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Understanding The CFNAI Components

Published 01/25/2018, 01:54 AM

The Chicago Fed's National Activity Index, which we reported on yesterday morning, is based on 85 economic indicators drawn from four broad categories of data:

  • Production and Income
  • Employment, Unemployment, and Hours
  • Personal Consumption and Housing
  • Sales, Orders, and Inventories

The complete list is available here in PDF format.

In this morning's Chicago Fed update, we learned that "Led by improvements in production-related indicators, the Chicago Fed National Activity Index (CFNAI) moved up to +0.27 in December from +0.11 in November. Two of the four broad categories of indicators that make up the index increased from November, and three of the four categories made positive contributions to the index in December. The index’s three-month moving average, CFNAI-MA3, ticked down to +0.42 in December from +0.43 in November."

A chart overlay of the complete multi-decade span of all four categories, even if we use the three-month moving averages, is quite challenging for visual clarity:

CFNAI Components

So here is a close-up view since 2000:

CFNAI Components since 2000

Here is a set of charts showing each of the four components since 1967. Because of the highly volatile nature of the data, the charts are based on three-month moving averages, a smoothing strategy favored by the Chicago Fed economists. The values for the months that the NBER subsequently identified as recession starts are also indicated.

Production and Income

Employment

Personal Consumption and Housing

Sales Orders and Inventories

To close this dissection of the CFNAI components, let's reassemble them for a closer look at their collective 3-month moving averages since 2007.

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CFNAI since 2007

Check back next month for another close-up look at the latest trend directions.

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