Dispersion of Inflation Expectations: Stylized Facts, Puzzles, and Macroeconomic Implications

Young Se Kim and Byeongdeuk Jang
Additional contact information
Young Se Kim: Sungkyunkwan University
Byeongdeuk Jang: Sungkyunkwan University

Korean Economic Review, 2015, vol. 31, 89-119

Abstract: Building on time-series and cross-sectional properties of survey forecasts, this paper documents a fruitful set of stylized facts of inflation expectations in Korea that a macroeconomic theory must aim to explain. Despite the fact that survey measures of inflation expectations have a similar central tendency, the amount of disagreement among different types of economic agents appears to be substantial and shows no clear relationship with relative price variability. The analysis of micro-level inflation expectations data suggests that inflation uncertainty measured by dispersion of households expectations relies not only on inflation regime but also on relative price variability. Each survey forecast has the ability to explain the path of future inflation, but surprisingly with the wrong direction from the rationality perspectives. Percentile regression analysis yields robust evidence of bounded rationality for the households.

Keywords: Survey Expectations; Inflation Uncertainty; Disagreement; Rationality; Relative Price Variability (search for similar items in EconPapers)
JEL-codes: C5 D8 E0 E3 E5 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://keapaper.kea.ne.kr/RePEc/kea/keappr/KER-20150630-31-1-04.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kea:keappr:ker-20150630-31-1-04

Access Statistics for this article

Korean Economic Review is currently edited by Kyung Hwan Baik

More articles in Korean Economic Review from Korean Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by KEA ().