Inflation Shock Momentum — interactive explorer

Benchmark model

AR(p) used for the rolling residuals (Eq. 3).

Run length k

Consecutive same-signed residuals to flag momentum (Eqs. 4-5).

Weighting

extensive = sign only; size = ×|Σ residuals|; stickiness = ×1/(1−ρ̂).

Author series Components S⁺ / S⁻ PCE inflation (12m)

Sample start:

Last 22 ISM prints

Top drivers

What am I looking at?

For each of ~130 disaggregated PCE categories we fit a rolling AR(p) benchmark for monthly inflation and keep the latest residual. A category has positive momentum when its last k residuals are all positive, negative when all negative. The ISM index is the expenditure-weighted positive share (S⁺) minus the negative share (S⁻). The drivers chart decomposes the latest index value into each category's contribution ω_i·(M⁺_i−M⁻_i), which sum exactly to the index.

Data refreshes automatically each month via a GitHub Action that re-runs the export and redeploys. Want to feed in your own forecasts or run the impulse responses / out-of-sample tests? See the notebooks in the repo.