IDEAS home Printed from https://ideas.repec.org/p/isu/genstf/198801010800001179.html
   My bibliography  Save this paper

The Implications of Systematic Fed Errors for Studies of Announcement Effects

Author

Listed:
  • Falk, Barry
  • Orazem, Peter F.

Abstract

In this paper we show that the errors in the Federal Reserve's weekly preliminary money supply estimates may be treated as an autoregressive, conditionally heteroskedastic (ARCH) process. We present theoretical and empirical evidence concerning the implications of systematic Fed errors for announcement effect studies. The results show that findings in previous studies of structural change in the response of interest rates to unanticipated changes in the money supply and of significant negative effects of anticipated money changes on interest rates are not robust when corrections are made to incorporate efficient market responses to error-ridden announcements.

Suggested Citation

  • Falk, Barry & Orazem, Peter F., 1988. "The Implications of Systematic Fed Errors for Studies of Announcement Effects," ISU General Staff Papers 198801010800001179, Iowa State University, Department of Economics.
    • Handle: RePEc:isu:genstf:198801010800001179
    as

    Download full text from publisher

    File URL: https://dr.lib.iastate.edu/server/api/core/bitstreams/c279b6cb-767f-4a4e-86ed-8e3a07fb336d/content
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:isu:genstf:198801010800001179. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Curtis Balmer (email available below). General contact details of provider: https://edirc.repec.org/data/deiasus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.