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• W3123846849 abstract "Introduction and summary The Chicago Fed National Activity Index (CFNAI) is a monthly index of U.S. economic activity constructed from 85 data series (or indicators) classified into four groups: production and income; employment, unemployment, and hours; personal consumption and housing; and sales, orders, and inventories. (1) The index is estimated as the first principal component of the 85 data series, (2) and is essentially a weighted average of the indicators, with their individual weights representing the relative degree to which each indicator explains the overall variation among them. The CFNAI is also normalized to reflect deviations around a long-term historical rate of economic growth. As such, a zero value of the index indicates that growth in economic activity is proceeding along its long-term historical path; a negative value indicates below-average growth, while a positive value indicates above-average growth. The CFNAI, which premiered in March 2001, was originally designed as a leading indicator for inflation (Stock and Watson, 1999; and Fisher, 2000). However, much of its current value derives from its ability to capture U.S. business cycles (that is, the periodic fluctuations in economic activity around its long-term historical trend) and nowcast (3) U.S. real gross domestic product (GDP) growth (Evans, Liu, and Pham-Kanter, 2002; and Brave and Butters, 2010). The index has been shown to align with the historical timing of U.S. recessions according to the National Bureau of Economic Research (NBER), with close to 95 percent accuracy (Berge and Jorda, 2011). 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). The CFNAI's success has been more mixed in terms of predicting real GDP growth, although for the 2004-09 period its performance was on par with the median current quarter forecast from the Federal Reserve Bank of Philadelphia's Survey of Professional Forecasters (Brave and Butters, 2010). In this article, we consider an alternative version of the CFNAI that is chiefly constructed using the methodology developed in Brauning and Koopman (2014). Their method of collapsed dynamic factor (CDF) analysis4 offers several advantages over the CFNAI's traditional methodology--principal components analysis (PCA)--when it comes to estimating the index: first, through its incorporation of the dynamic properties of the time series for the index (which PCA cannot exploit) and, second, by further disentangling common drivers of the variation in the underlying data series from idiosyncratic ones. Common drivers of the CFNAI indicators are the types of macroeconomic shocks generally associated with the business cycle, while idiosyncratic drivers include shocks typically isolated to various specific sectors of the U.S. economy, as captured in the four broad categories of the CFNAI indicators. Moreover, the methodology of Brauning and Koopman (2014) makes it possible to directly link the CFNAI to broad economic indicators constructed at a lower frequency, such as quarterly real GDP growth. [FIGURE 1 OMITTED] Figure 1 plots the history of the traditional monthly CFNAI and the alternative CFNAI, which is largely based on applying the methodology of Brauning and Koopman (2014), from March 1967 through February 2014. The shaded periods in the figure represent U.S. recessions as identified by the NBER. The alternative CFNAI shown here produces a superior in-sample fit and out-of-sample projections of current quarter real GDP growth while correlating more closely with NBER recessions than the traditional CFNAI. These improvements depend on both the way in which the correlation structure of the 85 underlying data series (at a certain point in time and across time) is taken into account in the estimation procedure and the particular way in which real GDP growth and its dynamic properties are incorporated. …" @default.
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• W3123846849 date "2014-03-22" @default.
• W3123846849 modified "2023-09-27" @default.
• W3123846849 title "Nowcasting Using the Chicago Fed National Activity Index" @default.
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