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Economy in Brief

U.S. Chicago Fed Index Drops Sharply
by Tom Moeller  November 26, 2012

The Chicago Federal Reserve reported that its National Activity Index (CFNAI) for October dropped sharply to -0.56 from an unrevised 0.00 during September. The three-month moving average also fell to -0.56, its lowest since October 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.

Deterioration in the CFNAI reflected declines in all four component series, but it was most notable in the Production & Income number. It dropped to -0.45 and gave back most of its September improvement. The Sales, Inventories & Orders series also declined sharply m/m but remained barely positive. In addition, the Employment, Unemployment & Hours series fell hard but it too remained positive. The Personal Consumption & Housing series dipped and remained negative. In this series, however, the recent trend has been improving while the others have moved sideways or deteriorated. The Chicago Fed reported that during October, 31 of the 85 individual indicators made positive contributions to the index while 54 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.


Chicago Federal Reserve Bank Oct Sep Aug Oct '11 2011 2010 2009
CFNAI -0.56 0.00 -1.13 0.07 0.03 -0.01 -1.63
 3-Month Moving Average -0.56 -0.36 -0.52 -0.17 -- -- --
  Personal Consumption & Housing -0.19 -0.17 -0.23 -0.26 -0.31 -0.30 -0.35
  Employment, Unemployment & Hours 0.07 0.13 0.00 0.03 0.12 0.03 -0.82
  Production & Income -0.45 -0.06 -0.62 0.05 0.09 0.22 -0.29
  Sales, Orders & Inventories 0.01 0.10 -0.27 0.16 0.04 0.09 -0.16
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