CFNAI edition – from Chicago Fed today:
Index Points to a Pickup in Economic Growth 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 diffusion (tan). CFNAI normalized at 0 for trend growth rate. Source: Chicago Fed, July release.
Figure 2: CFNAI 3 month moving average (green). Pink dashed line indicates level at which reading after period of expansion indicates contraction. Source: Chicago Fed, July release.
Figure 3: CFNAI diffusion (tan). Below red dashed line indicates contraction, above indicates expansion. Source: Chicago Fed, July release.
The three month trailing moving average is slightly under zero, indicating growth slightly below historical trend growth. It is far above the level consistent with contraction (i.e., recession). The CFNAI-MA3 tracks pretty well with NBER defined recessions (see the Chicago Fed website for the requisite graphs), except for the 2007 recession, where the CFNAI-MA3 passes the threshold in April 2008 (rather than Jan 2008, the month after the NBER defined peak).
The diffusion index is also above the level consistent with contraction, after a period of expansion. This measure also works pretty well, with the exception of signaling a recession start in December 2000 rather than the NBER contraction starting in April 2001.
Hence, the CFNAI, a weighted average of 85 indicators of economic activity (described here), suggests we are not as of July 2022, nor have we within the past year, been in a recession.
I might note that for weekly data through August 13th, it’s not looking good for the recession call either, as noted in this post.
Figure 4: Lewis-Mertens-Stock Weekly Economic Index (blue, left scale), OECD Weekly Tracker (tan, leftt scale), Baumeister-Leiva-Leon-Sims Weekly Economic Conditions Index for US plus 2% trend (green, left scale), first principal component of Google Mobility Trends (chartreuse, right scale). Source: NY Fed via FRED, OECD, WECI, Google and author’s calculations.
(A follow up on “So you think we might be in a recession today” Part I, Part II, Part III, Part IV, Part V, Part VI, as well as “So you think we might be in recession as of mid-June”, Part I and Part II, and “So you think we might be in a recession as of mid-July”, and “So you think we might be in a recession as of end-July”)