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Testing the rationality of the National Bank of New Zealand's survey data

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Abstract

We 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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File URL: http://www.rbnz.govt.nz/research_and_publications/discussion_papers/1997/g97_5.pdf
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Bibliographic Info

Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number G97/5.

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Length: 22p
Date of creation: Jul 1997
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Handle: RePEc:nzb:nzbdps:1997/05

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  1. Brown, Bryan W & Maital, Shlomo, 1981. "What Do Economists Know? An Empirical Study of Experts' Expectations," Econometrica, Econometric Society, vol. 49(2), pages 491-504, March.
  2. Peter C.B. Phillips & Mico Loretan, 1989. "Estimating Long Run Economic Equilibria," Cowles Foundation Discussion Papers 928, Cowles Foundation for Research in Economics, Yale University.
  3. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  4. Pearce, Douglas K, 1987. "Short-term Inflation Expectations: Evidence from a Monthly Survey: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(3), pages 388-95, August.
  5. Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-60, August.
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Cited by:
  1. 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.
  2. Hugo Oliveros C., 1999. "Expectativas:Una Aproximación A Través De Modelos De Escogencia Discreta," BORRADORES DE ECONOMIA 002697, BANCO DE LA REPÚBLICA.
  3. Hugo Oliveros, . "Expectativas: Una Aproximación a Través de Modelos de Escogencia Discreta," Borradores de Economia 137, Banco de la Republica de Colombia.
  4. L Christopher Plantier & Dean Scrimgeour, 2002. "Estimating a Taylor Rule for New Zealand with a time-varying neutral real rate," Reserve Bank of New Zealand Discussion Paper Series DP2002/06, Reserve Bank of New Zealand.
  5. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
  6. Chong, Lucy Lee-Yun & Puah, Chin-Hong & Md Isa, Abu Hassan, 2012. "Theory of rational expectations hypothesis: banks and other financial institutions in Malaysia," MPRA Paper 36657, University Library of Munich, Germany.

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