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On the Formation of Expected Inflation under Various Conditions: Some Survey Evidence

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  • Baghestani, Hamid
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    Abstract

    Based on the notion of economically rational expectations, the author hypothesizes that the degree of the rationality of economic agents' inflationary expectations differs depending on the prevailing rate and volatility of inflation. This is tested for the Institute for Social Research monthly survey data by using the inflation forecasts from an autoregressive integrated moving average model and those from a vector autoregressive model, respectively, as benchmarks for the weak and stronger measures of rationality. The author's analysis for 1978:01-1985:06 reveals evidence in favor of the above hypothesis. Copyright 1992 by University of Chicago Press.

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    Bibliographic Info

    Article provided by University of Chicago Press in its journal Journal of Business.

    Volume (Year): 65 (1992)
    Issue (Month): 2 (April)
    Pages: 281-93

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    Handle: RePEc:ucp:jnlbus:v:65:y:1992:i:2:p:281-93

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    Web page: http://www.journals.uchicago.edu/JB/

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    Cited by:
    1. Baghestani, Hamid & Kherfi, Samer, 2008. "How well do U.S. consumers predict the direction of change in interest rates?," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 725-732, November.
    2. William Goetzmann & Eduardas Valaitis, 2006. "Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging," Yale School of Management Working Papers amz2476, Yale School of Management, revised 01 May 2006.
    3. Prat, Georges & Uctum, Remzi, 2011. "Modelling oil price expectations: Evidence from survey data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 236-247, June.
    4. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992)
      [The "rational expectations hypothesis": theory and reality (a guided to
      ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.

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