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The evolution of inflation expectations in Japan

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  • Hattori, Masazumi
  • Yetman, James

Abstract

We model inflation forecasts as monotonically diverging from an estimated long-run anchor point towards actual inflation as the forecast horizon shortens. Fitting the model with forecasts made by individual professional forecasters for Japan, we find that the estimated anchors across forecasters have tended to rise in recent years, along with the dispersion in estimates across forecasters. Further, the degree to which these anchors pin down inflation expectations at longer horizons has increased, but remains considerably lower than found in a similar study of Canadian and US forecasters. Finally, the wide dispersion in estimated decay paths across forecasters points to a diverse set of views across forecasters about the inflation process in Japan.

Suggested Citation

  • Hattori, Masazumi & Yetman, James, 2017. "The evolution of inflation expectations in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 46(C), pages 53-68.
  • Handle: RePEc:eee:jjieco:v:46:y:2017:i:c:p:53-68
    DOI: 10.1016/j.jjie.2017.09.001
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    References listed on IDEAS

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    1. repec:eee:phsmap:v:505:y:2018:i:c:p:941-944 is not listed on IDEAS
    2. Yoshihiko Hogen & Ryoichi Okuma, 2018. "The Anchoring of Inflation Expectations in Japan: A Learning-Approach Perspective," Bank of Japan Working Paper Series 18-E-8, Bank of Japan.

    More about this item

    Keywords

    Inflation expectations; Decay function; Inflation targeting; Deflation;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • 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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