Estimating the distribution of inflation expectations

Akira Terai ()
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Akira Terai: Kyoto Sangyo University

Economics Bulletin, 2010, vol. 30, issue 1, 315-329

Abstract: In this paper, we use survey data to estimate the shape of the distribution of inflation expectations. However, unlike previous studies, we do not assume a distribution a priori. We employ an applied approximation method using normal distribution: Cornish-Fisher expansion. Skewness and kurtosis may provide necessary information for understanding the shape of the distribution of inflation expectations. The estimated inflation expectations contain slight biasedness and are not fully efficient, but some superiority can be verified.

Keywords: Inflation expectations; Survey data; Skewness and kurtosis (search for similar items in EconPapers)
JEL-codes: C4 E3 (search for similar items in EconPapers)
Date: 2010-01-28
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Citations: View citations in EconPapers (2)

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