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TSUCHIYA YOICHI
Department Undergraduate School , School of Commerce Position Professor |
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| Language | English |
| Publication Date | 2016/02 |
| Type | Academic Journal |
| Peer Review | Peer reviewed |
| Title | Directional analysis of consumers' forecasts of inflation in a small open economy: evidence from South Korea |
| Contribution Type | Co-authored (other than first author) |
| Journal | Applied Economics |
| Journal Type | Another Country |
| Publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD |
| Volume, Issue, Page | 48(10),pp.854-864 |
| Author and coauthor | Young Bin Ahn, Yoichi Tsuchiya |
| Details | We evaluate the directional accuracy of consumers' forecasts of inflation in predicting the movement of the actual CPI in a small open economy. In order to do so, we use a method developed by Pesaran and Timmermann (2009), based on South Korean data. By illustrating an application of the new market-timing test, we show that consumers' expectations of inflation are not a useful predictor of the CPI in South Korea. Our findings suggest that the directional accuracy of consumers' 1-year-ahead forecasts of inflation is not affected by the inflation targeting of the Bank of Korea. Our findings also suggest that consumers' 1-year-ahead forecasts of inflation are scattered away from the Bank of Korea's inflation target. |
| DOI | 10.1080/00036846.2015.1088144 |
| ISSN | 0003-6846 |