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Are Market Forecasts Rational?

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  • Frederic S. Mishkin
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.

Suggested Citation

  • Frederic S. Mishkin, 1980. "Are Market Forecasts Rational?," NBER Working Papers 0507, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:0507
    Note: EFG
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
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