I was wondering if there are any papers on CPI announcements' impact on the price of certain securities that are tied to inflation rates. I know there are derivatives for inflation rate, but I was wondering if there are any studies on the impact of monthly CPI reports on TIPs or other fairly liquid or exchange traded securities related to inflation.
I know analysts have estimates for CPI. Are there any price movements on surprises like there are in equities?
Edit: Short-term TIPs likely adjust according to the CPI announcements.