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Quantitative Finance · Glossary

What is Consensus forecast, data surprise?

Also known as: consensus forecast · data surprise

Definition 31.3 Markets II: Rates, FX and Credit · Chapter 31 — Reading a Macro Calendar and a Rates Screen

The consensus forecast of a release is the median of economists’ forecasts collected before it. The data surprise is the released value minus the consensus, often divided by the standard deviation of past surprises to make releases comparable.

Mean absolute daily change in the 2- and 10-year Treasury yields and in the 2s10s slope on employment-report days and on other days, January 2023 to September 2026. Data: Federal Reserve H.15 via FRED (DGS2, DGS10); release dates from the BLS archive.
Figure 31.2. Mean absolute daily change in the 2- and 10-year Treasury yields and in the 2s10s slope on employment-report days and on other days, January 2023 to September 2026. Data: Federal Reserve H.15 via FRED (DGS2, DGS10); release dates from the BLS archive.
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