Macro or Noise

Glossary

Definitions for the terms used across this site. Everything here is measured with public U.S. government data; see what is an event study? for how the tests work.

Economic releases

CPI (Consumer Price Index) — the U.S. government's main measure of consumer inflation, published monthly by the Bureau of Labor Statistics. The headline year-over-year figure is what most people mean by "the inflation rate." Markets watch it closely as a driver of Fed policy.

Core CPI — CPI excluding food and energy prices, which are volatile. Often seen as a cleaner read on the underlying inflation trend.

PPI (Producer Price Index) — inflation measured at the wholesale level: prices received by producers, one step up the supply chain from CPI. Published monthly by the Bureau of Labor Statistics.

PCE (Personal Consumption Expenditures price index) — an alternative inflation gauge published by the Bureau of Economic Analysis. It is the measure the Federal Reserve's 2% target is officially defined against, though it arrives about two weeks after CPI.

NFP / Jobs report (Employment Situation) — the monthly U.S. labor-market report from the Bureau of Labor Statistics. "Nonfarm payrolls" (NFP) is its headline line: the net change in jobs. Widely considered the single most important scheduled release.

Jobless claims — the weekly count of new applications for unemployment insurance, from the Department of Labor. Timely and high-frequency, but noisy.

Retail sales — the monthly measure of consumer spending at retailers, from the Census Bureau. The main read on the U.S. consumer.

GDP (Gross Domestic Product) — the broadest measure of U.S. economic output, published quarterly by the Bureau of Economic Analysis. The "advance" estimate is the first and most market-relevant release; it describes a quarter that has already ended.

FOMC (Federal Open Market Committee) — the Federal Reserve committee that sets the U.S. policy interest rate. It announces decisions eight times a year, each followed by a press conference.

Markets

Treasury yield — the interest rate on U.S. government debt. Yields move opposite to bond prices. Because Treasuries are considered risk-free, their yields anchor borrowing costs across the economy.

The yield curve / maturities (3M, 2Y, 5Y, 10Y, 30Y) — Treasuries are issued at different maturities, from 3 months to 30 years. Plotting their yields gives the "yield curve." The short end (3-month, 2-year) is driven mainly by current and expected Fed policy; the long end (10-, 30-year) reflects longer-run growth and inflation expectations. The belly is the middle (2–5 year).

2s10s spread — the 10-year yield minus the 2-year yield, a widely watched gauge of the curve's shape.

Broad U.S. dollar index (DTWEXBGS) — the Federal Reserve's trade-weighted measure of the dollar's value against a basket of foreign currencies. We use this rather than proprietary indices because it is public domain.

WTI and Brent crude — the two main benchmark prices for crude oil (U.S. and international, respectively), published by the U.S. Energy Information Administration.

Statistics and method

Basis point (bp) — one hundredth of a percentage point. A move from 4.00% to 4.08% is 8 basis points. Yields are quoted this way because their moves are small.

Event study — the method behind every result here: gather all instances of an event, measure the market's move around each, and compare to normal. See what is an event study?.

Baseline — what a "normal" move looks like: the distribution of market moves across all trading days, not just event days. Every result is measured against it.

Direction — the average signed move around an event. If it is near zero, the event does not move the market in a predictable direction.

Volatility (size) — the average absolute move around an event, compared to the baseline. A ratio above 1.0 means the market moves more than usual; below 1.0 means it is quieter than usual.

Ratio (×) — how large the event-day move is relative to a normal day. "×1.75" means about 1.75 times a normal day.

p-value — roughly, the probability of seeing a result this strong if the event actually had no effect. We treat p below 0.05 as evidence of a real effect; results near the line are reported as not established.

Significance — a result is "significant" when it is unlikely to be a fluke (low p-value). Note that statistical significance is about reliability, not size or importance.

Multiple-testing correction (Benjamini-Hochberg / FDR) — an adjustment applied when testing many event-and-market combinations at once, because some will look significant by chance. A result is called robust only if it survives this correction. See the full grid.

Look-ahead protected — a test that never uses information unavailable at the time of the event. Our windows start from the prior day's close, before the release is public.

Null result — a finding that an event does not have a detectable effect. With a large enough sample (like our 150 jobless-claims releases), a null is an informative result, not just an absence of one.

Related

Historical statistics for informational purposes only, not financial advice.