The initial jobless claims as a variable is basically a quicker indicative measure of what's happening in the labor market before you really see the effects. Because it reflects individuals filing official jobless claims (for unemployment benefits etc.), it's sometimes seen as a valuable enough indicator or measure-of-health by analysts.
Starting from 2008, a simple plot between the S&P 500 index and an inverted claims variable reveals phases of high co-movement. Overall, there's a -.92 correlation and a simple regression line has a fit of roughly 0.85. The key though, is not the relationship necessarily (right now, for example, the claims aren't low enough to justify the additional buoyancy in the stock market). Or for that matter, since the S&P 500 was/is close to 1620, a claims estimate would be around the 250,000 mark - a far cry from the 324,000 it is now.
This is what the graph over time looks like:
And the scatterplot looks like this:
The main thing over this time period though (beginning 2008 to present) is the convergence of the two. The gap widens (I rebased them to start as an index and looked at the difference) till it peaks in March 2009 and then a convergence begins till it hits zero in January this year and turns once again:
A simple equities-fundamentals disconnect? A rotational impact? Where to now?
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