Doesn’t look like a recession in that month, nor in previous.
Figure 1: CFNAI, in standard deviation units (blue), CFNAI 3 month moving average (green). CFNAI normalized at 0 for trend growth rate. Green dashed line denotes threshold for expansion after period of contraction, and contraction after a period of expansion, for CFNAI 3 month MA. Lilac shading denotes a hypothetical H1 recession. Source: Chicago Fed, August release.
The three month trailing moving average is very slightly above zero, indicating growth at historical trend growth. It is far above the level consistent with contraction (i.e., recession). The CFNAI-MA3 tracks pretty well with NBER defined recessions (see the Chicago Fed website for the requisite graphs), except for the 2007 recession, where the CFNAI-MA3 passes the threshold in April 2008 (rather than Jan 2008, the month after the NBER defined peak).
In fact, CFNAI 3 month moving average has been above the contraction threshold for the entire period shown in the graph, so — contra some observers’ assertions — I don’t see a recession in the first half of 2022, nor as of August. This point is further reinforced by the CFNAI diffusion index.
Figure 2: CFNAI diffusion (brown). Below tan dashed line indicates contraction, above indicates expansion. Lilac shading denotes a hypothetical H1 recession. Source: Chicago Fed, August release.
The diffusion index is also above the level consistent with contraction, after a period of expansion. This measure also works pretty well, with the exception of signaling a recession start in December 2000 rather than the NBER contraction starting in April 2001.
Hence, the CFNAI, a weighted average of 85 indicators of economic activity (described here), suggests we are not as of August 2022, nor have we within the past year, been in a recession.
