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Economy in Brief

Chicago Fed National Activity Index Declines in September
by Tom Moeller  October 25, 2021

• Reading turns negative for first time since July.

• Trend gain softens.

• Three of four components remain positive.

The Chicago Fed National Activity Index (CFNAI) weakened to -0.13 during September from 0.05 in August, revised from 0.29. It was the first negative reading since April. The index is constructed by the Federal Reserve Bank of Chicago. 

The index's three-month moving average, which irons out the m/m volatility in the index, slipped to 0.25 last month from 0.38 in August. It was the lowest figure in three months. During the last 10 years, there has been an 88% correlation between the change in the Chicago Fed Index and quarterly growth in real GDP.

The Production & Income index declined to -0.37 last month from -0.08 in August, revised from +0.11. The Employment, Unemployment & Hours component improved to 0.16 in September from the prior month's 0.09, revised from 0.12. The Personal Consumption & Housing reading held steady in September at 0.02. The Sales, Orders & Inventories index improved to 0.07 in September from 0.01 in August, revised from 0.03.

The CFNAI diffusion index, which measures the breadth of movement in the component series, edged higher to 0.22 in September from 0.20 in August. Forty-three of the 85 component series contributed positively to the overall index and 42 made negative contributions.

The CFNAI is a weighted average of 85 monthly 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 CFNAI was constructed using data available as of October 25, 2021. Fifty of the 85 indicators had been published at that time. For all missing data, estimates were used in constructing the index.

These figures are available in Haver's SURVEYS database.

Federal Reserve Bank of Chicago Sep Aug Jun Sep'20 2020 2019 2018
Chicago Fed National Activity Index (+ = Growth Above Trend) -0.13 0.05 0.83 0.37 -0.48 -0.20 0.05
   Production & Income -0.37 -0.08 0.44 -0.09 -0.13 -0.13 0.02
   Employment, Unemployment & Hours 0.16 0.09 0.41 0.31 -0.31 0.00 0.08
   Personal Consumption & Housing 0.02 0.02 -0.14 0.12 -0.04 -0.02 -0.04
   Sales, Orders & Inventories 0.07 0.01 0.11 0.03 0.00 -0.05 -0.01
CFNAI 3-Month Moving Average 0.25 0.38 0.40 1.42 -- -- --
CFNAI Diffusion Index 0.22 0.20 0.32 0.58 0.19 -0.18 0.04
 
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