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​​Does Repeated Cross-section Data Help Explain Consumer Inflation Expectations Revisions?

Author

Listed:
  • Harold Glenn A. Valera

    (Bangko Sentral ng Pilipinas)

  • Cymon Kayle Lubangco

    (Bangko Sentral ng Pilipinas)

  • Mark J. Holmes

    (University of Waikato)

Abstract

We propose a new measure of revisions to consumer inflation expectations using repeated cross-sections rather than requiring panel data. We calculate the value of group average expectations in a prior period as a proxy for what an individual’s expectations might have been using micro data in the Philippines for Q1 2010 to Q2 2024. In contrast to existing mixed evidence, the resulting revisions show sensitivity to price changes in 14 food and energy goods. The equivalence testing finds that the group-based coefficients are valid, as they are: (a) different from an overall sample average-based revision results with Philippine data and (b) similar to rotating panel-based revision results using data from the Michigan Survey of US households. Using Philippine data, we also provide new evidence of significant effects of a firm’s frequency of price changes on expectation revisions.

Suggested Citation

  • Harold Glenn A. Valera & Cymon Kayle Lubangco & Mark J. Holmes, 2025. "​​Does Repeated Cross-section Data Help Explain Consumer Inflation Expectations Revisions?," BSP Discussion Paper Series 202514, Bangko Sentral ng Pilipinas.
    • Handle: RePEc:bhd:dpaper:202514
    as

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    File URL: https://www.bsp.gov.ph/Sites/researchsite/Publications/BSP-Discussion-Papers/DP202514.pdf
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    References listed on IDEAS

    as
    1. Olivier Armantier & Wändi Bruine de Bruin & Simon Potter & Giorgio Topa & Wilbert van der Klaauw & Basit Zafar, 2013. "Measuring Inflation Expectations," Annual Review of Economics, Annual Reviews, vol. 5(1), pages 273-301, May.
    2. Lanne, Markku & Luoma, Arto & Luoto, Jani, 2009. "A naïve sticky information model of households' inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1332-1344, June.
    3. Robert A. Buckle & Michael Ryan & Zhongchen Song, 2025. "Inflation and the Changing Nature of Firm Price Adjustment: Six Decades Worth of Evidence," Working Papers in Economics 25/06, University of Waikato.
    4. Xu, Yingying & Chang, Hsu-Ling & Lobonţ, Oana-Ramona & Su, Chi-Wei, 2016. "Modeling heterogeneous inflation expectations: empirical evidence from demographic data?," Economic Modelling, Elsevier, vol. 57(C), pages 153-163.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution

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