海外宏观研究笔记（一）：萨姆信号下的美联储降息规律

Group 1: Report Overview - The report is a bond专题 report focusing on the Fed's interest - rate cut rules under the Sahm Rule [1][14] - Chief analyst is Yan Ziqi, with research assistant Hong Ziyan [2] Group 2: What is the Sahm Rule - In 2019, former Fed economist Claudia Sahm proposed the Sahm Rule, which states that when the three - month moving average of the US unemployment rate rises by 0.5 percentage points or more relative to the lowest point in the previous 12 months, the economy is likely in recession [2] - The Sahm Rule is a recession indicator, not a prediction tool, and it reflects the current state of the economy [3] Group 3: Advantages and Accuracy of the Sahm Rule - The Sahm Rule is more timely than other economic recession measurement methods. Since 1953, its trigger time lags behind the NBER - declared recession start time by an average of 2.3 months, while the NBER's declaration has an average lag of 4 - 8 months [3] - The accuracy of the Sahm Rule is 100% for NBER - declared recessions. Since 1950, all 11 NBER - declared recessions were confirmed by the Sahm Rule, with a maximum lag of 4 months. However, there were two "false alarms" in 1959 and 2003 [3] Group 4: Failure Cases of the Sahm Rule - In November 1959, a 116 - day strike by steelworkers caused a short - term spike in manufacturing unemployment, leading to a false alarm. During the trigger period from November to December 1959, the ISM manufacturing PMI was above 50% [4] - In July 2003, the trigger was due to structural unemployment caused by rapid industrial - structure changes during high - speed economic growth. The GDP growth rate in Q2 2003 was 3.6%, and the ISM service PMI in July 2003 was 59.2% [4] Group 5: 2024 Sahm Signal Trigger Analysis - In April, June, and July 2024, the Sahm signal was triggered, with the three - month moving average of the U3 unemployment rate at 3.9%, 4.1%, and 4.2% respectively, exceeding the previous 12 - month low by 0.5pct, 0.5pct, and 0.6pct [5] - The unemployment rate was still not high. The average unemployment rate during the Sahm - Rule trigger period is 7%, and during the NBER - declared recession is 6%. In Q1 2024, GDP grew by 1.6% quarter - on - quarter, and in April 2024, the ISM manufacturing and service PMIs dropped below the boom - bust line, showing mild recession signs [6] Group 6: Relationship between the Sahm Rule and Fed's Interest - rate Cuts - The Fed's actual interest - rate cuts occurred before the start of recession intervals because economic slowdown was signaled by indicators like PMI before recession. The Fed also continued to cut rates during recessions [7] - In 2003, despite a false alarm of the Sahm signal, the Fed cut rates by 25BP one month before due to high unemployment and an unbalanced economic structure [7] - In 2024, the normal sequence of "rate hike→rate cut→recession" was broken, changing to "rate hike→recession→rate cut". The Fed cut rates 6 months after the first Sahm - signal warning, likely due to concerns about inflation [8] - The Fed's rate cuts in 2024 were likely influenced by the Sahm Rule. In September 2024, the Fed cut rates by 50BP when the CPI was still relatively high. The three rate cuts in 2024 occurred when the Sahm - signal value was between 0.43 - 0.47pct [9] Group 7: Outlook - Currently, the Sahm signal indicates that the US has temporarily exited the recession period. However, other indicators suggest economic slowdown risks, and there may be a possibility of re - entering a recession [10] - Future rate - cut predictions should focus on whether the Sahm - signal value rises above 0.4%. Given the current downward trend of inflation, the Fed may cut rates when the Sahm - signal value is relatively high, even before the 0.5% warning is triggered [11]