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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.

Suggested Citation

  • Knut Anton Mork, 1990. "Forecastable Money-Growth Revisions: A Closer Look at the Data," Canadian Journal of Economics, Canadian Economics Association, vol. 23(3), pages 593-616, August.
  • Handle: RePEc:cje:issued:v:23:y:1990:i:3:p:593-616
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    Cited by:

    1. Fabrice Collard & Harris Dellas, 2010. "Monetary Misperceptions, Output, and Inflation Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 483-502, March.
    2. Paolo Pasquariello & Clara Vega, 2007. "Informed and Strategic Order Flow in the Bond Markets," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1975-2019, November.
    3. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
    4. S. Boragan Aruoba, 2008. "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 319-340, March.

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