S&P 500 index of monthly data of bull/bear markets

Input

Attribute

Description

x1

Term spreads (3M-10Y) [17]

The difference between the 3-month treasury bill rate and the 10-year treasury constant maturity rate.

x2

Term spreads (3M-5Y) [17]

The difference between the 3-month treasury bill rate and the 5-year treasury constant maturity rate.

x3

Inflation rates [17]

Related to consumer price.

x4

Industrial production growth [17]

The annual percentage increase in industrial production (includes manufacturing, mining, and construction).

x5

Money stocks (M1) [17]

M1 includes funds that are readily accessible for spending.

x6

Money stocks (M2) [17]

M2 includes a broader set of financial assets held principally by households.

x7

Federal funds rates [17]

The federal funds rate is the interest rate at which depository institutions trade federal funds (balances held at Federal Reserve Banks) with each other overnight.

x8

Unemployment rates [17]

Unemployment rate is the number of unemployed people as a percentage of the labor force, where the latter consists of the unemployed plus those in paid or self-employment.

x9

Stock return [18]

S&P 500 index.

x10

Trading volume [18]

S&P 500 trading volume.

x11

3-month MA

The difference between the S&P 500 index and its past 3-month average.

x12

12-month MA

The difference between the S&P 500 index and its past 12-month average.

Output

Attribute

Description

y

Bull market [13]

We use a 16-month moving window stretching 8-month each direction every month for the S&P 500 index to determine whether it is a local peak or trough in that window. Using this method along with other filters, we can identify all the troughs and peaks in the sample. The bull market starts from the trough and ends at the peak, representing a rising market.

Bear market [13]

The bear market starts from the peak and ends at the trough, representing a falling market.