Estimation of firms' inflation expectations using the survey DI

Jouchi Nakajima

No 749, Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: This study uses the Bank of Japan's Tankan (Short-Term Economic Survey of Enterprises in Japan) data to estimate the long-run time series of Japanese firms' inflation expectations since 1990. In the Tankan, the series for "consumer price inflation expectations" and "output price inflation expectations" go back to 2014, while that for "output price DI" features a longer time series. Using the relationship between these series for 2014–2022, we estimate the one-year ahead consumer price inflation expectations for 1990–2013 based on the output price DI. The firms' inflation expectations obtained are found to have information that improves forecast accuracy when forecasting consumer price inflation, which is not included in the lag in inflation or the output gap, and enhances forecast accuracy more than economists' inflation expectations.

Keywords: Inflation expectations; Output price expectations; Tankan (search for similar items in EconPapers)
JEL-codes: C22 E31 E37 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2023-12
New Economics Papers: this item is included in nep-ban, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hituec:749

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