Today from the Federal Reserve Bank of Chicago:
figure 1: Chicago Fed National Activity Index (CFNAI) (blue) and 3-month moving average (bold green). Source: Federal Reserve Bank of Chicago via FRED, author’s calculations.
Last October, CFNAI’s three-month moving average fell below 0 (ie, below trend growth).this CFNAI Notes states that “the increasing likelihood of a recession following a period of economic expansion has historically been associated with CFNAI-MA3 values below –0.70.” The CFNAI-MA3 has not yet breached this threshold; it currently reads -0.2.
Weekly indicators (data as of November 11, 2023) show year-over-year growth at or slightly above trend.
figure 2: Lewis-Mertens-Stock Weekly Economic Index (blue) and Baumeister-Leiva-Leon-Sims US Weekly Economic Conditions Index plus 2% Trend (green), all annual growth rates in %.Source: Federal Reserve Bank of New York fred, WECIaccessed 11/5, and the author’s calculations.
The WECI+2% as of 11/11 was (2.0%), while the WEI reading was 2.35%. If the 2.35% reading persists throughout the quarter, the latter could be interpreted as a year-over-year increase of 2.35%.this Baumeister et al. A reading of -0.04% is interpreted as growth below the long-term trend growth rate of 0.04%. US GDP growth averaged about 2% during 2000-19, so this implies a growth rate of 1.96% as of 2011/11.
Recall that the WEI relies on ten series of correlations for which weekly frequency is available (e.g., unemployment claims, fuel sales, retail sales), whereas the WECI relies on a mixed-frequency dynamic factor model.
Below are the regular indicators followed by the NBER BCDC, as well as the SPGMI’s monthly GDP.
image 3: Nonfarm employment employment includes preliminary baseline (dark blue), civilian employment (orange), industrial production (red), 2017 personal income excluding transfers (green), 2017 manufacturing and trade sales$ (black), Consumption of monthly GDP (pink) and GDP (blue bars) in Ch.2017$ (light blue), 2017, Ch.2017$ in 2017, all logarithms normalized to 2021M11=0. Source: BLS via FRED, U.S. Bureau of Labor Statistics preliminary benchmarksFederal Reserve, BEA 2023Q2 released for the third time, fully revised, S&P Global/IHS Markit (Nigerian macroeconomic consultant, IHS Markit) (11/1/2023 release) and the author’s calculations.
