The Citi Economic Surprise Index and the S&P 500 often demonstrate a significant degree of correlation, implying that unexpected surprises in US economic data can influence fluctuations in US equity markets.
Here, it is important to remember that the Citi Economic Surprise Index reports the sum differences between official economic results and their forecasts.
Thus, a declining surprise index means that the economic data is coming in weaker than expected, which typically portends a period of slowing growth and weaker economic conditions.
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