CFNAIChicago Fed National Activity Index
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The CFNAI originated in the late 1990s and early 2000s and is released on the web toward the end of each calendar month.
Table 2 shows the contemporaneous correlations between several aspects of the transcripts and economic activity as measured by the three-month moving average of the CFNAI.
New releases of the CFSBC indexes will typically come out one to two weeks after the survey is completed, while both the MEI and CFNAI are released with a one-month lag.
We focus on the impact of energy-price shocks as compared to "other macro variables" (the combined effects of the three macroeconomic variables--the CFNAI, the unemployment rate, and the federal funds rate), "other price variables" (the combined effect of shocks to food inflation, shelter inflation, and overall CPI inflation), and "unexplained" (the effect of shocks to expectations themselves).
2013) and Fong and Toh (2014), we employ past market returns and CFNAI as variables that reflect economic environments.
However, instead of reporting each of the coefficients (and their statistical significance) of the independent variables (including the CFNAI terms), Table 2 reports only the sum of the coefficients on the lagged NOP terms for each expenditure category.
The estimated coefficients indicate that increases in the VIX tend to imply decreases in the CFNAI, although this estimate is not statistically different from zero.
Moreover, the CFNAI has the ability to signal in real time the onset and end of a recession--for instance, the index did this for the 2001 and 2007-09 recessions within one to three months of the NBER dates, with an average lead time of one year prior to the official NBER announcements (Brave and Butters, 2010).
In the activity and diffusion models (panels A and D, respectively), the forecasts become much flatter, indicating that the CFNAI and the diffusion factors appear to be less predictive of inflation changes in the wake of the Great Recession.
Both the KCFSI and CFNAI have a mean of zero and a standard deviation of one.
Bureau of Economic Analysis's national income and product accounts (NIPA), as well as current and lagged values of the three-month moving average of the CFNAI alone or in combination with the 13-week moving average of one of the following sampled at the end of each month: the FCI residual, adjusted FCI, or adjusted FCI residual (which is the portion of the adjusted FCI unexplained by its historical dynamics).
The CFNAI has been shown to have desirable properties as a macroeconomic indicator, including the ability to predict changes in inflation.