This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 300
Type: Contributed
Date/Time: Tuesday, August 3, 2010 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #307342
Title: Measuring Inflation Expectations Using Interval-Coded Data
Author(s): Yasutomo Murasawa*+
Companies: Osaka Prefecture University
Address: 1-1 Gakuen-cho, Naka-ku, Sakai, International, 599-8531, Japan
Keywords: survey data ; Carlson--Parkin method ; skew normal ; skew t ; heterogeneous expectations
Abstract:

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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