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Are Market Forecasts Rational?

Author Info

Listed author(s):
  • Mishkin, Frederic S

Abstract

This paper conducts tests of the rationality of both inflation and short-term interest rate forecasts in the bond market. These tests are developed with the theory of efficient markets and make use of security price data to infer information on market expectations.

(This abstract was borrowed from another version of this item.)

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Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 71 (1981)
Issue (Month): 3 (June)
Pages: 295-306

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Handle: RePEc:aea:aecrev:v:71:y:1981:i:3:p:295-306
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Other versions of this item:

  • Frederic S. Mishkin, 1983. "Are Market Forecasts Rational?," NBER Chapters,in: A Rational Expectations Approach to Macroeconomics: Testing Policy Ineffectiveness and Efficient-Markets Models, pages 59-75 National Bureau of Economic Research, Inc.

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  1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  2. Barro, Robert J, 1977. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, American Economic Association, vol. 67(2), pages 101-115, March.
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