Just a quick rundown of CPI data surprises. The December headline printed at 7.0% Y/Y, in line with market consensus, this marked the second consecutive figure with no upside surprise. This is why the top right chart has 0.0% for the November and December data releases, this is also reflected in the U.S. Citi Inflation Surprise index, which has come down since November to 57 and is off from the August highs.
Now, dropping some numbers I found interesting. For the last year, the average actual-consensus figure has been +0.16%, meaning the release tends to be above the estimate by this much. The 5-year standard deviation is 0.14%, if we add and subtract this from the Bloomberg survey median (7.2%) for January CPI we get 7.3%/7.1%. In other words, the band for a headline surprise has the previous mentioned range, anything above or below the 7.3%-7.1% could push re-pricing across assets. However, this is not considering impulse from the main components, which are key too.
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