Macro Surprise Pulse
Is the economy beating or missing expectations?
MSPM measures whether incoming economic data is systematically beating or missing consensus forecasts — a measurement of the flow of data surprises.
The Macro Surprise Pulse (MSPM) measures the flow of economic data surprises — whether incoming releases (employment, inflation, manufacturing, retail sales, housing) are beating or missing consensus at the time of release. A positive MSPM means data is systematically beating expectations; a negative MSPM means it is missing. The index decays over time so older surprises lose influence as they are incorporated into new forecasts.
GDP growth measures the absolute pace of the economy; MSPM measures performance relative to expectations. A 2% GDP print is a positive surprise if economists expected 1.5% and a negative surprise if they expected 2.5%. MSPM operationalizes the surprise: it classifies whether the economy is in a positive-surprise or negative-surprise regime. It measures data flow versus consensus, not the absolute level of activity.
Non-farm payrolls and CPI are the two highest-weight inputs, given their market impact and the reliability of consensus forecasts. ISM Manufacturing and Services PMI, retail sales, and housing starts follow. A dynamic weighting system raises the weight of releases that have had unusually high market impact over the trailing three months — so CPI carries more weight during inflation-focused cycles and labor data during growth-focused cycles.
Data surprises relative to consensus are one input analysts use when revising earnings estimates, so periods of positive MSPM and periods of estimate upgrades often overlap. MarketSchema measures the surprise flow; it does not publish equity forecasts or historical accuracy claims, and MSPM is best read alongside credit and rate measures such as CRSI and DRSI rather than in isolation.