Understanding The CFNAI Components - Monday, June 24

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 "Led by improvements in production-related indicators, the Chicago Fed National Activity Index (CFNAI) rose to –0.05 in May from –0.48 in April. Three of the four broad categories of indicators that make up the index increased from April, but only one of the four categories made a positive contribution to the index in May. The index’s three-month moving average, CFNAI-MA3, moved up to –0.17 in May from –0.37 in April."

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:

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CFNAI Components

So here is a close-up view since 2000:

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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.

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Production and Income

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Personal Consumption and Housing

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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

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