| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13187 |
| DP13187 The permanent-transitory confusion: Implications for tests of market efficiency and for expected inflation during turbulent and tranquil times | |
| Alex Cukierman; Thomas Lustenberger; Allan H. Meltzer | |
| 发表日期 | 2018-11-04 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Even when all past and present information is known individuals usually remain uncertain about the permanence of observed variables. After reviewing the history and role of adaptive expectations and its statistical foundations in modeling this permanent-transitory confusion the paper investigates the consequences of this confusion for tests of market efficiency in the treasury bill and foreign exchange markets. A central result is that the detection of serial correlation in efficiency tests based on finite samples does not necessarily imply that markets are inefficient. The second part of the paper utilizes data on Israeli inflation expectations from the capital market to estimate the implicit speed of learning about changes in inflation and to examine the performance of adaptive expectations in tracking the evolution of those expectations during the 1985 Israeli shock stabilization as well as during the stable inflation targeting period. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Permanent-transitory confusion and rational expectations Tests of market efficiency in treasury bills and forex markets Behavior of inflationary expectations during stabilizations and tranquil times |
| URL | https://cepr.org/publications/dp13187-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542109 |
| 推荐引用方式 GB/T 7714 | Alex Cukierman,Thomas Lustenberger,Allan H. Meltzer. DP13187 The permanent-transitory confusion: Implications for tests of market efficiency and for expected inflation during turbulent and tranquil times. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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