Does PCE inflation move the U.S. dollar?

Verdict

Direction (release_day): Not Significant

Volatility (release_day): Not Significant

Volatility (5d): Not Significant

PCE is the Fed's preferred inflation gauge — but the U.S. dollar barely reacts. On PCE release days the dollar moves about as much as a normal day (0.7×), with no consistent direction.

Bottom line: PCE is old news by the time it lands — CPI already moved the market two weeks earlier, so the dollar shrugs.

The Data

Dimension	Horizon	Value	Baseline	Test stat	p-value	Verdict
Direction	release_day	-0.02%	0.00%	-0.43	0.673	Not Significant
Volatility	release_day	0.17%	0.25%	0.67	0.987	Not Significant
Volatility	5d	0.57%	0.59%	0.96	0.587	Not Significant

Direction (release_day): Mean move ≈ 0% (p=0.67); no consistent direction.
Volatility (release_day): The dollar moves about 0.67× a normal day on PCE days (p=0.99 for 'elevated') — i.e., not a volatility event. Likely because CPI, released ~2 weeks earlier, already moved the market.
Volatility (5d): Still no elevation over a week (~1.0× normal).

Methodology

Events (N): 35
Window: 2023-01-27 → 2025-12-23
Baseline: Unconditional distribution of k-trading-day % returns
Look-ahead protected: Yes
Tests: ttest_1samp_vs_zero, bootstrap_vs_baseline

Caveats

This tests the broad U.S. dollar index; PCE may still move other assets (e.g., Treasuries) somewhat more.
Surprise (vs. forecast) conditioning is not applied — only the release-day reaction is measured.
Window spans 2023–2025; the late-2025 schedule was affected by the federal government shutdown (dates taken from the actual FRED release record).
Historical statistics for informational purposes only, not financial advice. Results may vary with sample, period, and baseline definition.

Source

Nominal Broad U.S. Dollar Index, Federal Reserve Board via FRED (Tier A) — DTWEXBGS
PCE / Personal Income and Outlays release dates, U.S. Bureau of Economic Analysis (via FRED) (Tier A) — Personal Income & Outlays