Assessing Measures of Inflation Expectations: A Term Structure and Forecasting Power Perspective

Mitsuhiro Osada and Takashi Nakazawa
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Mitsuhiro Osada: Bank of Japan
Takashi Nakazawa: Bank of Japan

No 24-E-4, Bank of Japan Review Series from Bank of Japan

Abstract: This article presents approaches to assessing various measures of inflation expectations in terms of their term structure and forecasting power. First, looking at inflation expectations by forecast horizon, movements in measures of short-term inflation expectations are relatively similar across different economic agents, while there is considerable heterogeneity in long-term inflation expectations. Second, in terms of the forecasting power for future inflation, while measures of longer-term inflation expectations have a larger bias, once this bias is removed, many measures have forecasting power. Moreover, composite indicators based on the term structure and forecasting power of individual measures suggest that medium- to long-term inflation expectations have risen moderately in recent years.

Keywords: Monetary policy; Inflation expectations; Term structure; Forecasting (search for similar items in EconPapers)
JEL-codes: E31 E37 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
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