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The Structure of Expectations of the Weekly Money Supply Announcement

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  • Thomas Urich
  • Paul Wachtel

Abstract

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.

Suggested Citation

  • Thomas Urich & Paul Wachtel, 1983. "The Structure of Expectations of the Weekly Money Supply Announcement," NBER Working Papers 1090, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:1090
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    References listed on IDEAS

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    1. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
    2. Benjamin M. Friedman, 1980. "Survey Evidence on The Rationality of Interest Rate Expectations," NBER Working Papers 0261, National Bureau of Economic Research, Inc.
    3. 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 849-858, August.
    4. Friedman, Benjamin M., 1980. "Survey evidence on the `rationality' of interest rate expectations," Journal of Monetary Economics, Elsevier, vol. 6(4), pages 453-465, October.
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    1. V. Vance Roley & Carl E. Walsh, 1985. "Monetary Policy Regimes, Expected Inflation, and the Response of Interest Rates to Money Announcements," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 100(Supplemen), pages 1011-1039.
    2. Deaves, Richard & Melino, Angelo & Pesando, James E., 1987. "The response of interest rates to the Federal Reserve's weekly money announcements : The 'puzzle' of anticipated money," Journal of Monetary Economics, Elsevier, vol. 19(3), pages 393-404, May.
    3. Higgins, Matthew L. & Mishra, Sagarika, 2014. "State dependent asymmetric loss and the consensus forecast of real U.S. GDP growth," Economic Modelling, Elsevier, vol. 38(C), pages 627-632.
    4. Ahmed Khwaja & Frank Sloan & Sukyung Chung, 2007. "The relationship between individual expectations and behaviors: Mortality expectations and smoking decisions," Journal of Risk and Uncertainty, Springer, vol. 35(2), pages 179-201, October.
    5. Bonham, Carl S & Cohen, Richard H, 2001. "To Aggregate, Pool, or Neither: Testing the Rational-Expectations Hypothesis Using Survey Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 278-291, July.
    6. Rik Hafer, 1985. "Investigating weekly survey forecasts of the federal funds rate," Working Papers 1985-009, Federal Reserve Bank of St. Louis.

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