The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Market Response to the Weekly Money Supply Announcements in the 1970s
Published: 12/01/1981 | DOI: 10.1111/j.1540-6261.1981.tb01076.x
THOMAS URICH, PAUL WACHTEL
The hypothesis that the weekly announcement of the money supply affects interest rates is examined. The announcement effect is interpreted as a policy anticipation effect. That is, an unanticipated increase in the money supply leads to an increase in interest rates in anticipation of future tightening by the Federal Reserve. Estimates of this effect with proxies for the unanticipated change constructed from a survey of money supply forecasts and an ARIMA model indicate that: (a) financial markets respond very quickly to the announcement; and (b) the response was largest when policymakers emphasized the importance of the monetary aggregates.
Optimal Aggregation of Money Supply Forecasts: Accuracy, Profitability and Market Efficiency
Published: 06/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02497.x
STEPHEN FIGLEWSKI, THOMAS URICH
We present a general procedure for aggregating expert forecasts which exploits regularities in the structure of information within the forecaster population. Specific information structures lead to aggregation methods which adjust for additive bias, differences in individual accuracy, and correlation among forecasts. As an application, we construct composite predictions of the weekly change in the money supply from forecasts made by twenty major securities dealers, for which high positive correlation is found to be a significant characteristic. Due to instability in the information structure, our methods cannot improve on the accuracy of a simple average in this case. However, they do capture information about the correlation among money supply forecasts which is not fully impounded in short‐term interest rates. Forecasts from our models accurately predict the direction of price changes for Treasury bills and Treasury bill futures after a money supply announcement.
The Effects of Inflation and Money Supply Announcements on Interest Rates
Published: 09/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03901.x
THOMAS URICH, PAUL WACHTEL
This paper examines the impact of the money supply and inflation rate announcements on interest rates. Survey data on expectations of the money supply and consumer and producer price indexes are used to distinguish anticipated and unanticipated components of the announcements. This distinction is used to test for the efficiency of the financial market response to the announcements of new information. The results indicate that the unanticipated components of the announced changes in the Producers Price Index and in the money supply have an immediate positive effect on short‐term interest rates. The Consumer Price Index announcement has no apparent effect. There is no evidence of a delayed announcement effect. However, there is some indication of a liquidity effect of the money supply change on interest rates. This takes place when reserves are changing and several weeks prior to the information announcement.
“ARE BETAS BEST?”†
Published: 12/01/1978 | DOI: 10.1111/j.1540-6261.1978.tb03426.x
Edwin J. Elton, Martin J. Gruber, Thomas J. Urich