Does CPI move the 10-year Treasury yield?
Verdict
- Direction (release_day): Not Significant
- Volatility (release_day): Significant
- Volatility (5d): Not Significant
On CPI release day, the direction of the 10-year Treasury yield is unpredictable (p=0.94) — but the size of the move is about 1.75× a normal day (p=0.002).
Bottom line: CPI days are volatile for Treasury yields — but the direction of the move is not predictable.
The Data
| Dimension | Horizon | Value | Baseline | Test stat | p-value | Verdict |
|---|---|---|---|---|---|---|
| Direction | release_day | 0.1 bps | 0.0 bps | 0.08 | 0.937 | Not Significant |
| Volatility | release_day | 7.5 bps | 4.3 bps | 1.75 | 0.002 | Significant |
| Volatility | 5d | 12.4 bps | 10.5 bps | 1.18 | 0.158 | Not Significant |
Methodology
- Events (N): 30
- Window: 2023-01-12 → 2025-06-11
- Baseline: Unconditional distribution of k-trading-day changes
- Look-ahead protected: Yes
- Tests: ttest_1samp_vs_zero, bootstrap_vs_baseline
Caveats
- The effect is concentrated on the release day and fades within five trading days.
- Surprise (vs. forecast) conditioning is not applied — only the release-day reaction is measured.
- Historical statistics for informational purposes only, not financial advice. Results may vary with sample, period, and baseline definition.
Source
- 10-Year Treasury Constant Maturity, Federal Reserve Board via FRED (Tier A) — DGS10