Further evidence on the rationality of interest rate expectations: A comprehensive study of developed and emerging economies
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- 作者：Fazlul Miaha ; fmiah@kfupm.edu.sa" class="auth_mail" title="E-mail the corresponding author ; Ahmed Ali Khalifab ; 1 ; aliabdelkh@qu.edu.qa" class="auth_mail" title="E-mail the corresponding author ; Shawkat Hammoudehc ; d ; 2 ; hammousm@drexel.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：Rational expectations ; Emerging markets ; Developed economies ; Consensus survey data ; Monetary policy transparency ; Panel regressions and ADF
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：April 2016
- 年：2016
- 卷：54
- 期：Complete
- 页码：574-590
- 全文大小：682 K
文摘
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The study performs unbiasedness and efficiency tests of interest rate expectations for thirty countries.
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Unbiasedness test results show that expectations are biased in general, but individual country-specific results are mixed.
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The efficiency test results show that forecasters do not incorporate all available information.
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Emerging markets' interest rates are more predictable at the shorter horizon than the developed markets due mainly to higher inflation.
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The results are robust and do not change at the different sub-periods.