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Individual Trend Inflation

Author

Listed:
  • Toshitaka Sekine

    (Hitotsubashi University and CAMA)

  • Frank Packer

    (Bank for International Settlements)

  • Shunichi Yoneyama

    (Bank of Japan)

Abstract

This paper extends the recent approaches to estimate trend inflation from the survey responses of individual forecasters. It relies on a noisy information model to estimate the trend inflation of individual forecasters. Applying the model to the recent Japanese data, it reveals that the added noise term plays a crucial role and there exists considerable heterogeneity among individual trend inflation forecasts that drives the dynamics of the mean trend inflation forecasts. Divergences in forecasts as well as moves in estimates of trend inflation are largely driven by a identifiable group of forecasters who see less noise in the inflationary process, expect the impact of transitory inflationary shocks to wane more quickly, and are more flexible in adjusting their forecasts of trend inflation in response to new information.

Suggested Citation

  • Toshitaka Sekine & Frank Packer & Shunichi Yoneyama, 2022. "Individual Trend Inflation," Working Papers on Central Bank Communication 042, University of Tokyo, Graduate School of Economics.
    • Handle: RePEc:upd:utmpwp:042
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    References listed on IDEAS

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    More about this item

    Keywords

    inflation forecast; disagreement; unobserved components model; noisy information; inflation target; quantitative and qualitative monetary easing; Bank of Japan;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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