Nowcasting Using the Chicago Fed National Activity Index

19 Pages Posted: 8 May 2014

See all articles by Scott A. Brave

Scott A. Brave

Federal Reserve Bank of Chicago

R. Butters

Indiana University

Date Written: April 29, 2014


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.

Keywords: dynamic factor models, business cycles, nowcasting

JEL Classification: C22, C53, E27

Suggested Citation

Brave, Scott A. and Butters, R., Nowcasting Using the Chicago Fed National Activity Index (April 29, 2014). Economic Perspectives, Vol. XXXVIII, No. 1, 2014. Available at SSRN:

Scott A. Brave (Contact Author)

Federal Reserve Bank of Chicago ( email )

230 South LaSalle Street
Chicago, IL 60604
United States

R. Butters

Indiana University ( email )

1309 E. Tenth St.
Bloomington, IN 47405
United States

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