It’s very important when we approach big ticket events like US CPI to look under the hood at market expectations.
Knowing the median expectations is of course very important, but understanding how expectations might be skewed under the hood can provide really insightful information.
Let’s take a look at the four key measures, starting with headline YY:
US CPI YY Forecast Distribution (10 April 2024)
We have a few outliers on the downside at 3.2% and 3.3%. But we can see that a deviation of just -0.1% or +0.1% will already surprise the bulk of market participants.
Here is Core CPI YY:
US Core CPI YY Forecast Distribution (10 April 2024)
Here we have a very similar story with only a few participants at the outer edges of expectations. Which once again means that a small deviation of -0.1% or +0.1% should already be enough to surprise almost all participants polled for today’s event.
We can see a similar story for the headline MM:
US CPI MM Forecast Distribution (10 April 2024)
On the headline MM there is a slightly bigger skew on the upside at 0.4%, but a print at 0.4% will still surprise the biggest share of participants.
Finally we have the Core MM measure:
US Core CPI MM Forecast Distribution (10 April 2024)
Probably the clearest one of them all, with a very obvious surprise factor on either a -0.1% or a +0.1% deviation.
Thus, a miss or a beat across the board of -0.1% or +0.1% has the potential to surprise the vast majority of market participants and could see some very punchy moves across the board.