- Sep. 18, 2019
- Sep. 13, 2019
- Sep. 6, 2019
Home > Research and Studies > Bank of Japan Working Paper Series, Review Series, and Research Laboratory Series > Bank of Japan Working Paper Series 2018 > (Research Paper) New Facts about Firms' Inflation Expectations: Simple Tests for a Sticky Information Model
October 29, 2018
In this paper, we use a large dataset based on firm-level micro-data from the Tankan survey to examine firms' inflation expectations. We first present two basic findings: (i) firms' inflation expectations are downwardly rigid at zero, and (ii) differences in firms' inflation expectations are larger across firm sizes than across sectors. We then report three findings which are in line with predictions of the simple sticky information model proposed by Mankiw and Reis (2002). First, in each period, a number of firms do not revise their expectations. Second, the frequency of forecast revisions is constant over time. Third, our estimates of the frequency of forecast revisions based on the Tankan survey are much smaller than those in previous studies and are much closer to the value that Mankiw and Reis (2002) assumed in their simulation exercises.
inflation expectations, frequency of forecast revisions, sticky information model
We thank Ryohei Hisano, Kosuke Aoki, Masahiro Hori, Shigehiro Kuwabara, Toshitaka Sekine, Koji Nakamura, Hibiki Ichiue, Sohei Kaihatsu, Satoshi Ito, Koki Inamura, Ichiro Muto, Toshinao Yoshiba, Takushi Kurozumi, and Ryo Kato for useful comments. All remaining errors are ours. This paper does not necessarily reflect the views of the Bank of Japan.
Papers in the Bank of Japan Working Paper Series are circulated in order to stimulate discussion and comments. Views expressed are those of authors and do not necessarily reflect those of the Bank.
If you have any comment or question on the working paper series, please contact each author. When making a copy or reproduction of the content for commercial purposes, please contact the Public Relations Department (firstname.lastname@example.org) at the Bank in advance to request permission. When making a copy or reproduction, the source, Bank of Japan Working Paper Series, should explicitly be credited.