Does PPI move Treasury yields?
Verdict
- Direction (release_day): Not Significant
- Volatility (release_day): Significant
- Volatility (5d): Not Significant
PPI — the wholesale-inflation report — moves the rate-sensitive 2-year Treasury about 1.5× a normal day (p=0.03), but you can't predict the direction. The 10-year reacts less.
Bottom line: PPI nudges short-term rate expectations — a real but moderate move, with no reliable direction.
The Data
| Dimension | Horizon | Value | Baseline | Test stat | p-value | Verdict |
|---|---|---|---|---|---|---|
| Direction | release_day | -2.3 bps | 0.0 bps | -1.53 | 0.135 | Not Significant |
| Volatility | release_day | 7.1 bps | 4.8 bps | 1.48 | 0.027 | Significant |
| Volatility | 5d | 8.4 bps | 11.7 bps | 0.72 | 0.934 | Not Significant |
- Direction (release_day): Mean −2.3 bp (p=0.14); no consistent direction.
- Volatility (release_day): ≈1.48× a normal day (p=0.03). PPI hits the rate-sensitive 2-year; the 10-year reacts less (×1.33, borderline).
- Volatility (5d): No elevation beyond the release day.
Methodology
- Events (N): 36
- Window: 2023-01-18 → 2025-11-25
- Baseline: Unconditional distribution of k-trading-day changes
- Look-ahead protected: Yes
- Tests: ttest_1samp_vs_zero, bootstrap_vs_baseline
Caveats
- The effect is on the 2-year (front end); the 10-year move is borderline (×1.33, p≈0.05).
- 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
- 2-Year Treasury Constant Maturity, Federal Reserve Board via FRED (Tier A) — DGS2
- PPI release dates, U.S. Bureau of Labor Statistics (via FRED) (Tier A) — Producer Price Index