An Integrated View of Tests of Rationality, Market Efficiency, and the Short-Run Neutrality of Monetary Policy / Andrew B. Abel, Frederic S. Mishkin.

Author
Abel, Andrew B. [Browse]
Format
Book
Language
English
Published/​Created
Cambridge, Mass. National Bureau of Economic Research 1981.
Description
1 online resource: illustrations (black and white);

Details

Related name
Series
  • Working Paper Series (National Bureau of Economic Research) no. w0726. [More in this series]
  • NBER working paper series no. w0726
Summary note
This paper analyzes an important class of models in which expectations play an important role. Topics included in the analysis are tests of: (1) rationality of forecasts in either market or survey data, (2) capital market efficiency, (3) the short-run neutrality of monetary policy and, (4) Granger causality in macroeconometric models. The common elements of these tests are highlighted. In particular, cross-equation tests for rationality or the short-run neutrality of money are shown to be equivalent to more common regression tests in the literature. Also discussed are the conditions for identification and the implications for whether hypotheses are testable.
Notes
August 1981.
Source of description
Print version record
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