This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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300
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Type:
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Contributed
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Date/Time:
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Tuesday, August 3, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #307342 |
Title:
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Measuring Inflation Expectations Using Interval-Coded Data
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Author(s):
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Yasutomo Murasawa*+
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Companies:
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Osaka Prefecture University
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Address:
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1-1 Gakuen-cho, Naka-ku, Sakai, International, 599-8531, Japan
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Keywords:
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survey data ;
Carlson--Parkin method ;
skew normal ;
skew t ;
heterogeneous expectations
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Abstract:
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To quantify qualitative survey data, the Carlson--Parkin method assumes normality, a time-invariant symmetric indifference interval, and long-run unbiased expectations. Interval-coded data do not require these assumptions. Since April 2004, the Monthly Consumer Confidence Survey in Japan asks households their price expectations a year ahead in seven categories with partially known boundaries; thus one can identify up to six parameters including an indifference interval each month. This paper compares normal, skew normal, and skew t distributions, and finds that the skew t distribution fits the best throughout the period studied. The survey expectations help to predict the actual CPI inflation.
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Authors who are presenting talks have a * after their name.
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