There are no great metrics to determine exactly what chance of an ECB rate cut is priced in
First, the soft inflation data was only released last week and economists are loath to change their forecasts so close to an event. Second, things like OIS don’t flash accurate readings so close to the zero bound. Third, the skew with potentially negative deposit rates cloud other market-based readings.
What are we left with? Conjecture mostly. The fall in the euro gives us some sense of what’s expected and polls give us another.
Nomura did a client survey and 85% of respondents don’t expect a cut Thursday. That flips in December when 54% expect a rate cut. By extension that shows a ‘consensus’ for no rate cut but with a distinctly dovish message.
