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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?

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A very nice paper by Pearce and Roley (1984).

Stock prices and economic news. Looks at CPI and equities.

The point you make about shocks or surprises compared with analysts expectations is intersteing, but even if you had this data (I am gathering you could collect something from bloomberg), which model would you use?

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