Rationality of Insurance Firms' Forecasts : Results of Unbiasedness and Efficiency Tests

Authors

  • Muzafar Shah Habibullah Faculty of Economics and Management, Universiti Putra Malaysia, Malaysia

DOI:

https://doi.org/10.32890/mmj2001.5.7

Abstract

Many applied studies have tried to test the implications of rational expectations hypothesis on survey data. This study provides evidence on the rationality of economic forecasts made by insurance firms in a developing economy-Malaysia. Our unbiasedness test results suggest that anticipated gross revenue and employment are unbiased predictors of actual gross revenue and employment respectively. Furthermore, our efficiency tests results indicate that insurance firms utilized relevant information efficiently at the time the forecasts were made.

 

Downloads

Download data is not yet available.

References

Chazelas, M. (1988). The formation of invest-ment plans according to the bank of France annual survey : A study on individual data. In Contributions of Business Cycle Sur-veys to Empirical Economics, K.H. Oppenlander &G. Poser (Eds.). Avebury, Sydney.

Daub, M. (1982). The nature of expectations formation: A canadian capital investment intentions survey. In International Research on Business Cycle Surveys, H. Laumer & M. Ziegler (Eds.). England: Gower Publish-ing Co. Ltd. Malaysian Management Journal 5 (1&2), 107-117 (2001) Department Of Statistics. Business Expectations Survey of Limited Companies, various is-sues.

Dickey, D.A. & Fuller, W.A. (1979). Distribu-tion of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74: 427-431. > & Engle, R.F. & Granger, C.W.J. (1987). — DO ® Engle, R.F. and Yoo, B.S. (1987). Forecasting and testing in cointegrated systems. Jour- - nal of Econometrics, 35: 143-159. — Fischer, A.M. (1989). Unit roots and survey -5 data. Oxford Bulletin of Economics and Sta-. tistics, 51: 451-463..-— - Fuller, W.A. (1976). Introduction to Statistical c Time Series. New York: John Wiley & Sons. — — —_ Holden, K. & Peel, D.A. (1983). Forecasts and — expectations : Some evidence for the U.K., Journal of Forecasting, 2: 51-58. Cointegration and error correction : Rep-resentation, estimation and testing. Econometrica, 55: 251-276.

Heady, E.O. (1952). Economics of Agricultural Production and Resource Use. New Jersey: Prentice Hall.

Holden,K.,D.A. Peel & Thompson,)J.L. (1985). Expectations : Theory and Evidence, Lon-don: MacMillan.

Kinoshita, S. (1988). Performance and predict-ability of business survey Data. In Busi-ness Cycles in Five ASEAN Countries, India and Korea,Statistical Research Department And Institute Of Developing Economies (Ed.). Tokyo: Institute of Developing Economies.

Leonard, J.S. (1982). Wage Expectations in the Labor Market : Survey Evidence on Ra-tionality. Review of Economics and Statis-tics, 64: 157-161.

Lovell, M.C. (1986). Tests of the rational expec-tations hypothesis. American Economic Re-view, 76: 110-124.

Mackinnon, J.G. (1991). Critical values for cointegration Tests. In Long-Run Economic Relationships : Readings in Cointegration, RF. Engle & C.W.J. Granger (Eds.). Ox-ford: Oxford University Press.

Maddala, G.S. (1977). Econometrics, New York: McGraw Hill.

Maddala, G.S. (1991). Survey data on expec-tations : What have we learnt?. In Issues in Contemporary Econometrics : Macroeco-nomics and Econometrics, M. Nerlove (Ed.). MacMillan, Basingstoke and Lon-don.

Madsen, J.B. (1993). The Formation of produc-tion expectations in the manufacturing Industry for nine industrialized countries. Empirical Economics, 18: 501-521.

Mayes, D.G. (1981). The controversy over ra-tional Expectations. National Institute Eco-nomic Review, 96: 53-61. Malaysian Management Journal 5 (1&2), 107-117 (2001)

Meganck, B., P.H.

Hainaut, E.

Verregdt, J. Pal-ate & Vanhaelen, J.J. (1988). Investment behaviour in the belgian manufacturing industry according to the surveys of the National Bank. In Contributions of Business Cycle Surveys to Empirical Economics, K.H. Oppenlander & G. Poser (Eds.). Avebury, > Sydney.

Mullineaux, D.J. (1978). On testing for ration-ality : Another look at the livingston price D expectations data. Journal of Political D Economy, 82: 329-336. 4 Muth, J.F. (1961). Rational expectation and the theory of price movements. Econometrica, 29: 315-335. mM

D Pesaran, M.H. (1991). Expectations in econom-ics. In Companion to Contemporary Economic Thought, D. Greenaway, M. Bleaney and I. Stewart (Eds.). Routledge, London and New York. j.u //mm http

Phillips, P.C.B. & P. Perron (1988). Testing for a unit root in time series regression. Biometrica, 75: 335-346.

Schwert, G.W. (1987). Effects of model specifi-cation tests for unit root in macroeco-nomic data. Journal of Monetary Economics, 20: 73-103.

Wallis, K.F. (1989). Macroeconomic forecast-ing: A survey. Economic Journal, 99: 28-61.

Williams, R. (1988). Surveys of actual and in-tended investment in the U.K. In Contri-butions of Business Cycle Surveys to Empiri-cal Economics, K.H. Oppenlander & G. Poser (Eds.). Avebury, Sydney.

Yokoyama, H. (1989). Business Survey and Composite index in Malaysia. In Business Cycles in Five ASEAN Countries, India and Korea II, H. Osada & D. Hiratsuka (Eds.). Institute of Developing Economies, Tokyo. Malaysian Management Journal 5 (1&2), 107-117 (2001)

Downloads

Published

01-12-2001

Issue

Vol. 5 No. 1&2 (2001): Malaysian Management Journal (MMJ) Vol. 5 No. 1&2 June/December 2001

Section

Articles

How to Cite

Habibullah, M. S. (2001). Rationality of Insurance Firms’ Forecasts : Results of Unbiasedness and Efficiency Tests. Malaysian Management Journal, 5(1&2), 107-117. https://doi.org/10.32890/mmj2001.5.7

Research impact

Harvested 2026-09-07
0 citations recorded so far

Counts differ between services because each indexes a different body of literature. None of them is the whole picture.

Identifiers DOI 10.32890/mmj2001.5.7

Most read articles by the same author(s)