Open AccessSURVEY MEASURES OF INFLATION EXPECTATION
Author(s) -
Endy Dwi Tjahjono,
Harmanta Harmanta,
Nur M. Adhi Purwato
Publication year - 2012
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 4
ISSN - 2460-9196
DOI - 10.21098/bemp.v14i4.366
Subject(s) - inflation (cosmology) , economics , econometrics , survey of professional forecasters , real interest rate , horizon , shock (circulatory) , survey data collection , monetary policy , monetary economics , statistics , mathematics , medicine , physics , geometry , theoretical physics
The research objective was to analyze various survey measures of inflation expectation in Indonesia. We found that the heterogeneity of inflation expectationamong 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.Keywords: Inflation expectation, Vector Auto Regression, balanced score.JEL Classification: C42, E31.