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Estimation of firms' inflation expectations using the survey DI

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  • NAKAJIMA, Jouchi

Abstract

This study uses the Bank of Japan's Tankan (Short-Term Economic Survey of Enterprises in Japan) data to estimate the long-run time series of Japanese firms' inflation expectations since 1990. In the Tankan, the series for "consumer price inflation expectations" and "output price inflation expectations" go back to 2014, while that for "output price DI" features a longer time series. Using the relationship between these series for 2014–2022, we estimate the one-year ahead consumer price inflation expectations for 1990–2013 based on the output price DI. The firms' inflation expectations obtained are found to have information that improves forecast accuracy when forecasting consumer price inflation, which is not included in the lag in inflation or the output gap, and enhances forecast accuracy more than economists' inflation expectations.

Suggested Citation

  • NAKAJIMA, Jouchi, 2023. "Estimation of firms' inflation expectations using the survey DI," Discussion Paper Series 749, Institute of Economic Research, Hitotsubashi University.
    • Handle: RePEc:hit:hituec:749
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/81435/DP749.pdf
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    References listed on IDEAS

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    1. Olivier Coibion & Yuriy Gorodnichenko & Saten Kumar, 2018. "How Do Firms Form Their Expectations? New Survey Evidence," American Economic Review, American Economic Association, vol. 108(9), pages 2671-2713, September.
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    More about this item

    Keywords

    Inflation expectations; Output price expectations; Tankan;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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