Dispersion of Inflation Expectations: Stylized Facts, Puzzles, and Macroeconomic Implications = Dispersion of Inflation Expectations: Stylized Facts, Puzzles, and Macroeconomic Implications

다국어 초록 (Multilingual Abstract)

Building on time-series and cross-sectional properties of survey forecasts, this paper documents a fruitful set of stylized facts of inflation expectations in Korea that a macroeconomic theory must aim to explain. Despite the fact that survey measures of inflation expectations have a similar central tendency, the amount of disagreement among different types of economic agents appears to be substantial and shows no clear relationship with relative price variability. The analysis of micro-level inflation expectations data suggests that inflation uncertainty measured by dispersion of households expectations relies not only on inflation regime but also on relative price variability. Each survey forecast has the ability to explain the path of future inflation, but surprisingly with the wrong direction from the rationality perspectives. Percentile regression analysis yields robust evidence of bounded rationality for the households.