Rationality of Japanese macroeconomic survey forecasts: empirical evidenceand comparisons with the US

This paper presents evidence on rational expectations in Japanese survey fo recasts of the trade balance, money supply, retail sales, housing starts, a nd industrial production. We find that Japanese survey forecasts of these v ariables, with the exception of industrial production, are rational in that their announced values and survey forecasts are generally co-integrated wi th factor one. However, Japanese survey forecasts of industrial production are found to be biased and inconsistent with rational expectations. This ev idence on the rationality of these Japanese macroeconomic forecasts has imp ortant implications for understanding the impact of news on asset pricing a nd the effectiveness of monetary and other public policies in Japan. (C) 20 00 Elsevier Science B.V. All rights resented.