Testing the rationality of the National Bank of New Zealand's survey data
AbstractWe test the rationality of the National Bank of New Zealand's survey data of inflation expectations. We cannot reject the null hypotheses of unbiasedness, efficiency, and orthogonality for a sample from 1985Q1 to 1996Q4. The survey's predictive power is better than those of the random walk and ARIMA models. During the period 1992q1-1996q1, where inflation is low and stable, the predictive power of an ARIMA model is better than that of the survey data, and the predictive power of the survey data is as good as that of the random walk model. These results are not inconsistent with rationality.
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Bibliographic InfoPaper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number G97/5.
Date of creation: Jul 1997
Date of revision:
Find related papers by JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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