The Rational Expectations Hypothesis (REH) restricts short- and long-horizon forecasts to be consistent with one another. Cross-variable consistency, also imposed by the REH, is the requirement that contemporaneously formed expectations of different variables be consistent with one another, as well as with the 'true model' jointly determining the realizations of those variables. After reviewing the literature on direct tests of the REH employing survey data as proxies for unobservable expectations, this dissertation (1) defines cross-variable consistency, (2) derives a Fisher-equation model of the nominal interest rate and (3) conducts cross-variable consistency tests for rationality of the ASA/NBER-SPF survey forecasts of macroeconomic variables using the derived model. Results strongly confirm the rationality of the median predictions and generally support the conclusion that individual forecasters form expectations in a manner consistent with the REH / acase@tulane.edu
| Identifer | oai:union.ndltd.org:TULANE/oai:http://digitallibrary.tulane.edu/:tulane_23803 |
| Date | January 1995 |
| Contributors | Miller, Raymond Aloysius (Author), Tanner, J. Ernest (Thesis advisor) |
| Publisher | Tulane University |
| Source Sets | Tulane University |
| Language | English |
| Detected Language | English |
| Rights | Access requires a license to the Dissertations and Theses (ProQuest) database., Copyright is in accordance with U.S. Copyright law |
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