National Financial Conditions Index (NFCI)
The Chicago Fed’s National Financial Conditions Index (NFCI) provides a comprehensive weekly update on U.S. financial conditions in money markets, debt and equity markets and the traditional and “shadow” banking systems. Because U.S. economic and financial conditions tend to be highly correlated, we also present an alternative index, the adjusted NFCI (ANFCI). This index isolates a component of financial conditions uncorrelated with economic conditions to provide an update on financial conditions relative to current economic conditions.
The NFCI and ANFCI are updated on a weekly basis at 8:30 a.m. ET on Wednesday, and cover the time period through the previous Friday. When a federal holiday falls on a Wednesday or earlier in the week, the NFCI and ANFCI will be updated on Thursday.
Latest NFCI Release
Financial Conditions Edge Tighter in Week Ending October 2
The NFCI ticked up to −0.59 in the week ending October 2. The credit and nonfinancial leverage subindexes edged up from the previous week, while the risk subindex was unchanged and the leverage subindex ticked down.
The ANFCI also increased slightly from the previous week, to 0.10. The release of August data for the Chicago Fed National Activity Index and the Price Index for Personal Consumption Expenditures (PCE) led to an average downward revision of 0.3 standard deviations to recent values of the ANFCI.
The current level of the ANFCI indicates that financial conditions in the latest week remained somewhat tighter than what would typically be suggested by current economic conditions as captured by the three-month moving average of the Chicago Fed National Activity Index (CFNAI-MA3) and three-month total inflation according to the PCE Price Index. Tables and Data
More about the NFCI
The NFCI represents a common element taken from price, quantity and survey evidence on broad financial conditions with a unique set of desirable features:
- Weekly index frequency
- Historical coverage of nearly 40 years
- Broad coverage of financial markets (traditional and more recently developed)
- Quarterly, monthly and weekly variables with varied start and end dates
- Weights that reflect variables’ systemic and dynamic importance to the financial system
Like the Chicago Fed’s National Activity Index (CFNAI), the NFCI is a weighted average of a large number of variables (105 measures of financial activity) each expressed relative to their sample averages and scaled by their sample standard deviations. The ANFCI removes the variation in the individual indicators attributable to economic activity and inflation — as measured by the three-month moving average of the Chicago Fed’s NAI and three-month percent change in the Personal Consumption Expenditures (PCE) Price Index — before computing the index.