The three-month average of the Chicago Fed National Activity Index (CFNAI) is expected to post a modest increase to 0.03 in the January update, according to The Capital Spectator’s average econometric forecast. That’s up slightly from CFNAI’s -0.13 three-month average for December. A value below -0.70 indicates an “increasing likelihood” that a recession has started, the Chicago Fed advises. The January report is scheduled for release on Monday, February 25 at 08:30 am eastern.

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 Economic Trend Index, the Capital Spectator Economic Momentum Index, 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.
ARIMA: An autoregressive integrated moving average model that analyzes the historical record of the Chicago Fed National Activity Index in R via the “forecast” package.
ES: An exponential smoothing model that analyzes the historical record of the Chicago Fed National Activity Index in R via the “forecast” package.