Are Market Forecasts Rational?
This paper conducts tests of the rationality of both inflation and short-term interest rate forecasts in the bond market. These tests are developed with the theory of efficient markets and make use of security price data to infer information on market expectations.
Published Versions
Mishkin, Frederic S. "Are Market Forecasts Rational?" The American Economic Review, Vol. 71, No. 3, (June 1981), pp. 295-306. citation courtesy of 
Are Market Forecasts Rational?, Frederic S. Mishkin. in A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models, Mishkin. 1983
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