Chicago Fed Financial Conditions Index

This is the Chicago Fed’s adjusted national financial conditions index (ANFCI). The ANFCI provides a weekly update on conditions in money markets, debt and equity markets and the traditional and “shadow” banking system. The ANFCI is made up of three categories of financial indicators: risk, credit and leverage. Because financial and economic conditions are closely related, the ANFCI also incorporates macroeconomic adjustments so that it is uncorrelated with broader economic trends.

The ANFCI is constructed to have an average value of zero and a standard deviation of one for the period extending from 1971 to the present. Positive values on the index signal financial conditions that are tighter than what would be predicted by prevailing macroeconomic conditions. Conversely, negative values are associated with looser-than-expected financial conditions.

While positive values on the ANFCI does not always signal an imminent downturn, the ANFCI has gone positive shortly before or during the past three recessions.