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 Citigroup Economic Surprise Indices are objective and quantitative measures of economic news. They are defined as weighted historical standard deviations of data surprises (actual releases vs Bloomberg survey median).
A positive reading of the Economic Surprise Index suggests that economic releases have on balance [been] beating consensus.
The indices are calculated daily in a rolling three-month window. The weights of economic indicators are derived from relative high-frequency spot FX impacts of 1 standard deviation data surprises.
The indices also employ a time decay function to replicate the limited memory of markets.
So, what are the surprise indices saying right now? The stories will probably sound familiar.
In the United States, positive economic data surprises have surged into positive territory and now stand near one-year highs.
The eurozone surprise index has been hovering right around zero, suggesting that economic data are coming in exactly as expected.
Economic data in China are still coming in slightly above expectations, though upside surprises are not as big as they were a few months ago.
Japan’s surprise index shows that after a bit of a mid-year Abenomics hangover, economists have re-calibrated expectations, and now economic data are surprising slightly to the upside.
Economic data surprises in emerging markets have, in aggregate, been negative basically all year. They have rebounded a bit recently, but still remain in the deepest negative territory of all of the surprise indices.