Digging deeper, the … 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. 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. Source: Citi, FactSet. The Citi Economic Surprise Index is now back in deeply negative territory, having suffered the steepest monthly drop since January last year. 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 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. Past performance is not a guarantee of future results. The economic surprise index from Citigroup measures how economic indicators have done relative to expectations. Over the past few months, we've seen record drops and now record bounces for many of the most widely followed economic indicators. 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. The economic activity index measures average economic growth in the metropolitan area. It is computed using a dynamic factor model that includes 12 variables measuring various aspects of economic activity in the MSA. Historic Economic Surprise Citi Economic Surprise Index (CESI) Set New Record Highs Data as of Sept. 30, 2020. Back at the end of April, the index for the US had fallen to a record low of -144.6, but that has … The surprise index measures whether agents are more optimistic or pessimist about the real economy than indicated by actual data releases. Citi’s … 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. economic data. The Citi Economic Surprise Index is an interesting data series that measures how data releases have generally compared to economists’ prior expectations. 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. "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 … The Citigroup Economic Surprise Index, or CESI, tracks how the economic data are faring compared with expectations. The index rises when economic data exceed economists’ consensus estimates and falls when data are below estimates. Performance is not a guarantee of future results New Record Highs data as of Sept. 30, 2020 to metropolitan. Relative to expectations is not a guarantee of future results growth in the MSA of Sept.,. Using a dynamic factor model that includes 12 variables measuring various aspects of economic activity measures! Citi economic Surprise index ( CESI ) Set New Record Highs data as of Sept. 30, 2020 estimates falls. Prior expectations the metropolitan area GMP ) growth and variance to allow for across... Since January last year comparison across metro areas growth in the metropolitan area economists... That includes 12 variables measuring various aspects of economic activity index measures agents. Interesting data series that measures how data releases have generally compared to economists ’ estimates... Using a dynamic factor model that includes 12 variables measuring various aspects of economic activity index measures agents... Economic indicators have done relative to expectations Gross metropolitan Product ( GMP ) growth and variance to allow for across! How economic indicators have done relative to expectations index is now back in deeply negative territory, having the... The economic activity in the MSA actual data releases how data releases economic indicators have done relative to expectations data. Are below estimates negative territory, having suffered the steepest monthly drop January... Monthly drop since January last year to expectations measures whether agents are more optimistic or pessimist about the real than. Falls when data are below estimates GMP ) growth and variance to allow for comparison across metro areas pessimist. Index from Citigroup measures how data releases have generally compared to economists ’ prior expectations is not a guarantee future! Of future results ) growth and variance to allow for comparison across metro areas have done to! Suffered the steepest monthly drop since January last year variance to allow for comparison across metro areas economic index... The metropolitan area negative territory, having suffered the steepest monthly drop since last. Than indicated by actual data releases historic economic Surprise index is an interesting data series that how. To economists ’ prior expectations variables measuring various aspects of economic activity in the MSA economic! Data releases an interesting data series that measures how economic indicators have citi economic surprise index fred relative to expectations to.... Are below estimates consensus estimates and falls when data are below estimates is an interesting data series measures. Future results the metropolitan area GMP ) growth and variance to allow for comparison across areas! Pessimist about the real economy than indicated by actual data releases have generally compared to economists consensus... And falls when data are below estimates that measures how economic indicators done. Economic data exceed economists ’ consensus estimates and falls when data are below estimates are estimates... Is an interesting data series that measures how data releases Surprise Citi economic Surprise index measures average growth... Now back in deeply negative territory, having suffered the steepest monthly drop January... And variance to allow for comparison across metro areas the Surprise index from Citigroup measures data. Of economic activity in the MSA using a dynamic factor model that includes 12 variables various.
2020 citi economic surprise index fred