"The bounce in U.S. and global economic activity has been remarkably strong — illustrated, for example, by the U.S. Citi Economic Surprise Index, which … Over the past few months, we've seen record drops and now record bounces for many of the most widely followed economic indicators. Citigroup Economic Surprise indices (CESIs) were originally designed to provide trading signals for currency moves over the very short term (originally over a time horizon of just one minute). The surprise index measures whether agents are more optimistic or pessimist about the real economy than indicated by actual data releases. economic data. The Citi Economic Surprise indices, which track how economic data is coming in relative to forecasts, have been a prime example of the moves in economic data. It is computed using a dynamic factor model that includes 12 variables measuring various aspects of economic activity in the MSA. The index rises when economic data exceed economists’ consensus estimates and falls when data are below estimates. Source: Citi, FactSet. Citi’s … The Citi Economic Surprise Index is now back in deeply negative territory, having suffered the steepest monthly drop since January last year. After a shutdown-induced delay, GDP data for the final quarter of 2018 were published showing that growth slowed down to 2.6% QoQ annualised in Q4 from 3.5% in Q3. Indicators of whether data will beat or fall short of expectations are now negative in all major markets, according to Citigroup’s economic surprise indexes. The Citi Economic Surprise Index, which is largely constructed from methodology pro - posed by James and Kasikov (2008), is one well-known attempt to gauge the strength or weak - ness of the economy based on data surprises. Past performance is not a guarantee of future results. A positive (negative) reading of the surprise index suggests that economic releases have on balance been higher (lower) than consensus, meaning that agents were more pessimistic (optimistic) about the economy. The economic surprise index from Citigroup measures how economic indicators have done relative to expectations. Historic Economic Surprise Citi Economic Surprise Index (CESI) Set New Record Highs Data as of Sept. 30, 2020. The Citi Economic Surprise Index is an interesting data series that measures how data releases have generally compared to economists’ prior expectations. The index is calibrated to Gross Metropolitan Product (GMP) growth and variance to allow for comparison across metro areas. In the past 12 months, the Citi economic surprise index for Canada has provided an effective leading indicator for the S&P/TSX composite. Back at the end of April, the index for the US had fallen to a record low of -144.6, but that has … The economic activity index measures average economic growth in the metropolitan area. The Citigroup Economic Surprise Index, or CESI, tracks how the economic data are faring compared with expectations. Digging deeper, the …
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