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Economy in Brief

Chicago Fed National Activity Index Strengthens in October
by Tom Moeller  November 22, 2021

• Index rebounds to highest level in three months.

• Production & employment lead upturn.

• Trend gain steadies.

The Chicago Fed National Activity Index (CFNAI) surged to 0.76 during October from -0.18 in September, revised from -0.13. The index is constructed by the Federal Reserve Bank of Chicago. 

The index's three-month moving average of 0.21 was little changed m/m in October after declining from 0.36 in August. 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 component led last month's strength with a rise to 0.44 from -0.35 in September. It was the highest level since March. The Employment, Unemployment & Hours component improved to 0.24 from 0.16. It was a three-month high. The Personal Consumption & Housing reading edged higher to 0.03 last month from 0.01 in September. The Sales, Orders & Inventories index improved to 0.05 from 0.01. It also was the highest level since July.

The CFNAI diffusion index, which measures the breadth of movement in the component series, edged higher to 0.17 in October from 0.14 in September. Sixty-one of the 85 component series contributed positively to the overall index and 24 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 Oct Sep Aug Oct'20 2020 2019 2018
Chicago Fed National Activity Index (+ = Growth Above Trend) 0.76 -0.18 0.05  1.08 -0.48 -0.20 0.05
   Production & Income 0.44 -0.35 -0.07 0.43 -0.13 -0.13 0.02
   Employment, Unemployment & Hours 0.24 0.16 0.14 0.46 -0.31 0.00 0.08
   Personal Consumption & Housing 0.03 0.01 0.05 0.01 -0.04 -0.02 -0.04
   Sales, Orders & Inventories 0.05 0.01 -0.06 0.19 0.00 -0.05 -0.01
CFNAI 3-Month Moving Average 0.21 0.22 0.36 0.89 -- -- --
CFNAI Diffusion Index 0.17 0.14 0.18 0.58 0.19 -0.18 0.04
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