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Nowcasting Using the Chicago Fed National Activity Index

Author

Listed:
  • Brave, Scott

    () (Federal Reserve Bank of Chicago)

  • Butters, R. Andrew

    (Federal Reserve Bank of Chicago)

Abstract

The authors present an alternative version of the Chicago Fed National Activity Index (CFNAI), which is constructed using a methodology that allows for a more robust treatment of the underlying data series than its traditional methodology. This alternative CFNAI produces superior predictions of real gross domestic product growth for the current quarter (nowcasts) while correlating more closely with U.S. recessions than the traditional index.

Suggested Citation

  • Brave, Scott & Butters, R. Andrew, 2014. "Nowcasting Using the Chicago Fed National Activity Index," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 19-37.
  • Handle: RePEc:fip:fedhep:00005
    as

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    File URL: http://www.chicagofed.org/digital_assets/publications/economic_perspectives/2014/1Q2014_part2_brave_butters.pdf
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    References listed on IDEAS

    as
    1. Bräuning, Falk & Koopman, Siem Jan, 2014. "Forecasting macroeconomic variables using collapsed dynamic factor analysis," International Journal of Forecasting, Elsevier, vol. 30(3), pages 572-584.
    2. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008. "Nowcasting: The real-time informational content of macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
    3. Scott Brave, 2008. "Economic trends and the Chicago Fed National Activity Index," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue May.
    4. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
    5. Baker, Stuart G. & Kramer, Barnett S., 2007. "Peirce, Youden, and Receiver Operating Characteristic Curves," The American Statistician, American Statistical Association, vol. 61, pages 343-346, November.
    6. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
    7. Jungbacker, B. & Koopman, S.J. & van der Wel, M., 2011. "Maximum likelihood estimation for dynamic factor models with missing data," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1358-1368, August.
    8. Scott Brave & R. Andrew Butters, 2013. "Estimating the trend rate of economic growth using the CFNAI," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue June.
    9. Charles L. Evans & Chin Te Liu & Genevieve Pham-Kanter, 2002. "The 2001 recession and the Chicago Fed National Index: identifying business cycle turning points," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 26-43.
    10. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-162, April.
    11. Oscar Jorda & Travis Berge, 2009. "The Classification of Economic Activity into Expansions and Recessions," Working Papers 918, University of California, Davis, Department of Economics.
    12. Watson, Mark W. & Engle, Robert F., 1983. "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, vol. 23(3), pages 385-400, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Brave, Scott & Butters, R. Andrew & Justiniano, Alejandro, 2016. "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series WP-2016-5, Federal Reserve Bank of Chicago.
    2. Grover, Sean P. & Kliesen, Kevin L. & McCracken, Michael W., 2016. "A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth," Review, Federal Reserve Bank of St. Louis, vol. 98(4), pages 277-296.
    3. repec:spr:reaccs:v:23:y:2018:i:1:d:10.1007_s11142-017-9436-9 is not listed on IDEAS
    4. Jiménez Polanco, Miguel Alejandro & López Hawa, Nabil & Ramírez Escoboza, Merlym, 2016. "Indicadores Compuestos de Actividad Económica por sectores para la República Dominicana
      [Composite Indicators of Economic Activity for the Dominican Republic]
      ," MPRA Paper 75916, University Library of Munich, Germany.

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