What is the distribution of forecasts for the US CPI?

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


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


  • 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.