Do Predictions of Professional Business Economists Conform to the Rational Expectations Hypothesis?: Tests on a Set of Survey Data

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A set of forecast survey data is analyzed in this paper for properties consistent with the Rational Expectations Hypothesis. Standard statistical tests for "rational expectations" are employed utilizing consensus forecasts generated by an interest rate newsletter. Four selected variables (Fed Funds rate, M1 rate of growth, rate of change in CPI, and real GNP growth rate) are analyzed over multiple time horizons. Results tend to reject "rational expectations" for most variables and time horizons. Forecasts are more likely to meet "rationality" criteria the shorter the forecast horizon, with the notable exception of forecasts of real GNP growth.

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iv, 110 leaves: ill.

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Dabbs, Russell Edward August 1989.

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  • Dabbs, Russell Edward

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A set of forecast survey data is analyzed in this paper for properties consistent with the Rational Expectations Hypothesis. Standard statistical tests for "rational expectations" are employed utilizing consensus forecasts generated by an interest rate newsletter. Four selected variables (Fed Funds rate, M1 rate of growth, rate of change in CPI, and real GNP growth rate) are analyzed over multiple time horizons. Results tend to reject "rational expectations" for most variables and time horizons. Forecasts are more likely to meet "rationality" criteria the shorter the forecast horizon, with the notable exception of forecasts of real GNP growth.

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iv, 110 leaves: ill.

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  • August 1989

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  • March 9, 2015, 8:15 a.m.

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  • Nov. 13, 2017, 12:23 p.m.

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Dabbs, Russell Edward. Do Predictions of Professional Business Economists Conform to the Rational Expectations Hypothesis?: Tests on a Set of Survey Data, thesis, August 1989; Denton, Texas. (digital.library.unt.edu/ark:/67531/metadc501259/: accessed September 21, 2018), University of North Texas Libraries, Digital Library, digital.library.unt.edu; .