This year, the domestic economic data has improved marginally, the added value of the industrial and service industries on the production side and the troika on the demand side from January to February are better than market expectations (including the contribution of leap year factors), the PMI in March is also higher than expected, and the Qingming tourism revenue in April is relatively bright, and the unit price of customers has returned to the pre-epidemic level. However, prices are still weak, steel demand continues to decline, safety supervision and production restrictions in the coal industry still cannot stop the decline in coal prices, and the physical volume of infrastructure is still at a low level. It is becoming more and more important to observe the overall economic situation from the scattered high-frequency indicators. We have selected 46 high-frequency indicators from various aspects to compile the CICC Macro High-Frequency Index to track the overall and structural characteristics of the economic recovery.
As the mainland is in a period of downward financial cycle and transformation of growth momentum, we divide the high-frequency index into two categories - real estate high-frequency index and non-real estate high-frequency index. The real estate high-frequency index includes 20 indicators in five dimensions: sales (volume and price of new and second-hand houses), supply (land acquisition and new listings), financing (financing of real estate enterprises and residents), upstream (steel, cement, glass), and downstream (home appliances), and 26 indicators in the four dimensions of non-real estate high-frequency index includes flow (people flow, logistics), consumption (automobiles, textiles, hotels, box office, etc.), exports (volume and price), and production (coal consumption for power generation, asphalt, automobiles, chemical operating rates, etc.). We use seasonally adjusted and moving average to eliminate holidays, leap years and outliers in high-frequency indicators, and reduce the dimensionality of principal component analysis (85% variance contribution rate) to synthesize the overall high-frequency index, real estate high-frequency index, non-real estate high-frequency index and each sub-index.
The high-frequency index shows that the post-epidemic real estate and non-real estate recovery are significantly differentiated. The overall economic high-frequency index rebounded impulsively in the first quarter of 2023;In the second quarter, after the rapid release of scene repair demand, it returned to domestic vitality, and the overall and real estate high-frequency indices slowed down again, but the non-real estate high-frequency index was still on the rise; At the beginning of the fourth quarter, the high-frequency real estate index returned to the downward trend until a new round of relaxation in December, but since the beginning of this year, the high-frequency trend of real estate has declined, and the high-frequency differentiation of non-real estate has increased. This is consistent with the negative contribution of the real estate and financial sectors to GDP since last year, the positive contribution of the non-financial real estate sector to GDP growth, and the divergence between the price of rebar, which represents the old economy, and the copper price, which represents the new economy.
In terms of real estate sub-items, supply and demand, financing, and upstream and downstream all performed poorly.
►From the perspective of sales, the volume and price of new houses have slowed down, and the sales area and amount of new houses in the 30 cities and the top 100 real estate companies have slowed down, and the new housing removal cycle in March has been extended to 28 months. In March, the transaction prices of homogeneous second-hand residential buildings in 52 cities compiled by CICC Real Estate Group fell by 1.2% month-on-month again, and the year-on-year decline expanded to -15%, and the transaction volume of second-hand residential buildings in the sample cities continued to rise, the number of second-hand housing listings continued to rise, the price adjustment range continued to expand, and the average transaction cycle rose to 209 days.
►From the perspective of supply, real estate companies are still cautious in acquiring land, the trend of land transaction area and price in 300 cities has fallen, the unsold rate is high, the premium rate is low, the number of newly opened houses is still hovering at a historical low, and the newly opened projects are dominated by rigid and improved demand.
►From the perspective of financing, although the interest rates on the first and second home loans in Baicheng have fallen to a historical low of 3.59% and 4.16% in March, and the average lending cycle of banks is also around the historical low of 22 days, the medium and long-term loans of new residents from January to March have only increased by 30 billion yuan on the basis of last year's low, and the cumulative net financing of credit bonds of real estate enterprises this year is only 1.5 billion yuan.
►From the upstream and downstream point of view, this year, the operating rate of blast furnace and coking enterprises, the output and apparent demand of rebar, and the cement delivery rate have trended downward, but benefiting from policies such as trade-in of household appliances, the two-year compound growth rate of online and offline household appliances has improved compared with December last year.
In terms of non-real estate items, the current indicator performed the best, the export trend improved, and the consumption recovery fluctuated greatly. The difference between supply (production and finished goods inventory sub-items) and demand (new orders, new export orders and orders in hand) measured by the PMI sub-item is inversely proportional to the trend of PPI.
►In terms of mobility, the flow of people is better than logistics. Vehicle logistics has recovered since last year, but it is still below the same period in 2021. However, the scale of national migration, the number of domestic flights, the congestion index, and the number of subway passengers have all exceeded the pre-epidemic level, and the number of flights from Hong Kong, Macao, Taiwan and international has also reached the highest since March 2020.
► In terms of consumption, volume precedes price. Retail and wholesale sales of passenger cars have risen rapidly since the second quarter of last year, but the CPI vehicle price has continued to fall from 1.1% in November 2021 to -4.6% in March 2024. The actual year-on-year trend of social zero has rebounded since last year, but the year-on-year trend of social zero deflator has slowed down. The unit price of Qingming tourists rose above the pre-epidemic level for the first time after the epidemic (100.5% in the same period before the epidemic, and the number of tourists recovered beyond the pre-epidemic level on Labor Day last year), and the number of consecutive holidays this year is the largest in the past decade, which is conducive to the release of service consumption demand and the recovery of service prices.
►In terms of exports, the same volume is better than the price. The deadweight tonnage of departing ships from the top 20 ports is near a historical high, while the export container freight index continued to decline last year and rebounded slightly this year. This is consistent with the year-on-year trend of the overall export volume rebounding and the year-on-year trend of export prices falling after the epidemic was liberalized last year.
►In terms of production, since the beginning of this year, the coal consumption of power generation in 25 provinces has increased by 5.7% year-on-year, higher than 3.7% in the fourth quarter of last year.
Compared with the monthly indicators of the Bureau of Statistics, the non-real estate high-frequency index has a certain similarity with the PMI trend of manufacturing and service industries, and the high-frequency index of real estate and the trend of real estate investment and sales. In terms of the meaning of assets, due to the use of the Volatility Contribution Rate (PCA) method, the overall high-frequency index is more affected by the more volatile real estate high-frequency, and its correlation with the trend of treasury bond yields is greater, while the overall high-frequency index calculated using the weighted average method is more correlated with the performance of Wind All A last year, and the real estate and non-real estate high-frequency are more correlated with the performance of real estate and non-real estate A-share sectors.
Table 1: Sub-composition of the high-frequency index
Source: Mysteel, G7, Baidu Migration, Flight Manager, China Finger Research Institute, STR, CCTD, Wind, CICC Research
Chart 2: Divergence between real estate and non-real estate high-frequency indices
Source: Wind, CICC Research
Chart 3: Breakdown of the Real Estate High Frequency Index
Source: Wind, CICC Research
Chart 4: Non-Property High Frequency Index sub-items
Source: Wind, CICC Research
Figure 5: Differentiation of added value between real estate finance and non-real estate finance
Source: Wind, CICC Research
Chart 6: The divergence in copper and steel prices also reflects the divergence between the old and new economies
Source: Wind, CICC Research
Chart 7: New home sales volume and price fell in tandem
Source: Wind, CICC Research
Figure 8: Since the second half of last year, the second-hand housing has obvious characteristics of exchanging price for volume
Source: China Index Research Institute, Kerry, CICC Research
Chart 9: Newly launched listings are dominated by rigid demand and improvement demand
Source: Soufang, 58, Beike and other real estate agency websites, CICC Research Department
Figure 10: The recovery of people flow is better than logistics
Note: The data in the graph are seasonally adjusted and normalized
Source: G7, Baidu Migration, CICC Research
Chart 11: The gap between PMI demand and supply is directly proportional to the PPI YoY
Note: PMI demand uses the average of new orders, new export orders and orders in hand, and PMI supply uses the average of production and finished goods inventories.
Source: Wind, CICC Research
Chart 12: Auto recovery precedes prices
Source: Wind, CICC Research
Chart 13: The overall social zero also shows a price for volume
Note: After 2022, the social zero deflator will be fitted by CPI and the actual social zero will be calculated
Source: Wind, CICC Research
Exhibit 14: This year's holiday schedule is the highest in nine years
Source: General Office of the State Council, Research Department, CICC
Exhibit 15: Consecutive holidays on major holidays
Source: General Office of the State Council, Research Department, CICC
Chart 16: Exports are better than prices
Note: The compound growth rate of the load usage of departing ships in the top 20 ports since 2019 has been standardized
Source: Wind, CICC Research
Chart 17: Export volume growth picks up, price growth slows down
Source: Wind, CICC Research
Exhibit 18: Non-property high-frequency and manufacturing PMIs
Source: Wind, CICC Research
Exhibit 19: Non-property high-frequency and services PMIs
Source: Wind, CICC Research
Exhibit 20: Real Estate High Frequency Indicators and Real Estate Development Investment
Source: Wind, CICC Research
Chart 21: High-frequency indicators of real estate and homogeneous comparable second-hand housing prices
Source: Wind, CICC Research
Chart 22: Total high-frequency indicators vs. 10-year Treasury yields
Source: Wind, CICC Research
Chart 23: Total HF Index vs. Wind All A Index
Source: Wind, CICC Research
Chart 24: Total high-frequency indicator vs. 10-year Treasury yield
Source: Wind, CICC Research
Chart 25: Total HF Index vs. Wind All A Index
Source: Wind, CICC Research
Article source:
This article is excerpted from: "Recovery in Divergence: Evidence from High Frequency", which has been published on April 15, 2024
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