How Informative are Preliminary Announcements of the Money Stock in Canada?
AbstractWe examine hypotheses about the relationship 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 InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 716.
Length: 34 pages
Date of creation: 1988
Date of revision:
Other versions of this item:
- Ross D. Milbourne & Gregor W. Smith, 1989. "How Informative Are Preliminary Announcements of the Money Stock in Canada?," Canadian Journal of Economics, Canadian Economics Association, vol. 22(3), pages 595-606, August.
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- 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.
- Christopher Bajada, 2002. "The Effects of Inflation and the Business Cycle on Revisions of Macroeconomic Data," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 35(3), pages 276-286.
- 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.
- 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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