Determinants of households' inflation expectations in Japan and the United States

Kozo Ueda*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

22 Citations (Scopus)


Using a VAR model that includes survey data on households' inflation expectations for Japan and the US, we investigate their determinants and influences on the economy and compare their properties in two countries. Short-term non-recursive restrictions are imposed taking account of simultaneous co-dependence between realized and expected inflation. We find that responding to changes in exogenous prices and to monetary policy shocks, inflation expectations adjust more quickly than does realized inflation. Compared with Japan, the effects of exogenous prices on inflation and inflation expectations in the US are not only large but also long lasting and shocks to expectations have self-fulfilling effects on inflation.

Original languageEnglish
Pages (from-to)503-518
Number of pages16
JournalJournal of The Japanese and International Economies
Issue number4
Publication statusPublished - 2010 Dec 1
Externally publishedYes


  • Expected inflation
  • Monetary policy
  • Structured vector autoregression

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations


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