26 Apr 2012 Philadelphia has proven to be a successful economic indicator and as In fact, Citigroup provides the so'called qCitigroup Economic dynamic factor model, the forecasting weights and the construction of the surprise index; 

Citigroup's Economic Surprise Index, a widely followed indicator of how the data are performing up to expectations, is plumbing new depths. In June of this year, the Citigroup U.S. Economic Surprise Index (CESI-US) was a minus 78 after falling from plus 57 in March. the construction of the CESI means equity market or economic Citi tracks a measure known as the "economic surprise index" for various locales, which shows how economic data are progressing relative to the consensus forecasts of market economists. The Citi Economic Surprise Index is a perfect example of unique proprietary design which has almost no bearing on those who discuss it. The models were built by quantitative analysts in Citi’s A chart we've been watching a lot lately is the Citigroup Economic Surprise Index, a proprietary gauge by Citi designed to track how well economic data is doing in comparison with economic CITIGROUP ECONOMIC SURPRISE INDEX (percent) Based on G10 Currencies (34) yardeni.com Source: Citigroup. Figure 10. Citigroup Economic Surprise Index Page 5 / March 16, 2020 / High Frequency Indicators www.yardeni.com Yardeni Research, Inc.

15 Jun 2012 a surprise index that summarizes recent economic data surprises and Interestingly, the surprise index constructed in the paper also relates to instruments that are used in In fact, Citigroup provides the so-called “Citigroup.

For comparison, the dotted lines in figure 4 show the Citi Economic Surprise Indexes (CESI). Although CESIs also measure economic news, they are constructed  16 Oct 2017 In June of this year, the Citigroup U.S. Economic Surprise Index (CESI-US) the construction of the CESI means equity market or economic  24 Dec 2013 Citi tracks a measure known as the "economic surprise index" for various locales, which shows how economic data are progressing relative to  21 Mar 2018 Citigroup Economic Surprise indices (CESIs) were originally designed Inherent mean reverting tendency: in index construction and in human  15 Jun 2012 a surprise index that summarizes recent economic data surprises and Interestingly, the surprise index constructed in the paper also relates to instruments that are used in In fact, Citigroup provides the so-called “Citigroup. Surprise indexes (e.g. Citi, Altavilla et al., 2017) use market forecast state of the economy. constructing a real-time Nowcasting Surprise Index, weighting in a.

"The Citi Economic Surprise Index is a perfect example of unique proprietary design which has almost no bearing on those who discuss it. The models were built by quantitative analysts in Citi’s FX unit and were structured for currency trading.

28 Feb 2018 (2005); Caruso (2016). 2For examples among practitioners, see the Citi Economic Surprise Index or the SIREN Index constructed by. Deutsche  1 Feb 2020 Economic Surprise Index, euro area a construction sector buoyed by low borrowing costs, the European economy is well Source: Citigroup.

1 Feb 2020 Economic Surprise Index, euro area a construction sector buoyed by low borrowing costs, the European economy is well Source: Citigroup.

21 Mar 2018 Citigroup Economic Surprise indices (CESIs) were originally designed Inherent mean reverting tendency: in index construction and in human  15 Jun 2012 a surprise index that summarizes recent economic data surprises and Interestingly, the surprise index constructed in the paper also relates to instruments that are used in In fact, Citigroup provides the so-called “Citigroup.

26 Apr 2012 Philadelphia has proven to be a successful economic indicator and as In fact, Citigroup provides the so'called qCitigroup Economic dynamic factor model, the forecasting weights and the construction of the surprise index; 

24 Dec 2013 Citi tracks a measure known as the "economic surprise index" for various locales, which shows how economic data are progressing relative to  21 Mar 2018 Citigroup Economic Surprise indices (CESIs) were originally designed Inherent mean reverting tendency: in index construction and in human  15 Jun 2012 a surprise index that summarizes recent economic data surprises and Interestingly, the surprise index constructed in the paper also relates to instruments that are used in In fact, Citigroup provides the so-called “Citigroup.

1 Feb 2012 An alternative approach is to use a quantitative measure constructed by economists at Citigroup. Their "Economic Surprise Index" is  CITIGROUP ECONOMIC SURPRISE INDEX & 10-YEAR US TREASURY BOND YIELD: 2003-2009 Surprise Index (percent) 10-Year Yield* (13-week change, basis points) yardeni.com * Average for the week ending Friday. Source: Federal Reserve Board and Citigroup. Figure 4. Citigroup Economic Surprise Index Page 2 / March 12, 2020 / Citigroup Economic Surprise Index The Citigroup Economic Surprise Indexes are a clever concoction that measures the variations in the gap between the expectations and the real economic data. The input consists of the actual econometric data that moves foreign exchange markets – the bigger the data moves forex markets, the more significant its weight in the index. The Citi Economic Surprise index is at its lowest point since mid-November after hitting its highest level since 2011 in January. As its name suggests, the index measures actual data against Wall 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). We have used the indices to explain currency spot changes over longer periods (most notably here and here in posts which still appear relevant given recent US Dollar moves). Citigroup's Economic Surprise Index, a widely followed indicator of how the data are performing up to expectations, is plumbing new depths.