Measuring Inflation Expectations Using Interval-Coded Data

Yasutomo Murasawa

ESRI Discussion paper series from Economic and Social Research Institute (ESRI)

Abstract: To quantify qualitative survey data, the Carlson-Parkin method assumes normality, a time-invariant symmetric indifference interval, and long-run unbiased expectations. Interval-coded data do not require these assumptions. Since April 2004, the Monthly Consumer Confidence Survey in Japan asks households their price expectations a year ahead in seven categories with partially known boundaries; thus one can identify up to six parameters including an indifference interval each month. This paper compares normal, skew normal, and skew t distributions, and finds that the skew t distribution fits the best throughout the period studied. The results help to understand the dynamics of heterogeneous expectations.

Pages: 30 pages
Date: 2010-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.esri.go.jp/jp/archive/e_dis/e_dis236/e_dis236.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.esri.go.jp:80 (No such host is known. )

Related works:
Journal Article: Measuring Inflation Expectations Using Interval-Coded Data (2013)
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:esj:esridp:236

Access Statistics for this paper

More papers in ESRI Discussion paper series from Economic and Social Research Institute (ESRI) Contact information at EDIRC.
Bibliographic data for series maintained by HORI nobuko ( this e-mail address is bad, please contact ).