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Forecastable Money-Growth Revisions: A Closer Look at the Data

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Knut Anton Mork
Abstract

The data for preliminary and revised U.S. money-growth data are reexamined. The findings contrast with those of the previous literature, which has concluded that the data revisions behave like classical measurement errors. This paper finds that the revisions are forecastable, which contradicts the random-measurement hypothesis as well as the efficient-forecast hypothesis. Although ill behaved in this manner, it is possible that the announcements represent observations rather than forecasts; however, the evidence suggests that they are a mixture of the two. This finding offers a potential explanation for the failure of the data to show significant real effects of money-growth revisions.

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Publisher Info
Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

Volume (Year): 23 (1990)
Issue (Month): 3 (August)
Pages: 593-616
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Handle: RePEc:cje:issued:v:23:y:1990:i:3:p:593-616

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  1. Aruoba, Boragan, 2005. "Data Revisions Are Not Well-Behaved," CEPR Discussion Papers 5271, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  2. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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