ESRI Discussion Paper Series No.309
Quantifying the Beauty Contest: Density Inflation-Forecasts of Professional Japanese Forecasters

Yosuke Takeda
Professor, Department of Economics, Sophia University

Abstract

The paper aims at quantifying the higher-order expectations that Keynes (1936) compared to the beauty contest, applying a measure of relative entropy to the Japanese ESP Forecast Survey data during the deflationary period. We conclude that during the deflationary period from June 2009 to April 2010 and from April 2010 to February 2011, professional Japanese forecasters faced the Keynesian beauty contest, in which average expectations dominate agents’ expectations.


Structure of the whole text(PDF-Format 1 File)

  1. Full Text別ウィンドウで開きます。(PDF-Format 640 KB)
  2. page1
    Abstract
  3. page1
    Introduction
  4. page2
    1 The Keynes' Beauty Contest
  5. page3
    2 Quantifying the Beauty Contest
  6. page3
    3 Survey Data of the Professional Forecasters
    1. page3
      3.1 The ESP Forecast Survey
    2. page4
      3.2 Dissimilarity
    3. page5
      3.3 Similarity
  7. page5
    4 Estimation
    1. page5
      4.1 Relative Entropy Measure
    2. page6
      4.2 Accuracy in Forecasting
    3. page6
      4.3 Correlation
  8. page7
    5 Conclusion
  9. page7
    References
  10. page9
    Figure 1 Consumer Price Index: 1995-2012
  11. page10
    Figure 2 Consumer Price Index: Jun. 2008-Dec. 2012
  12. page11
    Table 1-A
  13. page12
    Table 1-B
  14. page13
    Table 2-A
  15. page14
    Table 2-B
  16. page15
    Table 3-A
  17. page16
    Table 3-B
  18. page17
    Table 4-A
  19. page18
    Table 4-B
  20. page19
    Table 5-A
  21. page20
    Table 5-B
  22. page21
    Table 6-A
  23. page22
    Table 6-B
  24. page23
    Table 7-A
  25. page24
    Table 7-B
  26. page25
    Table 8-A
  27. page26
    Table 8-B
  28. page27
    Table 9-A
  29. page28
    Table 9-B
  30. page29
    Table 10
  • 1-6-1 Nagata-cho, Chiyoda-ku, Tokyo 100-8914, Japan.
    Tel: +81-3-5253-2111