Coincident Indicator MoM

The Coincident Indicator MoM is Japan's monthly Coincident Composite Index, published by the Cabinet Office through its research institute ESRI. It tracks the current state of the business cycle with 10 coincident series for production, labour, sales, profits and exports. It does not forecast the future, confirm turning points alone, or cover all activity. Its month-to-month move is measured in points, not %, with rises signaling expansion, falls signaling contraction, and size signaling tempo.

The preliminary estimate is usually published early in the month-after-next at 14:00 Japan time, and the revision follows later that month. The preliminary uses component values published up to 3 business days before release, while the revision adds confirmed values and late series.

Each release also covers the Leading and Lagging Indexes, Diffusion Indexes, 3-month and 7-month backward moving averages, contributions and the assessment. Each March release extends the data window and refreshes the amplitude, outlier and deviation rules. The base year renews every 5 years, and the component list is reviewed after cycle peaks or troughs.

It moves with 10 equally weighted series across output, demand, jobs, profits and trade, with no reverse-cycle series.

• Factory output and shipments: production for mining and manufacturing plus shipments of producer goods, durable consumer goods, and investment goods excluding transport equipment.
• Labour input and job offers: hours times non-agricultural employment (sites with 30 or more staff), plus the effective job offer rate excluding new graduates.
• Retail and wholesale sales: year-on-year sales values for consumer demand and wholesale demand.
• Operating profits: corporate earnings for all industries, interpolated from quarterly data and seasonally adjusted.
• Exports volume: external demand for Japanese goods, with trial seasonal adjustment by ESRI.

The preliminary reading for January 2024, released March 8, 2024, put the index at 110.2 on a 2020=100 base, down 5.8 points. The 3-month average fell 1.90 points and the 7-month average 0.88 points, led by producer-goods shipments at 1.25 points and production at 1.23 points. Labour input and profits entered by trend only, with levels missing, yet the assessment stayed at pausing despite the plunge.

The March 25, 2024 revision raised the index to 112.1 and eased the fall to 3.8 points, leaving the assessment at pausing. February 2024, released April 5, 2024, fell to 110.9, down 1.2 points for a second month, and the assessment shifted to a downward phase change.

1. Monthly change: compute the symmetric % change (change divided by the two-month average) for each series.

Use simple differences for ratios, rates and year-on-year series. The coincident set holds no inverted-sign series.

1. Trend and amplitude: subtract a 60-month backward moving average from each treated change.

Then divide by the interquartile range, the gap between the 75th and 25th percentiles. The range is recomputed each March from January 1980 to the latest December.

1. Outliers: cap unusually large series-specific moves so about 5% count as outliers, then add the shared cyclical part back.
2. Composite: average the standardized moves across available series, then rebuild the composite change from mean trend and mean amplitude.

Missing series leave the average but join the trend once available.

1. Level and example: cumulate the composite change into the index and rebase so the base-year average equals 100.

Example: A (1.0% over trend 2.0% and amplitude 0.5%) gives -2.0; B (0.5% over trend 0.0% and amplitude 0.2%) gives +2.5; mean 0.25.

1. Seasonal adjustment: use agency adjusted values where published; ESRI adjusts remaining inputs itself with Census X-12-ARIMA and splits quarterly profits linearly across months.