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.
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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.
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.
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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