In light of research questioning the usefulness of economists' models of exchange-rate determination, this paper investigates the rationality of survey measures of expectations for Deutschmark/dollar exchange rates for 1989-97. Using Liu and Maddala's (1992) "restricted cointegration" test, the...

The relationship between asset demand and information quality in rational expectations economies is analyzed. First we derive a number of new summary descriptive statistics that measure four basic characteristics of investment style: asset selection, market timing, aggressiveness, and...

xi, 87 p. : ill. A print copy of this thesis is available through the UO Libraries. Search the library catalog for the location and call number.

One of the more puzzling results in the expectations hypothesis (EH) testing literature is the Campbell-Shiller paradox. In an influential paper, Campbell and Shiller (1991) found that “the slope of the term structure almost always gives a forecast in the wrong direction for the short-term...

Traditionally, monetary policy has been conducted under a veil of secrecy. In its landmark Freedom of Information Act case, the Federal Reserve argued that it needed to delay the disclosure of its policy decision, claiming that immediate disclosure would cause the market to overreact or react in...

A comparison of the performance of forecasts by economists (the Livingston survey), households (the Michigan Survey of Consumer Finances), and a time series model (ARIMA).

A review of the literature concerning how individuals learn to form rational expectations and a discussion of the meaning of rationality in a macroeconomy characterized by highly decentralized markets.

This paper examines the robustness characteristics of optimal control policies derived under the assumption of rational expectations to alternative models of expectations formation and uncertainty about the natural rates of interest and unemployment. We assume that agents have imperfect...