What is the distribution of forecasts for the US CPI?


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Why
it’s
important?

In
the
Asian
session,
Eamonn
published
the

range
of
estimates

for
today’s
US
CPI
report.
These
ranges
are
important
in
terms
of
market
reaction
because
when
the
actual
data
deviates
from
the
expectations,
it
creates
a
surprise
effect.
Another
important
input
in
market’s
reaction
is
the
distribution
of
forecasts.

In
fact,
although
we
can
have
a
range
of
estimates,
most
forecasts
might
be
clustered
on
the
upper
bound
of
the
range,
so
even
if
the
data
comes
out
inside
the
range
of
estimates
but
on
the
lower
bound
of
the
range,
it
can
still
create
a
surprise
effect.

Distribution
of
forecasts
for
CPI


CPI
Y/Y

  • 3.3%
    (3.9%)
  • 3.2%
    (14.9%)
  • 3.1%
    (68.8%)
  • 3.0%
    (12.4%)


CPI
M/M

  • 0.2%
    (2.8%)
  • 0.1%
    (79.2%)
  • 0.0%
    (18.0%)


Core
CPI
Y/Y

  • 3.5%
    (27.3%)
  • 3.4%
    (65.5%)
  • 3.3%
    (7.2%)


Core
CPI
M/M

  • 0.3%
    (16.4%)
  • 0.2%
    (76.8%)
  • 0.1%
    (6.8%)

We
can
ignore
the
headline
CPI
as
the
market
will
focus
on
the
Core
figures.
We
can
notice
that
the
bias
is
skewed
to
the
upside,
so
3.3%
Y/Y
and
0.1%
M/M
will
be
the
biggest
surprises
for
the
market.