Hitotsubashi Institute for Advanced Study


Estimation of firms’ inflation expectations using the survey DI


This study uses the Bank of Japan’s Tankan (Short-Term Economic Survey of Enterprises in Japan) results to estimate the long-run time series of Japanese firms’ inflation expectations since 1990. In the Tankan, the series for “consumer price inflation expectations” and “output price inflation expectations” go back to 2014, while that for “output price DI” features a longer time series. Using the relationship between these series for 2014–2022, we estimate one-year ahead consumer price inflation expectations for 1990–2013 based on the output price DI. The firms’ inflation expectations obtained are found to have information that improves forecast accuracy when forecasting consumer price inflation, which is not included in the lag in inflation or the output gap, and enhances forecast accuracy more than using economists’ inflation expectations.


Report No.: HIAS-E-131
Author(s): Jouchi Nakajima
Affiliation: Hitotsubashi University
Issued Date: July 2023
Keywords: Inflation expectations, Output price expectations, Tankan
JEL: C22, E31, E37