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Survey Evidence on the Muthian Rationality of the Inflation Forecasts of U.S. Consumers

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Author Info
Baghestani, Hamid
Abstract

Since January 1978, the University of Michigan Survey Research Center has been collecting the monthly year-ahead inflation forecasts of U.S. consumers. Following the implications of Muthian rational expectations, the author uses L. P. Hansen and R. J. Hodrick's procedure to examine whether these data are unbiased, and whether they outperform comparable nonsurvey augmented-adaptive and naive forecasts in terms of predictive information content. It is concluded that the survey data (unlike the nonsurvey forecasts) are biased. However, they contain more predictive information than that included in the naive forecasts but lack the predictive information contained in the forecasts generated from the augmented-adaptive Phillips curve type model. Copyright 1992 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 54 (1992)
Issue (Month): 2 (May)
Pages: 173-86
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Handle: RePEc:bla:obuest:v:54:y:1992:i:2:p:173-86

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  1. Hasan Bakhshi & Anthony Yates, . "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England. [Downloadable!]
  2. Gerberding, Christina, 2001. "The information content of survey data on expected price developments for monetary policy," Discussion Paper Series 1: Economic Studies 2001,09, Deutsche Bundesbank, Research Centre. [Downloadable!]
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