CFNAI Edition – from Chicago Fed Today:
Index shows economic growth picks up in July
The Chicago Fed National Activity Index (CFNAI) was +0.27 in July, up from -0.25 in June.
figure 1: CFNAI in standard deviation units (blue), CFNAI 3-month moving average (green), and CFNAI spread (tan). For trend growth rates, CFNAI is normalized to 0. resource: Chicago Fedreleased in July.
figure 2: CFNAI 3-month moving average (green). The pink dashed line indicates the level at which the readings after the expansion period indicate contraction. resource: Chicago Fedreleased in July.
image 3: CFNAI diffusion (tan). Below the red dashed line indicates contraction, and above it indicates expansion. resource: Chicago Fedreleased in July.
The three-month moving average is just below zero, indicating that growth is slightly below historical trend growth. It is well above the level consistent with a contraction (i.e. a recession). The CFNAI-MA3 is very consistent with the NBER-defined recession (see the Chicago Fed website for the necessary chart), except for the 2007 recession, where the CFNAI-MA3 was in April 2008 (rather than January 2008, after the recession month) exceeds the threshold. Peak defined by NBER).
After a period of expansion, the diffusion index is also above levels consistent with contraction. This measure also worked well, except to show that the recession began in December 2000, rather than the NBER contraction that began in April 2001.
Therefore, CFNAI is a weighted average of 85 indicators of economic activity (describe here), which suggests we are not in a recession as of July 2022, nor have we been in a recession over the past year.
I may note that for the weekly data through August 13, the call for a recession is also not very good, as this article states postal.
Figure 4: Lewis-Mertens-Stock Weekly Economic Index (blue, left scale), OECD Weekly Tracker (tan, left scale), Baumeister-Leiva-Leon-Sims US Weekly Economic Conditions Index plus 2% trend (green, left icon), a major component of the first Google Mobility Trends (chartreuse, right scale).Source: NY Fed via Fred, OECD, Wisio, Google and the authors’ calculations.
(Follow-up to “So you think we might be in a recession today” first part, the second part, the third part, the fourth part, the fifth part, the sixth partand “so you think we might be in a recession by mid-June”, first part and the second partand “So you think we might be in a recession by mid-July”and “So you think we might be in a recession by the end of July”)
