Understanding the CFNAI Components - Monday, May 21

The Chicago Fed's National Activity Index, which we reported on this 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 "The Chicago Fed National Activity Index (CFNAI) ticked up to +0.34 in April from +0.32 in March. Two of the four broad categories of indicators that make up the index increased from March, and three of the four categories made positive contributions to the index in April. The index’s three-month moving average, CFNAI-MA3, increased to +0.46 in April from +0.23 in March."

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:

(Click on image to enlarge)

CFNAI Components

So here is a close-up view since 2000:

(Click on image to enlarge)

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.

(Click on image to enlarge)

Production and Income