The Federal Reserve Bank of Chicago reported that its National Activity Index declined to -0.45 during September from 0.15 in August, revised from 0.10. It was the lowest index level since April. The three-month moving average, which smoothes out volatility in the monthly figures, fell to -0.24 last month versus -0.06 in August. The figure remained below the December 2017 high of 0.51. During the last twenty years, there has been a 70% correlation between the Chicago Fed Index and the q/q change in real GDP.

The National Activity Diffusion Index, which measures the breadth of movement in the monthly series, deteriorated to -0.25 from -0.10. That remained below the peak of 0.51 in December 2017.

Declines in each of the component series contributed to last month's fall in the National Activity Index. The Production & Income series led the declines, falling to -0.37 and reversing an August rise. It was the lowest level since April. The Personal Consumption & Housing Index eased to -0.04 and also reversed the prior month's improvement. The Sales, Orders & Inventories group eased to -0.02 from -0.01 and remained below the high of 0.21 reached in January. The Employment, Unemployment & Hours series slipped to -0.02 from -0.03. It has been moving sideways since May.

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.