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Estimating the distribution of inflation expectations

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  • Akira Terai

    (Kyoto Sangyo University)

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.

Suggested Citation

  • Akira Terai, 2010. "Estimating the distribution of inflation expectations," Economics Bulletin, AccessEcon, vol. 30(1), pages 315-329.
    • Handle: RePEc:ebl:ecbull:eb-09-00108
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    References listed on IDEAS

    as
    1. N. Gregory Mankiw & Ricardo Reis & Justin Wolfers, 2004. "Disagreement about Inflation Expectations," NBER Chapters, in: NBER Macroeconomics Annual 2003, Volume 18, pages 209-270, National Bureau of Economic Research, Inc.
    2. Balcombe, Kelvin, 1996. "The Carlson-Parkin method applied to NZ price expectations using QSBO survey data," Economics Letters, Elsevier, vol. 51(1), pages 51-57, April.
    3. Batchelor, R. A., 1982. "Expectations, output and inflation : The European experience," European Economic Review, Elsevier, vol. 17(1), pages 1-25.
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    Cited by:

    1. Murasawa, Yasutomo, 2017. "Measuring the Distributions of Public Inflation Perceptions and Expectations in the UK," MPRA Paper 76244, University Library of Munich, Germany.
    2. Yasutomo Murasawa, 2020. "Measuring public inflation perceptions and expectations in the UK," Empirical Economics, Springer, vol. 59(1), pages 315-344, July.

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    More about this item

    Keywords

    Inflation expectations; Survey data; Skewness and kurtosis;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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