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Are Survey Forecasts of Macroeconomic Variables Rational?

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Author Info
Aggarwal, Raj
Mohanty, Sunil
Song, Frank

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Abstract

This article examines the rationality of forecasts of 11 macroeconomic variables. Among the nonstationary series, only surveys of housing starts, the unemployment rate, and the trade balance are rational forecasts. Among the stationary series, survey forecasts for only consumer prices and personal income are consistent with rational expectations. Lack of rationality in forecasts of durable goods, industrial production, leading indicators, money supply, and retail sales suggests that such forecasts do not fully exploit public information. Indeed, survey forecasts for industrial production and retail sales can be improved significantly with past information. Copyright 1995 by University of Chicago Press.

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

Volume (Year): 68 (1995)
Issue (Month): 1 (January)
Pages: 99-119
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Handle: RePEc:ucp:jnlbus:v:68:y:1995:i:1:p:99-119

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Postal: The University of Chicago Press, Journals Division, P.O. Box 37005 Chicago, IL 60637
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  2. Sanders, Dwight R. & Manfredo, Mark R., 2005. "A Test of Forecast Consistency Using USDA Livestock Price Forecasts," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19042, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  3. Karlyn Mitchell & Douglas K. Pearce, 2004. "Professional Forecasts of Interest Rates and Exchange Rates: Evidence from the Wall Street Journal's Panel of Economists," Working Paper Series 004, North Carolina State University, Department of Economics. [Downloadable!]
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  4. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys," NBER Working Papers 6926, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Sunil K. Mohanty & Edward N. W. Aw, 2006. "Rationality of analysts’ earnings forecasts: evidence from dow 30 companies," Applied Financial Economics, Taylor and Francis Journals, vol. 16(12), pages 915-929, August. [Downloadable!] (restricted)
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  9. Graham Elliott & Michael Jansson & Elena Pesavento, 2004. "Optimal Power for Testing Potential Cointegrating Vectors with Known," University of California at San Diego, Economics Working Paper Series 2004-08, Department of Economics, UC San Diego. [Downloadable!]
  10. Raj Aggarwal & Brian M. Lucey & Sunil K. Mohanty, 2006. "The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests," The Institute for International Integration Studies Discussion Paper Series iiisdp123, IIIS. [Downloadable!]
  11. Raj Aggarwal, 2004. "Persistent Puzzles in International Finance and Economics," The Economic and Social Review, Economic and Social Studies, vol. 35(3), pages 241-250. [Downloadable!]
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