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
Index Points to Looser Financial Conditions in Week Ending October 5
The NFCI ticked down to –0.89 in the week ending October 5. Risk indicators contributed –0.39, credit indicators contributed -0.35, and leverage indicators contributed –0.15 to the index in the latest week.
The ANFCI also ticked down in the latest week, to –0.76. Risk indicators contributed –0.45, credit indicators contributed –0.37, leverage indicators contributed –0.13, and the adjustments for prevailing macroeconomic conditions contributed 0.19 to the index in the latest week.
The NFCI and ANFCI are each constructed to have an average value of zero and a standard deviation of one over a sample period extending back to 1971. Positive values of the NFCI have been historically associated with tighter-than-average financial conditions, while negative values have been historically associated with looser-than-average financial conditions. Similarly, positive values of the ANFCI have been historically associated with financial conditions that are tighter than what would be typically suggested by prevailing macroeconomic conditions, while negative values have been historically associated with the opposite.
Notes: This figure plots the NFCI, along with contributions to the index from the three categories of financial indicators (risk, credit, and leverage). The contributions sum to the overall index.
Notes: This figure plots the ANFCI, along with contributions to the index from the three categories of financial indicators (risk, credit, and leverage) and from the macroeconomic adjustments. The contributions sum to the overall index.
More about the NFCI
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 before computing the index. For details, see Chicago Fed Letter No. 386.