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The Structure of Expectations of the Weekly Money Supply Announcement

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  • Thomas Urich
  • Paul Wachtel
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    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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    File URL: http://www.nber.org/papers/w1090.pdf
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    Bibliographic Info

    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: Mar 1983
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    Publication status: published as Urich, Thomas and Paul Wachtel. "The Structure of Expectations of the Weekly Money Supply Announcements." Journal of Monetary Economics, Vol. 13, No . 2, (April 1984), pp. 183-194.
    Handle: RePEc:nbr:nberwo:1090

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    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.
    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.
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    Cited by:
    1. Deaves, Richard & Melino, Angelo & Pesando, James E., 1987. "The response of interest rates to the Federal Reserve's weekly money announcements : The 'puzzle' of anticipated money," Journal of Monetary Economics, Elsevier, vol. 19(3), pages 393-404, May.
    2. Higgins, Matthew L. & Mishra, Sagarika, 2014. "State dependent asymmetric loss and the consensus forecast of real U.S. GDP growth," Economic Modelling, Elsevier, vol. 38(C), pages 627-632.
    3. Bonham, Carl S & Cohen, Richard H, 2001. "To Aggregate, Pool, or Neither: Testing the Rational-Expectations Hypothesis Using Survey Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 278-91, July.
    4. R. W. Hafer, 1985. "Investigating weekly survey forecasts of the federal funds rate," Working Papers 1985-009, Federal Reserve Bank of St. Louis.
    5. Sagarika Mishra, . "Do Agents Learn by Least Squares? The Evidence Provided by Changes in Monetary Policy," Financial Econometics Series 2012_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    6. 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.
    7. Sagarika Mishra & Sandeep Dhole, . "Least Squares Learning and the US Treasury Bill Rate," Financial Econometics Series 2013_05, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.

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