It's time to review the performance of various surveys in forecasting year-on-year CPI inflation.
figure 1: Year-on-year real CPI inflation (bold black), University of Michigan survey (tan), New York Fed survey (blue) and Professional Forecasters survey (green+), all expressed as percentages. The Cleveland Federal Reserve forecast November CPI to be 12/8. The University of Michigan's observations in December were preliminary. NBER-defined recession peak-to-trough dates are in gray. Source: BLS, University of Michigan, FRED, Federal Reserve Bank of New York, Federal Reserve Bank of Philadelphia, NBER, and author's calculations.
A few interesting points.
- SPF values are accurate as of August.
- The Federal Reserve Bank of New York and the Federal Reserve Bank of Michigan have significant differences.
- Michigan has shown some big changes over the past four months.
Note that the Michigan survey showed that the unexpected downside to inflation expectations coincided with the unexpected upside in consumer sentiment.
figure 2: Michigan annual rate survey (tan) and sentiment survey (cyan). Bloomberg Consensus (Pink+) December data are preliminary. NBER-defined recession peak-to-trough dates appear gray. University of Michigan, from FRED, NBER and Bloomberg.
