The evolution of inflation expectations in Japan

Masazumi Hattori and James Yetman

No 662, CIS Discussion paper series from Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University

Abstract: We model inflation forecasts as monotonically diverging from an estimated long-run anchor point towards actual inflation as the forecast horizon shortens. Fitting the model with forecaster-level data for Japan, we find that the estimated anchors across forecasters have tended to rise in recent years, along with the dispersion in estimates across forecasters. Further, the degree to which these anchors pin down inflation expectations at longer horizons has increased, but remains considerably lower than found in a similar study of Canadian and US forecasters. Finally, the wide dispersion in estimated decay paths across forecasters points to a diverse set of views across forecasters about the inflation process in Japan.

Keywords: Inflation expectations; decay function; inflation targeting; deflation (search for similar items in EconPapers)
JEL-codes: E31 E58 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2017-06
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (18)

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Related works:
Journal Article: The evolution of inflation expectations in Japan (2017)
Working Paper: The evolution of inflation expectations in Japan (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:cisdps:662

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