The annual change in NGDP priced into the market is derived for that change in 7 years.

This can be seen as the growth potential in the US economy.

The US economy has, according to a forward Fisher Effect logic, increased as the Federal Reserve actions have raised long term rates. This rise has more than offset the drop in the term premium towards 0.

The change in NGDP level implicit in 7 years is not small.

This is in accord with Neo Fisherian logic that rates forced to be chronically well below the desired expected NGDP will drop NGDP annual change. This occurred from 2012 to January 2022 when it was obvious that ZIRP, ZLB, always well below a Taylor Rule rate, would be the mainstay of the Federal Reserve rate setting policy. Bernanke’s backing away from the rate rise from the “Taper Tantrum”, Yellen’s constantly citing a Neo-Wicksell logic, and then Powell declaring the end of normalization in December 2018, reinforced this view.

Covid panic further entrenched the Fed to this constant low Fed Funds policy. But the massive fiscal spends to remedy Covid stress (about 2.5 trillion in excess of what was required) ignited a strong shock rise in prices. The Federal Reserve was forced off chronic constant low Fed Funds and now seems set on changing back to a Fisher framing of setting Fed Funds.

This, if it is not reversed, will ignite nominal growth and likely, until Fed Funds are well above inflation, cause higher inflation. A good summary of this is Martin Uribe 2018 NBER paper: “The Neo-Fisher Effect: Econometric Evidence from Empirical and Optimizing Models” .

## calculating recursion for 4576 datapoints
Log SP500 to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-06-19 -7.221409 1.510369 0.7887712
2008-06-20 2021-10-27 -21.240947 2.938174 0.9715130
2021-10-28 2022-11-15 41.758797 -3.294567 0.7744288 

## calculating recursion for 4576 datapoints
Log SP500 to Log NGDP 7 Years Forward
Start_Segment End_Segment Intercept Slope r2 Segment_Length
2008-06-19 2021-10-28 -21.234464 2.937518 0.9714843 3352
2004-09-20 2008-01-16 -9.876491 1.789934 0.8942766 851
2021-10-28 2022-11-15 41.758797 -3.294567 0.7744288 268
2008-01-16 2008-06-19 -16.864665 2.506785 0.2255396 104 

## calculating recursion for 4576 datapoints
Log DJIA to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-06-19 -6.721695 1.686487 0.8123473
2008-06-20 2021-10-13 -16.650966 2.693321 0.9748844
2021-10-14 2022-11-15 32.684303 -2.196027 0.6713865 

## calculating recursion for 4576 datapoints
Log DJIA to Log NGDP 7 Years Forward
Start_Segment End_Segment Intercept Slope r2 Segment_Length
2008-06-19 2021-10-14 -16.642099 2.692418 0.9748423 3342
2004-09-20 2008-06-19 -6.721695 1.686487 0.8123473 955
2021-10-14 2022-11-15 32.684303 -2.196027 0.6713865 278 

## calculating recursion for 4576 datapoints
Log R2000 to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2007-12-31 -13.54510 2.111041 0.8698990
2008-01-02 2022-01-14 -18.98298 2.649898 0.9298513
2022-01-18 2022-11-15 33.88197 -2.595408 0.4531375 

## calculating recursion for 4576 datapoints
Log W5000 to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-01-16 -9.351447 1.976583 0.9159041
2008-01-16 2008-06-26 -16.840439 2.745007 0.2395928
2008-06-26 2021-10-20 -18.789129 2.927076 0.9657802 

## calculating recursion for 4576 datapoints
Log AAPL to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2012-12-05 -115.79935 12.231355 0.9596838
2012-12-05 2020-01-09 -46.69441 5.080324 0.9221501
2020-01-09 2022-11-15 -24.84571 2.950858 0.8162154 

## calculating recursion for 4576 datapoints
Log BRK to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2004-10-20 53.39350 -5.229508 0.8382162
2004-10-20 2005-03-15 -36.11973 4.250173 0.8183007
2005-03-15 2022-06-16 -22.91421 2.834636 0.9650973 

## calculating recursion for 4576 datapoints
Log AMZN to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2021-07-06 -79.66671 8.454155 0.9668535
2021-07-06 2022-11-15 57.94131 -5.229411 0.7109330 

## calculating recursion for 2649 datapoints
Log META to Log NGDP
Start_Segment End_Segment Intercept Slope r2 Segment_Length
2008-12-31 2014-06-16 -32.80222 3.825054 0.7963459 1993 days
2004-09-20 2008-12-31 -114.85908 12.164761 0.9284344 1563 days
2014-06-16 2015-04-02 124.03711 -11.710628 0.7893236 290 days 

## calculating recursion for 4576 datapoints
Log MSFT to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2013-04-23 -7.593476 1.104525 0.3078826
2013-04-23 2020-01-13 -58.858178 6.382764 0.9832726
2020-01-13 2022-11-15 -15.131612 2.049436 0.6910139 

## calculating recursion for 4576 datapoints
Log BA to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-01-07 -38.84544 4.494939 0.9504778
2008-01-07 2021-02-24 -45.99203 5.180052 0.9039986
2021-02-24 2022-11-15 50.28319 -4.452404 0.7578015 

## calculating recursion for 4576 datapoints
Log JPM to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2005-10-21 19.18596 -1.696675 0.6987844
2005-10-21 2007-07-19 -40.27951 4.573375 0.9112111
2007-07-19 2022-02-28 -32.49928 3.720511 0.9385774
2022-02-28 2022-10-17 51.99288 -4.650630 0.6641211 

## calculating recursion for 4576 datapoints
Log BAC to Log NGDP
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-10-07 1.494267 0.2093892 0.0058408
2008-10-07 2022-11-15 -26.053725 2.9353946 0.7445533