Are Market Forecasts Rational?

20 Pages Posted: 21 Mar 2001 Last revised: 21 Nov 2022

See all articles by Frederic S. Mishkin

Frederic S. Mishkin

Columbia University - Columbia Business School, Finance; National Bureau of Economic Research (NBER)

Date Written: July 1980

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

Mishkin, Frederic S., Are Market Forecasts Rational? (July 1980). NBER Working Paper No. w0507, Available at SSRN: https://ssrn.com/abstract=263389

Frederic S. Mishkin (Contact Author)

Columbia University - Columbia Business School, Finance ( email )

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United States

National Bureau of Economic Research (NBER)

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United States

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