24 February, 2016

CF Index of Economic Activity

Download CF Activity Index monthly data

Suggested citation: Spanish Economic Association (2015), “CF Index of Economic Activity”, Spanish Business Cycle Dating Committee

The CF index of economic activity combines information from several data sources to extract the latent level of economic activity in real time. Readings of the indicator above (below) the zero line are usually but not uniquely associated with periods of economic expansion (recession).

Economic indicators in the CF index:

  • Gross Domestic Product or GDP (PIB in Spanish)
  • Industrial Production Index (IPI)
  • Employment (Afiliados a la Seguridad Social)
  • Purchasing Managers Index or PMI (Índice de gestores de compras)
  • Indicator of activity in the services sector (Indicador de actividad del sector servicios or IASS)
  • Economic sentiment index or ESI (Indicador de sentimientoeconómico)
  • Consumer confidence index (Indicador de confianza de los consumidores or ICC)


The CF index combines information from the list of series detailed above using a dynamic factor model (e.g., Camacho, Pérez-Quirós y Poncela, 2013). The specification of the model allows for data observed at quarterly and monthly frequencies simultaneously, as well as for interpolating data not yet released. The dynamic factor model combines all this information to generate a unique latent index of economic activity.

Movements in the CF index are anchored by fluctuations in GDP (or PIB in Spanish), which gets the most weight in the dynamic factor model. The remaining indicators are based on indices of economic activity or survey data available at high frequency and in real-time. With the obtained index we can easily read the state of the business cycle (Graph 1): when the CF index takes high levels the economy is likely in an expansion, while low readings are probably associated to a recession.


The CF index updated monthly.

See this technical note for more details.