Table 3-2-1 Determinants of Price Expectations (Revision Dummy): Cross-Section Regressions

Dependent Variable: Price Expectations (t)	Cross Sectional Regressions	Cross Sectional Regressions
<1>	<2>	<3>	<4>	<5>	<6>	<7>	<8>	<9>	<10>	<11>	<12>
Current Price Change (t)	0.371 ***	0.284 ***	0.179 ***	0.388 ***	0.269 ***	0.312 ***	0.336 ***	0.274 ***	0.309 ***	0.401 ***	0.175 ***	0.392
[ 0.038 ]	[ 0.021 ]	[ 0.025 ]	[ 0.023 ]	[ 0.024 ]	[ 0.024 ]	[ 0.016 ]	[ 0.024 ]	[ 0.024 ]	[ 0.029 ]	[ 0.025 ]	[ 0.029 ]
Lagged Price Change Expectation (t-1)	[ 0.084 ]	[ 0.247 ***	[ 0.314 ***	[ 0.147 ***	[ 0.237 ***	[ 0.135 ***	[ 0.342 ***	[ 0.238 ***	[ 0.135 ***	[ 0.212 ***	[ 0.314 ***	[ 0.212 ***
[ 0.052 ]	[ 0.028 ]	[ 0.035 ]	[ 0.030 ]	[ 0.027 ]	[ 0.022 ]	[ 0.021 ]	[ 0.027 ]	[ 0.022 ]	[ 0.041 ]	[ 0.035 ]	[ 0.040 ]
Current Income Change (t)	[ 0.011 ]	[ 0.010 ]	[ -0.005 ]	[ 0.035 ***	[ -0.005 ]	[ -0.006 ]	[ -0.003 ]	[ -0.005 ]	[ -0.005 ]	[ 0.008 ]	[ -0.004 ]	[ 0.011 ]
[ 0.016 ]	[ 0.010 ]	[ 0.012 ]	[ 0.012 ]	[ 0.009 ]	[ 0.010 ]	[ 0.006 ]	[ 0.009 ]	[ 0.010 ]	[ 0.013 ]	[ 0.012 ]	[ 0.012 ]
Dummy Variable (in response to each Policy Announcement)
Quantitative Easing (Mar.19, 2001)	2.962 ***
Quantitative Easing (Mar.19, 2001)	[ 0.776 ]
Quantitative Easing (Aug.14, 2001)	1.662 ***
[ 0.509 ]
Quantitative Easing (Sep.18, 2001)	1.724 ***
Quantitative Easing (Dec.19, 2001)	[ 0.488 ]
Quantitative Easing (Oct.30, 2002)	1.355 ***
Quantitative Easing (Apr.30, 2003)	0.620 *
Quantitative Easing (Oct.10, 2003)	0.716 **
New Initiative Toward Financial System Stability (Sep.18, 2002)	0.628 ***
Examination of Purchase of Asset-Backed Securities (Apr.8, 2003)	[ 0.235 ]	0.794 **
Change of the Governor (Hayami to Fukui) (Mar.20, 2003)	[ 0.388 ]	0.463
Dummy Variable	[ 0.469 ]
Terrorist Attack (Sep.11, 2001)	1.651 ***
Iraq War (Mar.20, 2003)	[ 0.367 ]	1.317 ***
Number of obs	201	876	802	793	924	662	1856	924	662	893	802
Adj R-squared	0.3939	0.2834	0.1966	0.307	0.2204	0.2706	0.3571	0.2209	0.2695	0.2225	0.2042
Root MSE	2.2301	2.5445	3.1256	2.9446	2.314	2.034	2.2318	2.3133	2.0355	3.0578	3.1108	2.9878
Estimation Periods	Jun-01	Sep-01	Dec-01	Mar-02	Dec-02	Jun-03	Dec-03	Dec-02	Jun-03	Mar-03	Dec-01	Mar-03

Table 3-2 Determinants of Price Expectations (Revision Dummy): Panel Regressions

Dependent Variable: Price Expectations (t)	Panel Regressions (2001. 2Q-2004.1Q)
<13>	<14>	<15>	<16>	<17>	<18>
(Change for the next year)
Current Price Change (t)	0.304 ***	0.304 ***	0.300 ***	0.301 ***	0.301 ***	0.300 ***
[0.010]	[0.010]	[0.009]	[0.009]	[0.009]	[0.009]
Lagged Price Change Expectation (t-1)	0.212 ***	0.211 ***	0.212 ***	0.214 ***	0.214 ***	0.213 ***
[0.012]	[0.012]	[0.012]	[0.012]	[0.012]	[0.012]
Current Income Change (t)	0.008 *	0.007 *	0.008 *	0.008 *	0.008 *	0.008 *
[0.004]	[0.004]	[0.004]	[0.004]	[0.004]	[0.004]
Dummy Variable (in response to each Policy Announcement)
Quantitative Easing (March 19, 2001)	0.886 ***	0.881 ***	0.850 ***	0.861 ***	0.856 ***	0.839 ***
[0.187]	[0.187]	[0.185]	[0.186]	[0.186]	[0.186]
Quantitative Easing (August 14, 2001)	0.411 *	0.376	0.349	0.406 *	0.379 *	0.351
[0.230]	[0.231]	[0.229]	[0.229]	[0.230]	[0.229]
Quantitative Easing (September 18, 2001)	0.412 ***	0.382 ***	0.271	0.406 **	0.382 ***	0.263 *
[0.159]	[0.160]	[0.160]	[0.159]	[0.160]	[0.160]
Quantitative Easing (December 19, 2001)	0.326	0.325	0.290	0.379 *	0.375 *	0.329
[0.203]	[0.203]	[0.202]	[0.203]	[0.203]	[0.203]
Quantitative Easing (October 30, 2002)	-0.072	-0.312	-0.303	-0.085	-0.296	-0.309
[0.228]	[0.261]	[0.259]	[0.227]	[0.261]	[0.260]
Quantitative Easing (April 30, 2003)	0.390	0.043	0.070	0.407	0.070	0.080
[0.281]	[0.324]	[0.321]	[0.280]	[0.323]	[0.322]
Quantitative Easing (October 10, 2003)	0.556	0.451	0.441	0.494	0.390	0.412
[0.358]	[0.361]	[0.358]	[0.360]	[0.363]	[0.361]
New Initiative Toward Financial System Stability (September 18, 2002)	0.388	0.344	0.360	0.343
[0.259]	[0.257]	[0.259]	[0.258]
Examination of Purchase of Asset-Backed Securities (April 8, 2003)	0.618 *	0.663 **	0.636 *	0.660 **
[0.333]	[0.331]	[0.332]	[0.330]
Change of the Governor (Hayami to Fukui) (March 20, 2003)	0.137	0.002	0.035	-0.008
[0.224]	[0.223]	[0.224]	[0.223]
Dummy Variable
Terrorist Attack (September 11, 2001)	1.347 ***	1.210 ***
[0.379]	[0.391]
Iraq War (March 20, 2003)	1.538 ***	1.403 ***
[0.183]	[0.229]
Macro Factors
Oil Price Change	0.006 ***	0.006 ***	-0.001
[0.002]	[0.002]	[0.002]
Composite Index	0.009	0.007	0.019
[0.008]	[0.008]	[0.008]
Time Dummies	no	no	no	yes	yes	yes
Number of obs	5220	5220	5220	5220	5220	5220
Adj R-squared	0.2556	0.2561	0.2679	0.2615	0.2619	0.2682
Root MSE	2.5082	2.5074	2.4873	2.4982	2.4975	2.4868