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| Akira Terai |
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| ''Estimating the distribution of inflation expectations'' |
| ( 2010, Vol. 30 No.1 ) |
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| In this paper, we use survey data to estimate the shape of the distribution of inflation expectations. However, unlike previous studies, we do not assume a distribution a priori. We employ an applied approximation method using normal distribution: Cornish-Fisher expansion. Skewness and kurtosis may provide necessary information for understanding the shape of the distribution of inflation expectations. The estimated inflation expectations contain slight biasedness and are not fully efficient, but some superiority can be verified. |
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| Keywords: Inflation expectations, Survey data, Skewness and kurtosis |
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
C4 - Econometric and Statistical Methods: Special Topics |
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| Manuscript Received : Feb 26 2009 | | Manuscript Accepted : Jan 28 2010 |
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