
, .

. 10.2. ,
.
, CPI PPI
.
,
9 17 1999 (. 10.3),
.
,
.

6.2, 8 .
, (
, )
. ,
,
; , ,
. ,
,
( ,
- ).

1999 .
FED, ,
( FED 5 ).

, - .
34

. 10.3. /, 1999 ;
10
0,5% , 0,3%; Core PPI,
, 0,1%.
(
), FED 5 ,
, .
, ; . ,
, (
), Core PPI ;
, , .
15 : CPI 0,3% (
), Core CPI 0,1% ( 0,2); .
, FED .
.
, .
, ,
.

11.

, ,
, . ,
, , .

www.koob.ru
(Balance of Payments) ,
: , ,
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, ,

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35

www.koob.ru

. 11.5. , 21 1999.
. 11.3.
, ,
.
.
,
. ,
, , ,
.

,
.
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.
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), .
.
,
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,
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, .

36

11.5.,
.
, .
1999 ., ,
,
, . ,
-,
1998 ,
.
1999 , ,
,
() .
.

.
,
,
. .
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www.koob.ru
, / ,
. , 21 ,
, ,
, .
/ / 3.1., 3.2.,
/.

12. ,
,
- ,
.
- ; ,
.
:
, , ,
..
, -
.

.
:
- (establishment employment),
(Non-farm Payrolls);
- (household employment),
( 60000 , s )
, ;
, :
a)
employed);

(self-

b)
(, , ),
/ ,
.
payrolls , household -
. ,
.
(Unemployment Rate, UNR)
UNR=(LF-EF)/LF,
LF - (Labor Force), a EF (Employed Force).

. 12.1.
, .
, , Discouraged Workers ( ,
), % ,
- , - , , - ;
Discouraged Workers ( LF).
, .
-: UNR
- . UNR recovery, Discouraged Workers
LF, .
, household employment recovery, (expansion).
household employment , payrolls,
, .
Payrolls 500 ()
340000 , , .
- (1992 ):

:

0,6%

4,2%

16,8%

78,4%

61,3%

17,1%

37

21,6%

2,7%

www.koob.ru
Payrolls , expansion , recovery.
payrolls ( ) recovery ,
.
(Employment Diffusion
Index, EDI):
EDI = (% , ) - (% ,
)/2
, EDI < 50 .

. , ,
( 50-80- ..),
. , , :
( ) = 3% - 2*( ),
- .
, :
3% ; , ,
1,5%.
FED
NAIRU, . NAIRU - accelerating inflation rate of
unemployment - , .
( tight labor market - )
, ( , ) (
), ..;
, , -
.
. , 1992 .,
UNR = 7,4%, NAIRU 5,5%.
,
(Average Work Week) (Average Hourly Earnings).
-,
:
, .

38

. 12.2. ($/)
(. 12.2) 1999
FED, .
, , ,
FED .
Labor
Force Participation Rate, , 16 ,
Labor Force (. 12.3).

www.koob.ru
:
- (Building Permits);
- (Housing Starts);
- (Housing Completions);
- (New and Existing one-family
Home Sales);
- (Construction Expenditures).
, ,
: -, , .
, 15 .

. 12.3. Labor Force Participation Rate,

13. .
,
.

. ,
.
,
, .
,
, ,
.

,
, , . 1999 ,
,
, FED
, . ,
,
,
.
39

. 13.1. ,

, ( ,
).
, , , 1990-,
, -
.
1,5 - 2
, 1 , (
80- ..).

Washington Post, , FED
5 . 24 FED
, 1999 ,

www.koob.ru
. ,
, 33
,
.
, , 17
. ,
, ,
.
, FED ,
0,4%, , 1,676
; , 1,8% ( 1,612
).
,
, ,
FED. , ,
.

( 1,512 ).

(Retail Sales, RS) -
; ,
.
, .
, , .
1992
.
- .
- , . ,
.
, -.
, .

. 13.2. ,

(
, , 4 367 752
1991 ., 712 672 ), -
,
, (New Cars,
NCAR), - (Car and Truck Sales,
C&TS) .
,
, ,
coinsident ; .
1,5% , expansib
U,2/o; - recovery 0,9%, expansion 0 3%
, .
, 90-
; Crysler,
.
Nissan, Toyota, Isuzu.
. 13.4. ,
.

40

www.koob.ru
1)
- (University of Michigan's
Consumer Sentiment Index);
2)

3)

Conference Board - (Consumer Confidence Index);

ABC News and Money - .

. 13.3. NCAR,

. 13.5. ,

( 6 12 ) -
, ,
.. / :
1) 100 + % - % ;
2) / ( + );
3)

- (4- ).

( , ) -
.
;
, - recovery
expansion. ,
: , ,
..
( , 1987 .,
1991 ., ..)
. 13.4. NCAR

,

:
41

14.
,
, :

www.koob.ru
. , ,
, .
,

,
.

: , , , , ,
, , .
LEI , .

;
, ,
.

. ,
. ,
, ,
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.

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-, ,
, () ,
. (Leading Economic Indicator, LEI)
11 :
1. .
2.
.
3. ( 1982 ).
4. ( , ).
5. ( 1982 ).
6. .
7. (
, 1982 ).
8. .
9. S&P500 ().
10. 2 1982 .
11. (University of Michigan's Consumer Expectations Index).
LEI ,
LEI = wi *Ii .
,
, , ,
, .
,
. ,
; , ,
. ,
42

. 14.1. ,
0,2%
expansion, recovery - 0,1%; 0,3%.
LEI:
0,8%, 1,2%. -
.

,
.
, ,
( PMI) , , ;
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www.koob.ru
: "", "", " ".

. 40- , PMI
7 - 3 .

DI = (% "") + 0,5 *(% " ");

, ,
PMI TANKAN.
, :
- (expansion) (recession), a
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(
).
,
1991 . PMI 1998 , 350
: (output), (new orders), (employment),
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PMI -, 11
(EU PMI). ( 34 000 )
PMI NAPM (National Association of Purchasing
Managers), 1931 ; , ,
300 .

Purchasing Managers' Index (PMI), NAPM.
NAPN PMI, ,
- (
"higher), (lower), (unchanged)
:
- (employment),
- (commodity prices),
- (vendor deliveries),
- (production),
- (inventories),
- (new orders from customers),
- (new export and import orders),
- (order backlogs, 1993
.).
( "higher
unchanged), ,
PMI; 1994 PMI
:
PMI = 0,30 DI(new orders) + 0,25 DI(production) +
0,20 DI(employment) + + 0,15 DI(deliveries) + 0,10 DI(inventories)
PMI. PMI -
. :
- ;
- 50% - ;
- 44% - .
PMI ,
. , PMI, , ,
43

. 14.2. N I
PMI 50 ,
44 . ,
PMI , 35, 4
44, . , PMI
(
),
( , 82%
, - ).
PMI
. ,
1980-1992 .. ,
PMI (IP - industrial production) :
IP = 0,52 PMI[-2] - 23,4;
, , PMI = 45,9
(1=0). PMI :
GDP = 0,317 PMI[-1] - 13,9.
, Dl(prices)
.
, ,
, [0,100].
,
, , NPR (net percentage rising),
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www.koob.ru
NPR = 2 (DI - 50).
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, , ,
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02Aug 0800 EllPMI
JUL
N/F PCT
N'A
50.4
Q2Aug l400 US NAPM
JUL
N/F PCT
WA
57.0
02Aug 1400 US CONCTRUC SPNDG (SA)
JUN
N/F PCT
N/A
0.9
02Aug N/A US CARS
JUN
N/F MLN
N'A
N/A
03Aug 1400 US LEAD INDICATORS
JUN
+0.3
N/A
+0.3
03Aug 1400 US GDP (FINAL)
JUN
N/F MLN
WA
.669
04Aug 0500 JPN LEAD INDICATORS
JUN
N/F PCT
WA
61.1R
04Aug 0830 UK PMI SERVICES SVY
JUL
N/F PCT
/
56.6
04Aug 1400 US FACTORY ORDERS SA
JUN
+0.7 PCT
/
+1.1
04Aug 1400 US NAPM (non-mfg)
JUN
55.7 PCT
WA
57.0
05ug 0800 GER UNEMPLOYMENT
JUL
N/F PCT
WA
10.1
44

05Aug 0830 UK INDUSTRIAL PROD

05Aug 1000 E11 UNEMPLOYMENT
05Aug 1400 US PRODUCITVITY (PREL)
05Aug N/A GER MANU NEW QRDS SA
06ug 0700 ITA IND. PROD NSA(Y/Y)
06Aug 1230 US AVERAGE HRLY EARNS
06Aug 1230 US AVG WORKWK
06Aug 1230 US PAYROLL EMPLOY
06Aug 1230 US UNEMPLOYMENT

JUN
JUN
JUN
JUN
JUN
JUL
JUL
JUL
JUL

N/F PCT
N/F PCT
+2.6 PCT
N/F PCT
N/F PCT
-+0.3
N/F
191.9K
4.3 PCT

WA
WA
WA
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WA
WA
WA
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WA

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(absolute version of purchasing power
parity) 3
(Bank of England, ) 1, 5
(Bank of Japan, BOJ) 3

, . ,
, .,
. ,
, .

, (Gross Domestic Product, GDP) 8

: 0,7%.
- 0,2%,
0,4%. ,
Core CPI, , 0,4% (0.1% ).
, ,
( ), .
, ,
, . , FED ,
, .
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(Monetary Aggregates) 5

() 10
(annualized) 4
(Implicit Deflator GDP) 6, 10
(Discount Rate) 5
(Diffusion Index) 14
(Employment Diffusion Index, EDI) 12
(Government Bonds Yields) 5
(European Rate Mechanism, ERM) 1
(Tight Labor Market) 12
(Housing Completions) 13
(Durable Goods Orders) 9
3

.
3. ,
SS
1999 .,
1999 . ,
FOREX : , , ,
, , .

12
(Non-farm
Payrolls) 12
- (Dow Jones Index) 4
, (University of
Michigan's Consumer Sentiment Index) 13

(Consumer Price Index, CPI) 10

0.33

0.89

1.09

(Producer Price Index) 10

-0.79

0.56

-0.76

(Consumer Confidence Index) 13

1.09

1.88

-0.2

, 7

2.25

-3.04

-1.16

(leading), (lagging), (coinciding) 7

6.

49

(Gross National Product, GNP) 8

(Capacity Utilization, CAPU) 9

(Money Supply) 5

99

99

(Yield Curves) 5

USA

1.15

1.22

(Housing Starts) 13

UK

2.14

0.65

(Nominal Interest Rates) 6

EU-11

0.96

0.94

(Contractionary Policy, Tight Money Policy) 7

Japan

-0.23

0.45

(Leading Economic Indicator, LEI) 14

www.koob.ru
(Establishment Employment) 12
(Relative Version of Purchasing
Power Parity) 3
(Industrial Production, IP) 9
(Retail Sales, RS) 13

Interbank Offered Rate, 5

J- 3 Lending Rates, ,
5
NAIRU, Non Accelerating Inflation Rate of Unemployment (,
) 12
NIKLKEI, 4

(Inventories to Shipments Ratio INSR) 9

(Official Interest Rate) 5
(Purchasing Power Parity, PPP) 3

PMI, ,
NAPM (National Association of Purchasing Managers) 14
Rate hike, 6

(Balance of Payments) 11

Recovery, 7

(Household Employment) 12

TANKAN, , 14

Trade Weighted Dollar Index, 4

(Building Permits) 13

Treasury bills. Treasury notes, Treasury bonds, 5

(New and Existing one-family Home

Sales) 13
(New Cars, NCAR), (Car and Truck
Sales, C&TS) 13
(Interest Rate Differential) 5
(Real Interest Rates) 6

.., .., .., - .. : ,
, - , 1997

(Real GDP) 8 (Recession) 7

.. - .:, 1992

(Seasonality) 4

. . .- .: -, 1996

(SA, Seasonally Adjusted) 4

. . (.) . - : , 1996

(Average Hourly Earnings) 12

. ., . . . .
-.: -,1996

(Average Work Week) 12

., . . . . .: , 1996

(Construction Expenditures) 13

. . - .: -, 1996

(Trade Balance) 3, 11

. . .- .: "", 1996.

(Unemployment Rate, UNR) 12

., . . -.:, 1997

(Growth Cycles) 6

.., .., .. . -.: , 1998

(Labor Force) 12

Frumkin N. Guide to Economic Indicators. - M.E.Sharpe Inc,New York, London, 1990

(Employed Force) 12

Frumkin N. Tracking America's Economy. - M.E.Sharpe Inc, New York, London, 1992

(Economic Cycle), - (Business Cycle) 7

Grabbe J.O. International Financial Markets. - Prentice Hall, Engl. Cliffs, New Jersey, 1994

(Expansionary Policy, Easy Money Policy) 7

BundesBunk ( ) 1
CoreCPI, CorePPI ( EX FOOD&ENERGY) 10
Expansion, 7
Federal Reserve System, FED ( , ) 1
Federal funds rate, FedFunds,
5
FOREX - FOReign EXchange ( ) 1
Free Floating, 2
FTSE 4 Deposit Rates , 5
Discouraged Workers 12
50

Holden K., Peel D.A., Thompson J.L. Economic forecasting: an introduction. - Cambridge Univ. Press,
1990
Klopfenstein G., Stein J. Trading Currency Cross Rates. - J. Wiley & Sons, New York e.a., 1995
Luca C. Trading in the Global Currency Markets. - Prentice Hall, Engl. Cliffs, New Jersey, 1994
Makridalds S., Wheelwright S.C. Forecasting Methods for Management. - J. Wiley & Sons, New York
e.a., 1989
Niemira M.P., Zukovski G.F. Trading the Fundamentals (The trader's complete guide to interpreting
economic indicators & monetary policy). - IRWIN, Chicago e.a., 1994
Rothstein N.H. (ed.) The Handbook of Financial Futures. A Guide for Investors and Professional
Financial Managers. -McGraw-Hill Book Company, New York e.a., 1984
Van Horn J.C. Financial Market Rates and Flows. - Prentice Hall, Englewood Cliffs, New Jersey, 1994

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51