Several closely watched economic measures released over the past weeks have come in well below the Street’s expectations, indicating that inflation should not be the sole central bankers’ worry…

The Citigroup Economic Surprise Index (CESI) tracks whether a core set of economic data series has been coming in under expectations, at expectations, or over expectations. They are weighted historical standard deviations of data surprises (actual releases vs Bloomberg survey median).

The input consists of the actual econometric data that moves foreign exchange markets – the bigger the data moves in forex markets, the more significant its weight in the index. A positive reading of the Economic Surprise Index suggests that economic releases have, on balance, been beating consensus and vice versa. The indices are calculated daily in a rolling three-month window.

The chart above reveals the recent divergence between G10 economic and Emerging Market (EM) momentum. G10 economies have had a spat of disappointing data, and worries about a recession have grown. EM economies have fared better, but it is overly optimistic to expect the divergence to persist.

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