合理的 期待假說의 適用妥當性에 관한 實證的 硏究

An Empirical Test on Applicability of Rational Expectation Hypothesis

An empirical research is implemented on the question whether the rational expectation hypotehsis is applicable to price expectation of producer in Korean agriculture, where market information is transmitted in less efficient manner. Demand and supply functions of pork are estimated for quarterly data from 1976 III to 1984 IV by 3SLS method under different hypothesis of expectation formation; static expectation, extrapolative expectation(ARIMA), adaptive expectation, and rational expectation. The results of prediction test of the models by different expectation hypothesis show that the price by rational expection hypothesis is the least efficient in prediction of pork price in comparison with other estimate on the basis of RMSE and Theil coefficient. On the other hand the expected price by the adaptive expectation hypothesis is most accurate in prediction among the four predictions.