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Models of Inflation Forecasts: Some Australian Evidence

Author

Listed:
  • Keith K.W. Chan

    (School of Banking and Finance, University of New South Wales, Kensington.)

  • Toan M. Pham

    (School of Banking and Finance, University of New South Wales, Kensington.)

Abstract

This paper provides Australian evidence of the comparative forecasting power of the three inflation models (interest rate, time series, and survey forecasts). In particular, it examines the rationality (in the Muthian sense) of the survey forecasts. The following results are obtained: first, the survey forecasts are rational; and, second, the survey has the highest forecasting power.

Suggested Citation

  • Keith K.W. Chan & Toan M. Pham, 1990. "Models of Inflation Forecasts: Some Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 89-105, June.
    • Handle: RePEc:sae:ausman:v:15:y:1990:i:1:p:89-105
    DOI: 10.1177/031289629001500104
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    References listed on IDEAS

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

    1. Robert Faff & Richard Heaney, 1999. "An examination of the relationship between Australian industry equity returns and expected inflation," Applied Economics, Taylor & Francis Journals, vol. 31(8), pages 915-933.
    2. Mahdi Sadeghi, 1992. "Stock Market Response to Unexpected Macroeconomic News: The Australian Evidence," IMF Working Papers 1992/061, International Monetary Fund.

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