Determinants of households' inflation expectations in Japan and the United States

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

Using a VAR model that includes survey data on households' inflation expectations for Japan and the US, we investigate their determinants and influences on the economy and compare their properties in two countries. Short-term non-recursive restrictions are imposed taking account of simultaneous co-dependence between realized and expected inflation. We find that responding to changes in exogenous prices and to monetary policy shocks, inflation expectations adjust more quickly than does realized inflation. Compared with Japan, the effects of exogenous prices on inflation and inflation expectations in the US are not only large but also long lasting and shocks to expectations have self-fulfilling effects on inflation.

Original languageEnglish
Pages (from-to)503-518
Number of pages16
JournalJournal of the Japanese and International Economies
Volume24
Issue number4
DOIs
Publication statusPublished - 2010 Dec
Externally publishedYes

Fingerprint

inflation
Japan
determinants
monetary policy
Inflation expectations
Household
Inflation
economy
Expected inflation
Survey data
VAR model
Codependence
Monetary policy shocks

Keywords

  • Expected inflation
  • Monetary policy
  • Structured vector autoregression

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance
  • Political Science and International Relations

Cite this

Determinants of households' inflation expectations in Japan and the United States. / Ueda, Kozo.

In: Journal of the Japanese and International Economies, Vol. 24, No. 4, 12.2010, p. 503-518.

Research output: Contribution to journalArticle

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