Nowcasting PMI in US

Nowcasting the PMI in US requires analyzing a blend of high-frequency indicators like the CISS, Oil Spot Price, Economic Surprise Index, Interbank Rates and Volatility Indices as they provide an early insight into the overall health of the economy.

< 1 mins

Time taken to
identify most
relevant indicators

18+

Relevant
leading
indicators

98,4%

MAPE
forecast
accuracy

*Indicio captures the group effect of the leading indicators, the relevance ranking of each indicator changes over time.

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Here are the leading indicators identified using Indicio:

Main variable:
United States, Business Surveys, ISM, Report on Business, Manufacturing, Purchasing Managers', SA, Index

Indicator name	Influence
United States, Leading Indicators, ECB, New Composite Indicator of Systemic Stress (CISS), Index	⭐⭐⭐⭐
United States, Crude Oil, Brent Europe Spot Price FOB, USD	⭐⭐⭐
United States, Leading Indicators, Citi, Economic Surprise Index, Index	⭐⭐
United States, Interbank Rates, LIBOR, 6 Month, Fixing	⭐
United States, Volatility Indices, CBOE, S&P 500 Volatility Index (VIX), Close	⭐
United States, Swap Rates, Macrobond, USD, 2 Year, Mid	⭐
United States, Equity Indices, S&P, 500, Index, Price Return, Close, USD	⭐
United States, Equity Indices, S&P, 500, Index (Shiller), Excess CAPE, Yield	⭐
United States, Leading Indicators, Office of Financial Research (OFR), Financial Stress Index, OFR FSI, Index	⭐
United States, Investor Surveys, AAII, Sentiment Survey, Bull-Bear Spread	⭐
United States, Balance Sheet & Flows of MFI Sector, Federal Reserve Banks, Liabilities & Capital, Total, Total Liabilities, Middle of Period, USD	⭐
United States, EIA, Oil & Gas, Refineries, Percent Utilization of Refinery Operable Capacity	⭐
United States, Government Benchmarks, Federal Reserve, 1 Month, Yield	⭐
United States, Government Benchmarks, Federal Reserve, 6 Month, Yield	⭐
United States, Traffic, Rail, Intermodal Units Originated, Total	⭐
United States, Government Benchmarks, Federal Reserve, 7 Year, Yield	⭐
United States, Balance Sheet & Flows of MFI Sector, Commercial Banks, Assets, Bank Credit, Loans & Leases in Bank Credit, Real Estate, Residential, Total, SA, USD	⭐
United States, Government Benchmarks, Federal Reserve, 10 Year, Yield	⭐

Top indicators identified

United States, Leading Indicators, ECB, New Composite Indicator of Systemic Stress (CISS), Index

The CISS measures the level of systemic financial stress within the U.S. economy. The CISS, developed by the European Central Bank (ECB), is an index that aggregates various financial market indicators (such as volatility, liquidity, and market correlations) across multiple sectors like banking, securities, and money markets. Higher values of the index indicate elevated levels of financial stress and increased risk of systemic instability, while lower values suggest more stable market conditions. It is used to monitor and assess the overall health of the financial system.

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United States, Crude Oil, Brent Europe Spot Price FOB, USD

The price of Brent is one of the major global oil benchmarks, quoted in U.S. dollars per barrel. "FOB" (Free on Board) indicates the price at which the oil is sold and shipped from its loading point in Europe, without including shipping or insurance costs. This price serves as a key indicator of global crude oil market trends, reflecting supply and demand dynamics, geopolitical events, and broader energy market conditions. It is widely used as a benchmark for pricing oil in international markets.

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United States, Leading Indicators, Citi, Economic Surprise Index, Index

The Economic Surprise Index from Citi measures the degree to which recent U.S. economic data releases deviate from market expectations. The index compares actual economic data to forecasts, with positive values indicating that economic reports have, on average, exceeded expectations, while negative values indicate that data has fallen short of expectations. This index helps assess market sentiment and the broader economic outlook, influencing investor behavior and market trends by showing whether economic conditions are better or worse than anticipated.

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