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Are Money Announcement Forecasts Rational?

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  • Liu, Peter C

Abstract

The present study performs rationality tests on the survey of money announcements. As the money announcement follows a nonstationary process, traditional tests for rationality are not applicable. A different set of procedures that incorporated this time-series property would be used to test for the rational expectations hypothesis. Results show that the survey data fails the rational expectations hypothesis. Previous research has suggested various improvements for the forecasts. The author's results show that none of them make the forecasts consistent with the rational expectations hypothesis. Copyright 1994 by Blackwell Publishing Ltd

Suggested Citation

  • Liu, Peter C, 1994. "Are Money Announcement Forecasts Rational?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 475-483, November.
    • Handle: RePEc:bla:obuest:v:56:y:1994:i:4:p:475-83
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    Cited by:

    1. Egginton, Don M., 1999. "Testing the efficiency and rationality of City forecasts," International Journal of Forecasting, Elsevier, vol. 15(1), pages 57-66, February.

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