How Informative Are Preliminary Announcements of the Money Stock in Canada?
AbstractThe authors examine hypotheses about the relation between provisional estimates and final values of M1, M2, and M3, and their growth rates in Canada, using monthly data and multiple revisions. Preliminary values cannot be viewed as final values plus an error (revision) uncorrelated with these, but they are approximately unbiased forecasts of final values. The second difference in short-term interest rates is a leading indicator of revisions in M1 growth rates and revisions exhibit significant seasonality; hence preliminary values are not completely rational forecasts.
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Bibliographic InfoArticle provided by Canadian Economics Association in its journal Canadian Journal of Economics.
Volume (Year): 22 (1989)
Issue (Month): 3 (August)
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Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
Web page: http://economics.ca/cje/
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Other versions of this item:
- Ross Milbourne & Gregor W. Smith, 1988. "How Informative are Preliminary Announcements of the Money Stock in Canada?," Working Papers 716, Queen's University, Department of Economics.
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- Gregor W. Smith, 2007.
"Pooling Forecasts in Linear Rational Expectations Models,"
1129, Queen's University, Department of Economics.
- Smith, Gregor W., 2009. "Pooling forecasts in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1858-1866, November.
- Christopher Bajada, 2002.
"The Effects of Inflation and the Business Cycle on Revisions of Macroeconomic Data,"
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The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 35(3), pages 276-286.
- Chris Bajada, 2001. "The Effects of Inflation and the Business Cycle on Revisions of Macroeconomic Data," Working Paper Series 110, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005.
"News and Noise in G-7 GDP Announcements,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 37(3), pages 403-19, June.
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