Abstract

http://ssrn.com/abstract=420141
 
 

References (9)



 
 

Citations (1)



 


 



Rational Expectations and Fixed-Event Forecasts: An Application to UK Inflation


Hasan Bakhshi


Bank of England - Monetary Analysis

George Kapetanios


University of London - Queen Mary College - Department of Economics

Anthony Yates


Bank of England - Monetary Analysis

February 2003

Bank of England Working Paper No. 176

Abstract:     
This paper tests a version of the rational expectations hypothesis using 'fixed-event' inflation forecasts for the UK. Fixed-event forecasts consist of a panel of forecasts for a set of outturns of a series at varying horizons prior to each outturn. The forecasts are the prediction of fund managers surveyed by Merrill Lynch. Fixed-event forecasts allow tests for whether expectations are unbiased in a similar fashion to the rest of the literature. But they also permit particular tests of forecast efficiency to be conducted - whether the forecasts make best use of available information- that are not possible with rolling event data. The results show evidence of a positive bias in inflation expectations. Evidence for inefficiency is much less clear cut.

Number of Pages in PDF File: 29

Keywords: Fixed-event forecasts, rational expectations, forecast efficiency

JEL Classification: C12, E37

working papers series





Download This Paper

Date posted: August 12, 2003  

Suggested Citation

Bakhshi, Hasan and Kapetanios, George and Yates, Anthony, Rational Expectations and Fixed-Event Forecasts: An Application to UK Inflation (February 2003). Bank of England Working Paper No. 176. Available at SSRN: http://ssrn.com/abstract=420141 or http://dx.doi.org/10.2139/ssrn.420141

Contact Information

Hasan Bakhshi
Bank of England - Monetary Analysis ( email )
Threadneedle Street
London EC2R 8AH
United Kingdom
020 7601 5996 (Phone)
George Kapetanios
University of London - Queen Mary College - Department of Economics ( email )
Mile End Road
London, E1 4NS
United Kingdom
+44 20 7882 5097 (Phone)
HOME PAGE: http://www.qmul.ac.uk/%7Etew021/
Anthony Yates (Contact Author)
Bank of England - Monetary Analysis ( email )
Threadneedle Street
London EC2R 8AH
United Kingdom
Feedback to SSRN


Paper statistics
Abstract Views: 646
Downloads: 63
Download Rank: 211,384
References:  9
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.375 seconds