The Implications of Systematic Fed Errors for Studies of Announcement Effects

dc.contributor.author Falk, Barry
dc.contributor.author Orazem, Peter
dc.contributor.author Orazem, Peter
dc.contributor.department Economics
dc.date 2018-02-16T10:55:45.000
dc.date.accessioned 2020-06-30T02:10:08Z
dc.date.available 2020-06-30T02:10:08Z
dc.date.embargo 2015-06-02
dc.date.issued 1988
dc.description.abstract <p>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.</p>
dc.identifier archive/lib.dr.iastate.edu/econ_las_staffpapers/2/
dc.identifier.articleid 1179
dc.identifier.contextkey 7167588
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath econ_las_staffpapers/2
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/22076
dc.source.bitstream archive/lib.dr.iastate.edu/econ_las_staffpapers/2/EconStaffPaper_182.pdf|||Fri Jan 14 22:04:42 UTC 2022
dc.subject.disciplines Applied Statistics
dc.subject.disciplines Business Administration, Management, and Operations
dc.subject.disciplines Econometrics
dc.subject.disciplines Economic Theory
dc.title The Implications of Systematic Fed Errors for Studies of Announcement Effects
dc.type article
dc.type.genre report
dspace.entity.type Publication
relation.isAuthorOfPublication c9a0d8cb-216b-42cb-a055-23a56438e364
relation.isOrgUnitOfPublication 4c5aa914-a84a-4951-ab5f-3f60f4b65b3d
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