The Structure of Expectations of the Weekly Money Supply Announcement
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.
|Date of creation:||Mar 1983|
|Date of revision:|
|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.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
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- 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.
- Davidson, Russell & MacKinnon, James G, 1981.
"Several Tests for Model Specification in the Presence of Alternative Hypotheses,"
Econometric Society, vol. 49(3), pages 781-93, May.
- Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
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