Historically, has anyone found a consistent lead-lag relationship between CPI and PPI prints that provides an edge in short-term FX forecasting, particularly for pairs like $EURUSD or $GBPUSD? Or is it more about the delta in market expectations around these releases?
I've definitely seen some correlations, especially when there are significant divergences between the two. PPI can signal future CPI moves, but it's not always a clean lead. Market expectations are crucial, you're right there.
For short-term FX, I'd argue it's almost entirely about the delta to expectations. The market's already priced in a lot of the PPI-to-CPI pass-through. A surprise is what moves the needle, not the relationship itself.
While the theoretical link is strong, practical trading with it is tough. Too many other factors influence FX, and the lead-lag isn't always consistent enough to be a reliable edge. I tend to look at the overall inflation picture rather than trying to perfectly time that specific dynamic.