CPI Nowcast
generated Apr 27, 2026, 8:44 PM UTC
Target: March 2026 CPI YoY · Release: Apr 14, 2026 (released) · Last official: +3.32% (March 2026)
ⓘ
Hybrid model (release-honest) — 7-feature OLS base on full 2013–2026 history with PPI lagged 1 month (PPI for month X releases ~3 days after CPI for month X, so we use the last-released PPI), plus a Truflation residual correction applied only post-2024 (after 24mo of clean training to avoid look-ahead bias from the bulk-exported Truflation CSV).
Active-era MAE since 2024-01: 9.8 bps (n=24).
Nowcast CPI YoY
+3.78%
+46 bps vs last print
base +3.71% + Tru +7 bps
68% Confidence
±0.19pp
+3.60% → +3.97%
Backtest MAE
14.5 bps
155 months (2013-02 → 2026-01)
Direction Accuracy
80.5%
70/155 within 10bp
Core CPI YoY (ex food & energy)
MAE: 12.4 bps RMSE: 18.7 bps Dir: 58.8%
Core Nowcast
+2.75%
Last Core Actual
+2.60%
Delta
+15 bps
Weekly Forecast Evolution
Current Drivers
Contribution to nowcast (intercept = +4 bps)
Features (8)
PPI YoY (monthly) Monthly
Producer Price Index — measures wholesale goods prices.
Source: FRED WPSFD49207
coef -0.0128
contrib -0.04pp
Retail Gas YoY (weekly) Weekly
Weekly retail gasoline prices — direct CPI energy component proxy.
Source: FRED GASREGW
coef +0.0086
contrib +0.22pp
Gas Velocity (weekly) Weekly
4-week acceleration in gas YoY — catches energy regime shifts.
Source: FRED GASREGW
coef +0.0321
contrib +0.83pp
5Y Breakeven (daily) Daily
Treasury 5Y breakeven inflation rate — market-priced expectations.
Source: FRED T5YIE
coef +0.1043
contrib +0.27pp
Case-Shiller HPI YoY (lag 12m) Monthly
S&P/Case-Shiller HPI — leads CPI shelter by ~12 months.
Source: FRED CSUSHPISA
coef +0.0053
contrib +0.02pp
30Y Mortgage Rate (weekly) Weekly
30-year fixed mortgage rate — housing credit conditions.
Source: FRED MORTGAGE30US
coef -0.0276
contrib -0.17pp
CPI YoY lag-1 (AR1) Monthly
Last month's actual CPI YoY — inflation persistence (AR(1)).
Source: FRED CPIAUCSL
coef +0.9538
contrib +2.54pp
Truflation CPI YoY (post-2024 correction) Daily
Truflation US CPI proxy. Applied as RESIDUAL correction post-2024 only — point-in-time honest (CSV is bulk export, not vintage-tracked).
Source: Truflation CSV / API
coef -0.0068
contrib +0.07pp
Walk-Forward Backtest
MAE: 14.5 bps RMSE: 18.7 bps Direction: 80.5%
| Month | Actual | Nowcast | Error |
|---|---|---|---|
| 2013 — MAE 16.2 bps | |||
| 2013-02 | +2.02% | +1.89% | -12.3 bps |
| 2013-03 | +1.52% | +1.82% | +30.1 bps |
| 2013-04 | +1.14% | +1.19% | +5.4 bps |
| 2013-05 | +1.39% | +1.07% | -31.7 bps |
| 2013-06 | +1.72% | +1.45% | -26.1 bps |
| 2013-07 | +1.89% | +1.84% | -4.8 bps |
| 2013-08 | +1.54% | +1.48% | -6.3 bps |
| 2013-09 | +1.09% | +1.37% | +27.8 bps |
| 2013-10 | +0.88% | +0.81% | -6.8 bps |
| 2013-11 | +1.23% | +1.02% | -21.8 bps |
| 2013-12 | +1.51% | +1.57% | +5.4 bps |
| 2014 — MAE 15.3 bps | |||
| 2014-01 | +1.56% | +1.55% | -0.7 bps |
| 2014-02 | +1.12% | +1.16% | +4.4 bps |
| 2014-03 | +1.61% | +1.31% | -29.8 bps |
| 2014-04 | +2.02% | +2.13% | +11.1 bps |
| 2014-05 | +2.17% | +1.99% | -17.8 bps |
| 2014-06 | +2.06% | +2.43% | +36.7 bps |
| 2014-07 | +1.97% | +1.81% | -16.7 bps |
| 2014-08 | +1.72% | +1.97% | +25.9 bps |
| 2014-09 | +1.68% | +1.62% | -6.5 bps |
| 2014-10 | +1.61% | +1.69% | +8.2 bps |
| 2014-11 | +1.23% | +1.35% | +12.3 bps |
| 2014-12 | +0.65% | +0.52% | -13.7 bps |
| 2015 — MAE 14.8 bps | |||
| 2015-01 | -0.23% | +0.02% | +25.0 bps |
| 2015-02 | -0.09% | -0.40% | -30.9 bps |
| 2015-03 | -0.02% | -0.00% | +2.0 bps |
| 2015-04 | -0.10% | -0.23% | -13.0 bps |
| 2015-05 | +0.04% | +0.20% | +16.2 bps |
| 2015-06 | +0.18% | -0.01% | -18.7 bps |
| 2015-07 | +0.23% | +0.31% | +8.3 bps |
| 2015-08 | +0.24% | +0.12% | -12.0 bps |
| 2015-09 | +0.01% | -0.00% | -1.1 bps |
| 2015-10 | +0.13% | +0.13% | +0.2 bps |
| 2015-11 | +0.44% | +0.23% | -21.1 bps |
| 2015-12 | +0.64% | +0.93% | +29.6 bps |
| 2016 — MAE 10 bps | |||
| 2016-01 | +1.24% | +1.14% | -9.7 bps |
| 2016-02 | +0.85% | +0.59% | -25.6 bps |
| 2016-03 | +0.89% | +1.04% | +15.1 bps |
| 2016-04 | +1.17% | +1.07% | -10.1 bps |
| 2016-05 | +1.08% | +1.10% | +2.6 bps |
| 2016-06 | +1.08% | +1.13% | +5.5 bps |
| 2016-07 | +0.87% | +0.89% | +2.1 bps |
| 2016-08 | +1.06% | +1.03% | -2.9 bps |
| 2016-09 | +1.55% | +1.62% | +7.5 bps |
| 2016-10 | +1.69% | +1.84% | +15.7 bps |
| 2016-11 | +1.68% | +1.83% | +14.5 bps |
| 2016-12 | +2.05% | +2.13% | +8.2 bps |
| 2017 — MAE 17.5 bps | |||
| 2017-01 | +2.51% | +2.71% | +20.0 bps |
| 2017-02 | +2.81% | +3.05% | +24.3 bps |
| 2017-03 | +2.44% | +2.33% | -11.0 bps |
| 2017-04 | +2.18% | +2.45% | +27.8 bps |
| 2017-05 | +1.86% | +1.79% | -6.2 bps |
| 2017-06 | +1.64% | +1.68% | +4.1 bps |
| 2017-07 | +1.73% | +1.92% | +19.9 bps |
| 2017-08 | +1.93% | +1.92% | -0.8 bps |
| 2017-09 | +2.18% | +2.47% | +28.8 bps |
| 2017-10 | +2.02% | +1.88% | -13.9 bps |
| 2017-11 | +2.17% | +2.42% | +25.1 bps |
| 2017-12 | +2.13% | +1.85% | -28.4 bps |
| 2018 — MAE 9.3 bps | |||
| 2018-01 | +2.15% | +2.28% | +13.0 bps |
| 2018-02 | +2.26% | +2.24% | -2.5 bps |
| 2018-03 | +2.33% | +2.28% | -5.2 bps |
| 2018-04 | +2.47% | +2.45% | -1.8 bps |
| 2018-05 | +2.78% | +2.83% | +5.1 bps |
| 2018-06 | +2.81% | +2.91% | +9.8 bps |
| 2018-07 | +2.85% | +2.82% | -3.9 bps |
| 2018-08 | +2.64% | +2.76% | +11.5 bps |
| 2018-09 | +2.33% | +2.15% | -18.3 bps |
| 2018-10 | +2.49% | +2.66% | +16.4 bps |
| 2018-11 | +2.15% | +2.01% | -13.7 bps |
| 2018-12 | +2.00% | +1.89% | -10.8 bps |
| 2019 — MAE 9.5 bps | |||
| 2019-01 | +1.49% | +1.69% | +20.2 bps |
| 2019-02 | +1.52% | +1.37% | -15.0 bps |
| 2019-03 | +1.88% | +1.79% | -8.8 bps |
| 2019-04 | +2.00% | +2.02% | +2.3 bps |
| 2019-05 | +1.80% | +1.82% | +2.5 bps |
| 2019-06 | +1.67% | +1.55% | -12.0 bps |
| 2019-07 | +1.83% | +1.75% | -7.5 bps |
| 2019-08 | +1.74% | +1.65% | -9.2 bps |
| 2019-09 | +1.68% | +1.68% | +0.0 bps |
| 2019-10 | +1.73% | +1.65% | -8.4 bps |
| 2019-11 | +2.09% | +1.95% | -14.1 bps |
| 2019-12 | +2.32% | +2.46% | +14.3 bps |
| 2020 — MAE 11.1 bps | |||
| 2020-01 | +2.60% | +2.45% | -14.6 bps |
| 2020-02 | +2.34% | +2.35% | +1.1 bps |
| 2020-03 | +1.49% | +1.60% | +10.9 bps |
| 2020-04 | +0.31% | +0.57% | +25.8 bps |
| 2020-05 | +0.20% | +0.13% | -7.2 bps |
| 2020-06 | +0.72% | +0.64% | -8.1 bps |
| 2020-07 | +1.00% | +0.75% | -25.1 bps |
| 2020-08 | +1.28% | +1.20% | -8.4 bps |
| 2020-09 | +1.39% | +1.23% | -16.5 bps |
| 2020-10 | +1.23% | +1.29% | +5.5 bps |
| 2020-11 | +1.18% | +1.08% | -9.3 bps |
| 2020-12 | +1.32% | +1.31% | -0.8 bps |
| 2021 — MAE 26 bps | |||
| 2021-01 | +1.37% | +1.48% | +11.0 bps |
| 2021-02 | +1.67% | +1.74% | +6.5 bps |
| 2021-03 | +2.67% | +2.69% | +2.3 bps |
| 2021-04 | +4.13% | +3.87% | -26.7 bps |
| 2021-05 | +4.92% | +4.40% | -52.1 bps |
| 2021-06 | +5.30% | +4.82% | -47.2 bps |
| 2021-07 | +5.25% | +5.50% | +25.9 bps |
| 2021-08 | +5.15% | +5.20% | +4.9 bps |
| 2021-09 | +5.35% | +5.18% | -16.9 bps |
| 2021-10 | +6.24% | +5.69% | -54.9 bps |
| 2021-11 | +6.90% | +6.79% | -11.5 bps |
| 2021-12 | +7.17% | +6.66% | -51.8 bps |
| 2022 — MAE 21.4 bps | |||
| 2022-01 | +7.56% | +7.09% | -47.1 bps |
| 2022-02 | +7.94% | +7.79% | -15.1 bps |
| 2022-03 | +8.57% | +8.81% | +23.8 bps |
| 2022-04 | +8.23% | +8.55% | +32.2 bps |
| 2022-05 | +8.54% | +8.49% | -4.8 bps |
| 2022-06 | +8.98% | +9.13% | +15.2 bps |
| 2022-07 | +8.46% | +8.45% | -1.2 bps |
| 2022-08 | +8.22% | +7.77% | -44.8 bps |
| 2022-09 | +8.19% | +7.96% | -23.5 bps |
| 2022-10 | +7.76% | +8.11% | +35.2 bps |
| 2022-11 | +7.12% | +7.25% | +13.0 bps |
| 2022-12 | +6.40% | +6.42% | +1.4 bps |
| 2023 — MAE 17.6 bps | |||
| 2023-01 | +6.33% | +6.38% | +4.8 bps |
| 2023-02 | +5.96% | +5.90% | -5.5 bps |
| 2023-03 | +4.92% | +5.16% | +24.0 bps |
| 2023-04 | +4.95% | +4.80% | -15.0 bps |
| 2023-05 | +4.13% | +4.37% | +23.6 bps |
| 2023-06 | +3.07% | +3.44% | +36.5 bps |
| 2023-07 | +3.29% | +2.85% | -43.6 bps |
| 2023-08 | +3.72% | +3.75% | +2.5 bps |
| 2023-09 | +3.69% | +3.67% | -2.1 bps |
| 2023-10 | +3.25% | +2.96% | -29.3 bps |
| 2023-11 | +3.13% | +2.93% | -20.1 bps |
| 2023-12 | +3.32% | +3.27% | -4.1 bps |
| 2024 — MAE 8.4 bps | |||
| 2024-01 | +3.09% | +2.86% | -23.0 bps |
| 2024-02 | +3.16% | +3.11% | -5.0 bps |
| 2024-03 | +3.49% | +3.23% | -25.3 bps |
| 2024-04 | +3.36% | +3.45% | +9.1 bps |
| 2024-05 | +3.24% | +3.26% | +1.9 bps |
| 2024-06 | +2.97% | +2.92% | -4.7 bps |
| 2024-07 | +2.94% | +2.86% | -8.5 bps |
| 2024-08 | +2.61% | +2.55% | -5.9 bps |
| 2024-09 | +2.43% | +2.34% | -8.4 bps |
| 2024-10 | +2.58% | +2.52% | -5.5 bps |
| 2024-11 | +2.72% | +2.69% | -2.5 bps |
| 2024-12 | +2.87% | +2.86% | -1.2 bps |
| 2025 — MAE 11.1 bps | |||
| 2025-01 | +2.99% | +2.98% | -1.6 bps |
| 2025-02 | +2.80% | +2.90% | +9.5 bps |
| 2025-03 | +2.38% | +2.50% | +11.6 bps |
| 2025-04 | +2.33% | +2.18% | -14.7 bps |
| 2025-05 | +2.38% | +2.33% | -4.5 bps |
| 2025-06 | +2.68% | +2.49% | -18.8 bps |
| 2025-07 | +2.74% | +2.66% | -8.2 bps |
| 2025-08 | +2.94% | +2.86% | -7.4 bps |
| 2025-09 | +3.02% | +3.20% | +17.8 bps |
| 2025-11 | +2.99% | +3.08% | +9.0 bps |
| 2025-12 | +3.00% | +2.81% | -19.4 bps |
| 2026 — MAE 12.5 bps | |||
| 2026-01 | +2.83% | +2.95% | +12.5 bps |
Core CPI YoY — Walk-Forward Backtest
MAE: 12.4 bps RMSE: 18.7 bps Direction: 58.8%
| Month | Actual | Nowcast | Error |
|---|---|---|---|
| 2013 — MAE 8.1 bps | |||
| 2013-02 | +1.99% | +1.83% | -16.3 bps |
| 2013-03 | +1.89% | +2.08% | +18.9 bps |
| 2013-04 | +1.72% | +1.70% | -1.5 bps |
| 2013-05 | +1.65% | +1.50% | -14.9 bps |
| 2013-06 | +1.62% | +1.56% | -6.8 bps |
| 2013-07 | +1.70% | +1.59% | -10.5 bps |
| 2013-08 | +1.78% | +1.77% | -1.0 bps |
| 2013-09 | +1.75% | +1.75% | +0.2 bps |
| 2013-10 | +1.69% | +1.69% | +0.1 bps |
| 2013-11 | +1.74% | +1.60% | -14.4 bps |
| 2013-12 | +1.74% | +1.79% | +4.5 bps |
| 2014 — MAE 8.5 bps | |||
| 2014-01 | +1.61% | +1.73% | +11.9 bps |
| 2014-02 | +1.55% | +1.55% | -0.5 bps |
| 2014-03 | +1.65% | +1.46% | -18.9 bps |
| 2014-04 | +1.82% | +1.68% | -13.8 bps |
| 2014-05 | +1.95% | +1.90% | -4.2 bps |
| 2014-06 | +1.92% | +2.02% | +9.5 bps |
| 2014-07 | +1.84% | +1.92% | +7.2 bps |
| 2014-08 | +1.74% | +1.83% | +9.3 bps |
| 2014-09 | +1.74% | +1.70% | -4.2 bps |
| 2014-10 | +1.82% | +1.75% | -6.7 bps |
| 2014-11 | +1.74% | +1.85% | +10.5 bps |
| 2014-12 | +1.62% | +1.67% | +5.2 bps |
| 2015 — MAE 5.9 bps | |||
| 2015-01 | +1.63% | +1.50% | -13.3 bps |
| 2015-02 | +1.69% | +1.60% | -9.0 bps |
| 2015-03 | +1.75% | +1.64% | -10.3 bps |
| 2015-04 | +1.80% | +1.71% | -8.9 bps |
| 2015-05 | +1.75% | +1.79% | +3.7 bps |
| 2015-06 | +1.78% | +1.70% | -7.6 bps |
| 2015-07 | +1.83% | +1.80% | -3.5 bps |
| 2015-08 | +1.85% | +1.87% | +2.0 bps |
| 2015-09 | +1.90% | +1.86% | -3.7 bps |
| 2015-10 | +1.91% | +1.92% | +1.1 bps |
| 2015-11 | +2.00% | +1.93% | -7.2 bps |
| 2015-12 | +2.07% | +2.06% | -0.9 bps |
| 2016 — MAE 6.6 bps | |||
| 2016-01 | +2.15% | +2.14% | -0.7 bps |
| 2016-02 | +2.22% | +2.19% | -3.2 bps |
| 2016-03 | +2.14% | +2.20% | +6.2 bps |
| 2016-04 | +2.16% | +2.11% | -5.0 bps |
| 2016-05 | +2.25% | +2.16% | -9.0 bps |
| 2016-06 | +2.26% | +2.28% | +1.5 bps |
| 2016-07 | +2.17% | +2.25% | +8.4 bps |
| 2016-08 | +2.31% | +2.14% | -17.2 bps |
| 2016-09 | +2.27% | +2.40% | +13.0 bps |
| 2016-10 | +2.20% | +2.24% | +3.4 bps |
| 2016-11 | +2.15% | +2.19% | +4.9 bps |
| 2016-12 | +2.20% | +2.13% | -7.0 bps |
| 2017 — MAE 8.7 bps | |||
| 2017-01 | +2.25% | +2.25% | +0.3 bps |
| 2017-02 | +2.24% | +2.30% | +6.0 bps |
| 2017-03 | +2.05% | +2.24% | +19.1 bps |
| 2017-04 | +1.90% | +1.97% | +7.4 bps |
| 2017-05 | +1.74% | +1.86% | +12.1 bps |
| 2017-06 | +1.70% | +1.71% | +0.7 bps |
| 2017-07 | +1.68% | +1.75% | +7.1 bps |
| 2017-08 | +1.66% | +1.70% | +4.5 bps |
| 2017-09 | +1.60% | +1.69% | +9.8 bps |
| 2017-10 | +1.76% | +1.57% | -18.8 bps |
| 2017-11 | +1.74% | +1.86% | +11.8 bps |
| 2017-12 | +1.77% | +1.70% | -7.2 bps |
| 2018 — MAE 12 bps | |||
| 2018-01 | +1.89% | +1.79% | -10.4 bps |
| 2018-02 | +1.88% | +1.93% | +5.0 bps |
| 2018-03 | +2.12% | +1.85% | -27.4 bps |
| 2018-04 | +2.15% | +2.23% | +7.4 bps |
| 2018-05 | +2.27% | +2.12% | -15.3 bps |
| 2018-06 | +2.25% | +2.34% | +9.5 bps |
| 2018-07 | +2.27% | +2.21% | -6.1 bps |
| 2018-08 | +2.12% | +2.29% | +16.8 bps |
| 2018-09 | +2.20% | +2.04% | -15.4 bps |
| 2018-10 | +2.13% | +2.28% | +15.2 bps |
| 2018-11 | +2.22% | +2.08% | -13.6 bps |
| 2018-12 | +2.25% | +2.27% | +2.5 bps |
| 2019 — MAE 6.7 bps | |||
| 2019-01 | +2.18% | +2.23% | +5.5 bps |
| 2019-02 | +2.14% | +2.14% | -0.5 bps |
| 2019-03 | +2.07% | +2.11% | +4.4 bps |
| 2019-04 | +2.09% | +2.04% | -5.3 bps |
| 2019-05 | +1.97% | +2.09% | +11.9 bps |
| 2019-06 | +2.07% | +1.90% | -17.2 bps |
| 2019-07 | +2.17% | +2.12% | -4.8 bps |
| 2019-08 | +2.32% | +2.16% | -15.8 bps |
| 2019-09 | +2.33% | +2.35% | +2.4 bps |
| 2019-10 | +2.34% | +2.30% | -3.5 bps |
| 2019-11 | +2.35% | +2.32% | -3.2 bps |
| 2019-12 | +2.29% | +2.35% | +6.0 bps |
| 2020 — MAE 14.3 bps | |||
| 2020-01 | +2.28% | +2.24% | -4.0 bps |
| 2020-02 | +2.37% | +2.27% | -9.7 bps |
| 2020-03 | +2.10% | +2.46% | +36.1 bps |
| 2020-04 | +1.43% | +1.92% | +49.3 bps |
| 2020-05 | +1.22% | +1.22% | +0.6 bps |
| 2020-06 | +1.18% | +1.24% | +5.4 bps |
| 2020-07 | +1.56% | +1.15% | -41.5 bps |
| 2020-08 | +1.72% | +1.74% | +1.8 bps |
| 2020-09 | +1.72% | +1.72% | -0.3 bps |
| 2020-10 | +1.64% | +1.71% | +7.1 bps |
| 2020-11 | +1.67% | +1.59% | -7.5 bps |
| 2020-12 | +1.62% | +1.71% | +8.5 bps |
| 2021 — MAE 34.2 bps | |||
| 2021-01 | +1.38% | +1.62% | +24.1 bps |
| 2021-02 | +1.28% | +1.32% | +4.3 bps |
| 2021-03 | +1.65% | +1.35% | -29.6 bps |
| 2021-04 | +2.98% | +1.90% | -107.6 bps |
| 2021-05 | +3.79% | +3.57% | -21.7 bps |
| 2021-06 | +4.44% | +4.05% | -38.9 bps |
| 2021-07 | +4.21% | +4.93% | +71.6 bps |
| 2021-08 | +3.94% | +4.06% | +12.1 bps |
| 2021-09 | +4.00% | +3.94% | -6.4 bps |
| 2021-10 | +4.59% | +4.09% | -50.1 bps |
| 2021-11 | +4.97% | +4.99% | +1.3 bps |
| 2021-12 | +5.49% | +5.07% | -42.2 bps |
| 2022 — MAE 22.7 bps | |||
| 2022-01 | +6.05% | +5.71% | -34.9 bps |
| 2022-02 | +6.46% | +6.33% | -12.1 bps |
| 2022-03 | +6.48% | +6.82% | +33.3 bps |
| 2022-04 | +6.16% | +6.48% | +31.8 bps |
| 2022-05 | +6.03% | +6.11% | +8.0 bps |
| 2022-06 | +5.91% | +6.05% | +14.0 bps |
| 2022-07 | +5.90% | +5.80% | -10.4 bps |
| 2022-08 | +6.29% | +5.74% | -54.4 bps |
| 2022-09 | +6.62% | +6.23% | -39.6 bps |
| 2022-10 | +6.29% | +6.59% | +29.8 bps |
| 2022-11 | +5.97% | +5.98% | +0.7 bps |
| 2022-12 | +5.69% | +5.72% | +3.2 bps |
| 2023 — MAE 13.1 bps | |||
| 2023-01 | +5.54% | +5.49% | -5.3 bps |
| 2023-02 | +5.50% | +5.35% | -14.8 bps |
| 2023-03 | +5.57% | +5.31% | -25.7 bps |
| 2023-04 | +5.51% | +5.48% | -3.4 bps |
| 2023-05 | +5.34% | +5.30% | -4.1 bps |
| 2023-06 | +4.85% | +5.09% | +23.7 bps |
| 2023-07 | +4.70% | +4.50% | -19.7 bps |
| 2023-08 | +4.40% | +4.58% | +17.6 bps |
| 2023-09 | +4.13% | +4.10% | -2.5 bps |
| 2023-10 | +4.03% | +3.82% | -20.3 bps |
| 2023-11 | +4.02% | +3.84% | -17.8 bps |
| 2023-12 | +3.92% | +3.89% | -2.5 bps |
| 2024 — MAE 7.2 bps | |||
| 2024-01 | +3.86% | +3.76% | -9.4 bps |
| 2024-02 | +3.76% | +3.77% | +1.0 bps |
| 2024-03 | +3.82% | +3.67% | -14.3 bps |
| 2024-04 | +3.63% | +3.79% | +16.5 bps |
| 2024-05 | +3.39% | +3.47% | +7.5 bps |
| 2024-06 | +3.27% | +3.25% | -1.2 bps |
| 2024-07 | +3.23% | +3.17% | -5.7 bps |
| 2024-08 | +3.29% | +3.15% | -13.3 bps |
| 2024-09 | +3.28% | +3.25% | -3.1 bps |
| 2024-10 | +3.30% | +3.25% | -5.4 bps |
| 2024-11 | +3.29% | +3.31% | +2.8 bps |
| 2024-12 | +3.21% | +3.28% | +6.8 bps |
| 2025 — MAE 11.4 bps | |||
| 2025-01 | +3.28% | +3.21% | -6.9 bps |
| 2025-02 | +3.14% | +3.36% | +22.3 bps |
| 2025-03 | +2.81% | +3.06% | +25.1 bps |
| 2025-04 | +2.78% | +2.67% | -10.3 bps |
| 2025-05 | +2.77% | +2.79% | +2.6 bps |
| 2025-06 | +2.91% | +2.74% | -16.7 bps |
| 2025-07 | +3.05% | +2.97% | -8.0 bps |
| 2025-08 | +3.11% | +3.10% | -1.4 bps |
| 2025-09 | +3.02% | +3.16% | +14.5 bps |
| 2025-12 | +2.65% | +2.59% | -6.0 bps |
| 2026 — MAE 20.8 bps | |||
| 2026-01 | +2.51% | +2.72% | +20.8 bps |
Methodology
Approach
Hybrid: 7-feature OLS base (no Truflation) on full 2013-2026 history, plus a Truflation residual correction applied only after 2022-01 and only once 24 months of clean post-cutoff training are available.
Training
Base model: expanding window from 2013-01, min_train=24. Residual autocorrelation correction alpha=0.4. Truflation correction: walk-forward fit on post-2022 residuals only.
Target
CPI YoY (12-month % change in BLS CPI-U, seasonally adjusted)
No Look-Ahead
All non-Truflation features use point-in-time data with publication lags. PPI for month X is released ~3 days AFTER CPI for month X (BLS schedule), so we lag PPI by 1 month in the backtest — at row [t] we use ppi_yoy[t-1] (the last-released PPI). This removes the 3-day look-ahead in the original feature alignment. Truflation CSV is a single-shot bulk export (all rows share one created_at timestamp), so it embeds methodology hindsight. To prevent leakage, we use Truflation only as a residual correction post-2022-01, trained exclusively on data from after 2022-01, applied only once 24 months of clean training are available (i.e., 2024-01+).
Update Frequency
Weekly updates (Friday close), monthly predictions aligned to CPI release calendar.
Accuracy Stats
- Within 5 bps: 35/155
- Within 10 bps: 70/155
- Within 15 bps: 96/155
- Within 20 bps: 114/155
OLS Coefficients
| ppi_yoy | -0.0128 |
| gas_yoy | +0.0086 |
| gas_velocity | +0.0321 |
| t5yie_level | +0.1043 |
| homeprice_yoy | +0.0053 |
| mortgage_level | -0.0276 |
| cpi_yoy_lag1 | +0.9538 |
| intercept | +0.0383 |
| truflation a (offset) | +0.0849 |
| truflation b (slope) | -0.0068 |