Title: Individual trend inflation
Authors: Toshitaka Sekine - Hitotsubashi University (Japan) [presenting]
Abstract: Recent approaches to estimate trend inflation from the survey responses of individual forecasters are extended. It relies on a noisy information model to estimate the trend inflation of individual forecasters. Applying the model to the recent Japanese data, it reveals that the added noise term plays a crucial role, and there exists considerable heterogeneity among individual trend inflation forecasts that drives the dynamics of the mean trend inflation forecasts. Divergences in forecasts, as well as moves in estimates of trend inflation, are largely driven by an identifiable group of forecasters who see less noise in the inflationary process, expect the impact of transitory inflationary shocks to wane more quickly, and are more flexible in adjusting their forecasts of trend inflation in response to new information.