Doesn’t look like a recession that month, or in previous ones.
Figure 1: CFNAI, in standard deviation units (blue), CFNAI 3-month moving average (green). CFNAI normalized to 0 for the trend growth rate. The green dotted line indicates the threshold for expansion after a period of contraction and contraction after a period of expansion, for CFNAI 3-month MA. The lilac shading indicates a hypothetical H1 recession. Source: Chicago FedAugust release.
The three-month moving average is very slightly above zero, indicating growth at historical trend growth. It is well above the level compatible with contraction (ie recession). The CFNAI-MA3 tracks recessions defined by the NBER fairly well (see the Chicago Fed website for required charts), with the exception of the 2007 recession, where the CFNAI-MA3 crosses the threshold in April 2008 (rather than January 2008, the month after the peak defined by the NBER).
In fact, the CFNAI’s 3-month moving average has been above the contraction threshold for the entire period shown in the chart, so – contrary to some observers’ claims – I don’t see a recession in the first half of 2022, nor from August. This point is further reinforced by the CFNAI diffusion index.
Figure 2: CFNAI broadcast (brown). Below the dotted line tan indicates contraction, above indicates expansion. The lilac shading indicates a hypothetical H1 recession. Source: Chicago FedAugust release.
The diffusion index is also above the level compatible with contraction, after a period of expansion. This measure also works quite well, except for signaling an onset of recession in December 2000 rather than the contraction of the NBER from April 2001.
Thus, the CFNAI, a weighted average of 85 economic activity indicators (described here), suggests that we are not in August 2022, nor in the past year, in a recession.