Persistence and structural breaks in U.S. leading economic indicators: a fractional integration approach

This paper analyzes the persistence of three U.S. market-based Leading Economic Indicators (LEIs): the 10Y–2Y Treasury yield spread, Class 8 truck sales, and the S&P 500 price-to-earnings ratio. Using monthly data (1985–2025) and fractional integration methods, we find heterogeneous dynamics across indicators. Truck sales exhibit a mean reverting nonstationary behaviour, suggesting temporary, though long lasting effects of shocks, whereas the P/E ratio and more significantly, the yield spread display stronger degrees of persistence. A structural break is identified in the three series around March 2009, associated with the global financial crisis. The results highlight important implications for forecasting and macroeconomic monitoring.