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Daily Inflation Expectations in Japan around the Time of Regime Change

Author

Listed:
  • Taisuke Nakata

    (The University of Tokyo)

  • Yoshiyuki Nakazono

    (Yokohama City University)

  • Kento Tango

    (Economic and Social Research Institute, Cabinet Office)

Abstract

We analyze how household inflation expectations respond to macroeconomic news using a daily survey in Japan in 2023-24, around the transition from a low- to high-inflation regime. The responses of inflation expectations vary widely across news events. responses of inflation expectations to news are sometimes correlated with surprise components of the news implied by private-sector inflation forecasts or financial markets. Long-run inflation expectations are no less responsive to inflation data releases—but are less responsive to monetary policy announcements—than short-run inflation expectations.

Suggested Citation

  • Taisuke Nakata & Yoshiyuki Nakazono & Kento Tango, 2026. "Daily Inflation Expectations in Japan around the Time of Regime Change," CARF F-Series CARF-F-624, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:fseres:cf624
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    References listed on IDEAS

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    1. Lamla, Michael J. & Vinogradov, Dmitri V., 2019. "Central bank announcements: Big news for little people?," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 21-38.
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    5. Beechey, Meredith J. & Wright, Jonathan H., 2009. "The high-frequency impact of news on long-term yields and forward rates: Is it real?," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 535-544, May.
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