![]() ![]() Indeed, there are significant periods when investors don’t pay much attention to macroeconomic data at all (for example in periods of geopolitical stress or when corporate dynamics are unrelated to the broader economy). Unfortunately the macro variables that investors will pay attention to will change over time: the US trade balance used to be the most important number for markets, today most are on the lookout for signs of wage inflation. The index was never designed for this purposeĬitigroup 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).Īccordingly, the various data points that make up the index (such as jobs numbers or industrial production) were weighted according to how much surprises in each data point had previously (largely in the period since 1998) impacted currency moves over such short time horizons. This is always true of any single variable but there are also a couple of features specific to surprise indices that need to be taken into account. ![]() However, while there is information in these measures, we should be wary in overstating their importance. ![]()
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