Insights: Canadian Indicator Surprise Aggregate

Posted June 26, 2012 by Editor

[private]Canadian Indicator Surprise Aggregate: A Tool for Predicting Central Bank Moves

Highlights

• The Canadian Indicator Surprise Aggregate (CISA) measures the overall recent tone of the indicator news flow, helping to determine if BoC interest rate changes are forthcoming.
• Each of the 12 indicators which make up the CISA are given a Significance Score, as determined by their impact on two-year Canadian government bonds, and a Surprise Score, measuring how much initial readings differed from median forecasts. The CISA is calculated daily on a rolling three-month basis with newer indicators weighted more heavily.
• The CISA currently shows that BoC interest rate increases are not likely, based on the economic indicators from the U.S. and Canada. Current conditions in Europe make rate hikes even less likely. The DE forecast is for rates to remain unchanged through the end of the year. Risks are skewed to the downside on the possibility of a Eurozone “Lehman Moment.”

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