Matt Putbrese, Ellen Lee



Download Project (247 KB)


A number of the Federal Reserve banks produce manufacturing activity indexes that measure the level and growth of manufacturing activity in their respective regions. The Chicago Federal Reserve’s Midwest Manufacturing index (CFMMI) is especially important because it captures a large portion of the activity in the auto industry. It also correlates well with the national manufacturing activity index. Finally because it is usually published before the Purchasing Managers’ report on future manufacturing activity, it can be considered a leading indicator. In this study we want to test the hypotheses that market and sector price indexes are positively related to the CFMMI. Using univarite regression models, we regress CFMMI on SPY, the S+P 500 ETF, as well as 10 S+P 500 sector ETF’s. Three periods of analyses are studied: (1) 2001-2012 (2) 2003-2007 and (3) 2009-2012. The two shorter run periods represent rebound/upswing periods after economic recessions. The year 2013 will be used as an outer sample forecasting period to determine if CFMMI is a leading predictor of market and sector price movements.

Publication Date


Project Designation

Independent Research

Primary Advisor

Robert Dean, Trevor Collier

Primary Advisor's Department

Economics and Finance


Stander Symposium poster


Arts and Humanities | Business | Education | Engineering | Life Sciences | Medicine and Health Sciences | Physical Sciences and Mathematics | Social and Behavioral Sciences

Do Stock Market Prices Co-Vary with Regional Manufacturing Activity: A Look at the Chicago Fed’s Manufacturing Activity Index