October 18, 2013
Chicago Fed Nat'l Activity Index: September 2013 Preview
Monday’s update of the Chicago Fed National Activity Index (CFNAI) has been postponed due to the recent government shutdown. When the data is released, September’s three-month CFNAI average is expected to rise slightly to -0.14, according to The Capital Spectator’s average econometric forecast. (The four underlying models for this projection, by the way, use data through August and so the government shutdown that delayed publication of September economic data doesn’t currently affect the CFNAI projections. For details on the models, see the summaries below.) In the previous release for August, the three-month average was reported as -0.18. Values below -0.70 indicate an "increasing likelihood" that a recession has started, according to guidelines from the Chicago Fed. Based on today's estimate, CFNAI's three-month average is projected to remain at a level that's historically associated with economic expansion, albeit at a below-trend rate.
Here's a closer look at the numbers, followed by brief definitions of the methodologies behind The Capital Spectator's projections:
VAR-4A: A vector autoregression model that analyzes four economic time series to project the Chicago Fed National Activity Index: the Capital Spectator's Economic Trend & Momentum Indexes, the Philadelphia Fed US Leading Indicator, and the Philadelphia Fed US Coincident Economic Activity Indicator. VAR analyzes the interdependent relationships of these series with CFNAI through history. The forecasts are run in R with the "vars" package.
VAR-4B: A vector autoregression model that analyzes four economic time series to project the Chicago Fed National Activity Index: US private payrolls, real personal income less current transfer receipts, real personal consumption expenditures, and industrial production. VAR analyzes the interdependent relationships of these series with CFNAI through history. The forecasts are run in R with the "vars" package.
Posted by jp at October 18, 2013 6:26 AM