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Economy in Brief

U.S. Chicago Fed Index Falls To Its Lowest Level Since The Last Recession
by Tom Moeller  September 24, 2012

The recession has been revisited. The National Activity Index (CFNAI) from the Chicago Federal Reserve deteriorated to -0.87 during August from a little revised -0.12 in July. The latest reading was the lowest since June 2009, the last month of the recession. The three-month moving average fell to -0.47, the lowest level since November 2009. During the last ten years, there has been an 81% correlation between the Chicago Fed Index and the q/q change in real GDP.

Monthly deterioration in last month's index was driven largely by a lower Production & Income component to -0.58, also its lowest level since the recession. That figure reflected the sharp 4.7% m/m drop in the output of automotive products reported by the Fed earlier this month. The other index components remained lackluster. The Employment, Unemployment & Hours component slipped to -0.04, down sharply from its January high of 0.37. The Sales, Inventories & Orders component also waffled at -0.01. The Personal Consumption & Housing series remained up from the recession low despite the m/m slip to -0.23. The Chicago Fed reported that in August, 26 of the 85 individual indicators made positive contributions to the index while 59 made negative contributions.

The CFNAI is a weighted average of 85 indicators of national economic activity. It is constructed to have an average value of zero and a standard deviation of one. Since economic activity tends toward trend growth rate over time, a positive index reading corresponds to growth above trend and a negative index reading corresponds to growth below trend.

The Chicago Federal Reserve figures are available in Haver's SURVEYS database.

One-Size-Fits-All Monetary Policy: Europe and the U.S. from the Federal Reserve Bank of Dallas is available here.


Chicago Federal Reserve Bank Aug Jul Jun Aug '11 2011 2010 2009
CFNAI -0.87 -0.12 -0.43 -0.40 0.03 -0.01 -1.63
 3-Month Moving Average -0.47 -0.26 -0.23 -0.14 -- -- --
  Personal Consumption & Housing -0.23 -0.21 -0.28 -0.35 -0.31 -0.30 -0.35
  Employment, Unemployment & Hours -0.04 -0.02 -0.03 -0.09 0.12 0.03 -0.82
  Production & Income -0.58 0.08 0.02 0.01 0.09 0.22 -0.29
  Sales, Orders & Inventories -0.01 0.02 -0.14 0.02 0.04 0.09 -0.16
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