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Rationality of Preliminary Money Stock Estimates

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  • Kavajecz, Kenneth
  • Collins, Sean

Abstract

Earlier studies have presented mixed evidence on the rationality of the Federal Reserve's preliminary money stock estimates. The authors investigate the rationality of M1A, M1, M2, and M3 for both seasonally and not seasonally adjusted data. They find preliminary growth rates of these aggregates to be rational for not seasonally adjusted data but irrational when data are seasonally adjusted. Using Monte Carlo studies, the authors conclude that irrationality in seasonally adjusted data arises from the specific seasonal adjustment procedure used by the Federal Reserve. As a result, researchers conducting similar tests may want to focus exclusively on not seasonally adjusted data. Copyright 1995 by MIT Press.

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  • Kavajecz, Kenneth & Collins, Sean, 1995. "Rationality of Preliminary Money Stock Estimates," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 32-41, February.
    • Handle: RePEc:tpr:restat:v:77:y:1995:i:1:p:32-41
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    Cited by:

    1. Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002. "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 343-360, August.
    2. 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.
    3. Olivier Roodenburg, 2004. "On the predictability of GDP data revisions in the Netherlands," DNB Working Papers 004, Netherlands Central Bank, Research Department.
    4. Kishor, N. Kundan, 2011. "Data revisions in India: Implications for monetary policy," Journal of Asian Economics, Elsevier, vol. 22(2), pages 164-173, April.
    5. 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 403-419, June.
    6. Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan M., 2012. "The Effect of Data Revisions on the Basic New Keynesian Model," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 235-249.
    7. Dean Croushore, 2011. "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 72-100, March.
    8. Corradi, Valentina & Fernandez, Andres & Swanson, Norman R., 2009. "Information in the Revision Process of Real-Time Datasets," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 455-467.
    9. Boysen-Hogrefe, Jens & Neuwirth, Stefan, 2012. "The impact of seasonal and price adjustments on the predictability of German GDP revisions," Kiel Working Papers 1753, Kiel Institute for the World Economy (IfW Kiel).
    10. Paolo Pasquariello & Clara Vega, 2007. "Informed and Strategic Order Flow in the Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1975-2019, November.
    11. Giampiero M. Gallo & Massimiliano Marcellino, "undated". "Ex Post and Ex Ante Analysis of Provisional Data," Working Papers 141, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. S. Borağan 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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