SURVEY MEASURES OF INFLATION EXPECTATION
Abstract
The research objective was to analyze various survey measures of inflation expectation in Indonesia. We found that the heterogeneity of inflation expectation among economic agents and professional forecastersfor short forecast horizon is very low. Survey measures of inflation expectation appear to be forward looking, but only for relatively short horizon. Although the magnitude and length vary across measures of inflation expectation, we find that shock to inflation expectation significantly affect the dynamics of the actual inflation rate. Based on the accuracy, the effect on actual inflation and directional information that they have in predicting current and future inflation, inflation expectation from Consensus Forecast outperformed the others.
Downloads
References
Anwar, Muslimin and TevyChawwa, 2009 , “Analisis Ekspektasi Inflasi Indonesia Pasca ITF”, WP No.9, Bank Indonesia, May 2009.
Curtin, R., 2006 , “Inflation Expectations: Theoretical Models and Empirical Tests”, Paper presented at the Narodowy Bank Polski»s workshop on “The Role of Inflation Expectations in Modeling and Monetary Policy Making” on February 9 and 10, 2006.
Dewati, Wahyu, Ndari Suryaningsih danTevy Chawwa, 2009, “Revisiting Transmisi Kebijakan Moneter: Pendekatan VAR dan Panel Data”, Bank Indonesia, LHP No.19, December 2009.
Forsells, M. danG. Kenny, 2004 , “Survey Expectations, Rationality and the Dynamics of Euro Area Inflation”, Journal of Business Cycle Measurement and Analysis.
Gnan, Ernest, Johann ScharlerdanMaria Antoinette Silgoner, 2009, “Inflation Expectations- Role and Measurement for Monetary Policy,” Monetary Policy & the Economy, Oesterreichische National bank (Austrian Central Bank), issue 2, pages 41-67, August 2009.
Harmanta, 2009, “Kredibilitas Kebijakan Moneter dan Dampaknya terhadap Persistensi Inflasi dan Strategi Disinflasi di Indonesia: Dengan Model DSGE”, Universitas Indonesia, October 2009.
Kurniati, Yati dan Sahminan, 2008, “Ekstraksi Ekspektasi Inflasi dari Yields Surat Utang Negara”, Research Note No. 23, Bank Indonesia, 2008.
Laksmono R, Didi et al., 2000, “Suku Bunga sebagai salah satu indikator ekspektasi inflasi”, Buletin Ekonomi Moneter dan Perbankan, Bank Indonesia, Maret 2000.
Leduc, S., K. Sill danT. Stark, 2007, Self-Fulfilling Expectations and the Inflation of the 1970s: Evidence from the Livingston Survey, Journal of Monetary Economics 54(2), 433-459,-2007.
Mankiw, N. G., R. Reis danJ. Wolfers, 2003, “Disagreement about Inflation Expectations”, NBER Working Paper 9796, 2003.
Millet, F.C., 2006, “Finding the Optimal Method of Quantifying Inflation Expectations On The Basis of Qualitative Survey Data”, manuscript, Balliol College, University of Oxford.
SatishRanchhod, 2003, “The Relationship between Inflation Expectations Survey Data and Inflation,” Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 66, December 2003.
Tjahjono Endi, Haris Munandar danJati Waluyo, 2010, “Revisiting Estimasi Potential Output dan Output Gap Indonesia: Pendekatan Fungsi Produksi berbasis Model”, WP No. 02, Bank Indonesia, April 2010.
Whelan, Karl, 2005, “The New-Keynesian Phillips Curve”, Lecture Notes EC4010, Trinity College Dublin.
Wuryandani, Gantiah, 2001, “Suku Bunga Riil Ex-Ante sebagai Indikator Arah Kebijakan Moneter”, Bank Indonesia, December 2001.
Wuryandani, GantiahdanAbdul M. Ikram and Diah E. Handayani, 2003, “Monetary Policy Transmission Through Inflation Expectation Channel”, Transmission Mechanism of Monetary Policy in Indonesia, Bank Indonesia, 2003.
Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
