Lyziak, Tomasz (2011): Non-positive scaling factor in probability quantification methods: deriving consumer inflation perceptions and expectations in the whole euro area and Ireland.
This is the latest version of this item.
Download (357kB) | Preview
There are problems with using probability quantification methods when the scaling factor applied in those methods becomes non-positive. The way of adjusting them proposed in this note and verified empirically allows using them in such circumstances. The results for the euro area and Ireland suggest that the recent financial crisis made consumer inflation perception and expectations go down, however it did not create deflationary expectations in this groups of economic agents.
|Item Type:||MPRA Paper|
|Original Title:||Non-positive scaling factor in probability quantification methods: deriving consumer inflation perceptions and expectations in the whole euro area and Ireland|
|Keywords:||Inflation Expectations; Survey Data; Euro Area|
|Subjects:||D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D84 - Expectations ; Speculations
C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C46 - Specific Distributions ; Specific Statistics
|Depositing User:||Tomasz Łyziak|
|Date Deposited:||21 Feb 2011 18:16|
|Last Modified:||18 Jan 2017 15:15|
Batchelor R. A., Orr A. B. (1988), Inflation expectations revisited, Econometrica, New Series 55(219), 317-331
Berk J. M. (1999), Measuring inflation expectations: a survey data approach, Applied Economics 31(11), 1467-1480
Carlson J. A. (1975), Are price expectations normally distributed?, Journal of American Statistical Associa-tion, 70(352), 749-754
Dias F., Duarte C., Rua A. (2007), Inflation (mis)perceptions in the euro area, Working Papers 15/2007, Banco de Portugal
Forsells M., Kenny G. (2004), Survey expectations, rationality and the dynamics of euro area inflation, Jour-nal of Business Cycle Measurement and Analysis 1(1), 13-42
Greene W. H. (2003), Econometric Analysis, 5th edition, Pearson Education Inc., New Jersey.
Łyziak T. (2010), Measurement of perceived and expected inflation on the basis of consumer survey data, IFC Working Papers, No. 5, Bank for International Settlements
Mitchell J. (2002), The use of non-normal distributions in quantifying qualitative survey data on expecta-tions, Economics Letters, 76, 101-107