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The Structure of Expectations of the Weekly Money Supply Announcement

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Author Info
Thomas Urich
Paul Wachtel
Abstract

This paper examines the structure of expectations of the weekly money supply announcement in the late 1970s. The data used are from a weekly telephone survey of money market participants. The rationality and structure of expectations are explored with the data organized in three ways:the mean response to each weekly survey, the pooled sample of individual responses, and time series of responses by each individual in the survey.The effect of data aggregation on rationality tests is investigated. The structure of the expectations data are also examined and it is found that both strong regressive influences and adaptive learning characterize the data.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 1090.

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Date of creation: Oct 1984
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Handle: RePEc:nbr:nberwo:1090

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Pesando, James E, 1975. "A Note on the Rationality of the Livingston Price Expectations," Journal of Political Economy, University of Chicago Press, vol. 83(4), pages 849-58, August. [Downloadable!] (restricted)
  2. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May. [Downloadable!] (restricted)
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  1. R. W. Hafer, 1985. "Investigating weekly survey forecasts of the federal funds rate," Working Papers 1985-009, Federal Reserve Bank of St. Louis. [Downloadable!]
  2. Richard Deaves & Angelo Melino & James E. Pesando, 1987. "The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements: The "Puzzle" of Anticipated Money," NBER Working Papers 2125, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Carl S Bonham & Richard H Cohen, 2000. "To Aggregate, Pool, or Neither: Testing the Rational Expectations Hypothesis Using Survey Data," Working Papers 200003, University of Hawaii at Manoa, Department of Economics. [Downloadable!]
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  4. Ahmed Khwaja & Frank Sloan & Sukyung Chung, 2007. "The relationship between individual expectations and behaviors: Mortality expectations and smoking decisions," Journal of Risk and Uncertainty, Springer, vol. 35(2), pages 179-201, October. [Downloadable!] (restricted)
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