Individual Trend Inflation

Toshitaka Sekine, Frank Packer and Shunichi Yoneyama
Additional contact information
Frank Packer: Bank for International Settlements (E-mail: frank.packer@bis.org)
Shunichi Yoneyama: Director and Senior Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: shunichi.yoneyama@boj.or.jp)

No 22-E-14, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, 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.

Keywords: Inflation forecast; Disagreement; Unobserved components model; Noisy information; Inflation target; Quantitative and qualitative monetary easing; Bank of Japan (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 (search for similar items in EconPapers)
Date: 2022-08
New Economics Papers: this item is included in nep-ban and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.imes.boj.or.jp/research/papers/english/22-E-14.pdf (application/pdf)

Related works:
Working Paper: Individual Trend Inflation (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ime:imedps:22-e-14

Access Statistics for this paper

More papers in IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().