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Fischer, A., Maurer, M. Are Preliminary Monetary Announcements in Switzerland Rational?. Credit and Capital Markets – Kredit und Kapital, 24(3), 332-344. https://doi.org/10.3790/ccm.24.3.332
Fischer, Andreas M. and Maurer, Martin "Are Preliminary Monetary Announcements in Switzerland Rational?" Credit and Capital Markets – Kredit und Kapital 24.3, 1991, 332-344. https://doi.org/10.3790/ccm.24.3.332
Fischer, Andreas M./Maurer, Martin (1991): Are Preliminary Monetary Announcements in Switzerland Rational?, in: Credit and Capital Markets – Kredit und Kapital, vol. 24, iss. 3, 332-344, [online] https://doi.org/10.3790/ccm.24.3.332
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Are Preliminary Monetary Announcements in Switzerland Rational?

Fischer, Andreas M. | Maurer, Martin

Credit and Capital Markets – Kredit und Kapital, Vol. 24 (1991), Iss. 3 : pp. 332–344

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Additional Information

Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.24.3.332
Language
Multiple languages
Pages
13

Author Details

Andreas M. Fischer, Zürich

Martin Maurer, Zürich

References

  1. Banerjee, A.,; Dolado, J. J., Hendry, D. F.; Smith, G. W. (1986): “Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence,” Oxford Bulletin of Economics and Statistics 48, 253 - 278.  Google Scholar
  2. Birchler, U. W. (1985): “Gehaltskonti und Geldmengenstatistik”, Geld, Währung und Konjunktur 3, 228 - 239.  Google Scholar
  3. Dickey, D. A.; Fuller, W. A. (1981): “The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica 49, 1057 - 72.  Google Scholar
  4. Dickey, D. A.; Hasza, D.P.; Fuller, W. A. (1984): “Testing for Unit Roots in Seasonal Time Series,” Journal of American Statistical Association 79, 355 - 367.  Google Scholar
  5. Engle, R. F.; Granger, C. W.J. (1987): “Cointegration and Error Correction: Representation, Estimation and Testing,” Econometrica 55, 251 - 276.  Google Scholar
  6. Fischer, A. M. (1990): “Cointegration and 1(0) Measurement Error Bias”, Economics Letters 34, 255 - 259.  Google Scholar
  7. Fischer, A.M. (1989): “Unit Roots and Survey Data,” Oxford Bulletin of Economics and Statistics 51, 315 - 329.  Google Scholar
  8. Hansen, L. (1982): “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica 50, 1029 - 1054.  Google Scholar
  9. Mankiw, N. G.; Rundle, R. E.; Shapiro, M.D. (1984): “Are Preliminary Announcements of the Money Stock Rational Forecasts?,” Journal of Monetary Economics 14, 15 - 27.  Google Scholar
  10. Milbourne, R. D.; Smith, G. W. (1989): “How Informative are Preliminary Announcements of the Money Stock in Canada?, Canadian Journal of Economics, 595 - 606.  Google Scholar
  11. Rich, G.; Beguelin, J.-P. (1985): “Swiss Monetary Policy in the 1970s and 1980s: An Experiment in Pragmatic Monetarism,” in Monetary Policy and Monetary Regimes, edited by Karl Brunner, Rochester N.Y. Center for Research in Government Policy and Business, University of Rochester.  Google Scholar
  12. SNB (1985): “Revision der Geldmengenstatistik,” Geld, Währung und Konjunktur - Quartalsheft, 1, March, 51 - 56.  Google Scholar
  13. SNB (1982): “Zur Revision der monetären Statistik: Die neuen Daten für die schweizerische Notenbankgeldmenge,” Beilage zur Monatsbericht der Schweizerische Nationalbank, 2, February.  Google Scholar
  14. SNB (1975): “Revision der Geldmengenstatistik, Beilage zur Monatsbericht der Schweizerische Nationalbank, 8, August.  Google Scholar
  15. Stock, J.H. (1987): “Asymptotic Properties of a Least Squares Estimator of Cointegrated Vectors,” Econometrica 55, 1035 - 1056.  Google Scholar
  16. Banerjee, A.,; Dolado, J. J., Hendry, D. F.; Smith, G. W. (1986): “Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence,” Oxford Bulletin of Economics and Statistics 48, 253 – 278.  Google Scholar
  17. Birchler, U. W. (1985): “Gehaltskonti und Geldmengenstatistik”, Geld, Währung und Konjunktur 3, 228 – 239.  Google Scholar
  18. Dickey, D. A.; Fuller, W. A. (1981): “The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica 49, 1057 – 72.  Google Scholar
  19. Dickey, D. A.; Hasza, D.P.; Fuller, W. A. (1984): “Testing for Unit Roots in Seasonal Time Series,” Journal of American Statistical Association 79, 355 – 367.  Google Scholar
  20. Engle, R. F.; Granger, C. W.J. (1987): “Cointegration and Error Correction: Representation, Estimation and Testing,” Econometrica 55, 251 – 276.  Google Scholar
  21. Fischer, A. M. (1990): “Cointegration and 1(0) Measurement Error Bias”, Economics Letters 34, 255 – 259.  Google Scholar
  22. Fischer, A.M. (1989): “Unit Roots and Survey Data,” Oxford Bulletin of Economics and Statistics 51, 315 – 329.  Google Scholar
  23. Hansen, L. (1982): “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica 50, 1029 – 1054.  Google Scholar
  24. Mankiw, N. G.; Rundle, R. E.; Shapiro, M.D. (1984): “Are Preliminary Announcements of the Money Stock Rational Forecasts?,” Journal of Monetary Economics 14, 15 – 27.  Google Scholar
  25. Milbourne, R. D.; Smith, G. W. (1989): “How Informative are Preliminary Announcements of the Money Stock in Canada?, Canadian Journal of Economics, 595 – 606.  Google Scholar
  26. Rich, G.; Beguelin, J.-P. (1985): “Swiss Monetary Policy in the 1970s and 1980s: An Experiment in Pragmatic Monetarism,” in Monetary Policy and Monetary Regimes, edited by Karl Brunner, Rochester N.Y. Center for Research in Government Policy and Business, University of Rochester.  Google Scholar
  27. SNB (1985): “Revision der Geldmengenstatistik,” Geld, Währung und Konjunktur – Quartalsheft, 1, March, 51 – 56.  Google Scholar
  28. SNB (1982): “Zur Revision der monetären Statistik: Die neuen Daten für die schweizerische Notenbankgeldmenge,” Beilage zur Monatsbericht der Schweizerische Nationalbank, 2, February.  Google Scholar
  29. SNB (1975): “Revision der Geldmengenstatistik, Beilage zur Monatsbericht der Schweizerische Nationalbank, 8, August.  Google Scholar
  30. Stock, J.H. (1987): “Asymptotic Properties of a Least Squares Estimator of Cointegrated Vectors,” Econometrica 55, 1035 – 1056.  Google Scholar

Abstract

Are Preliminary Monetary Announcements in Switzerland Rational?

Several hypotheses regarding the information content of preliminary M1, M2 and M3 estimates are examined for Switzerland. Our tests are unable to reject therational forecast hypothesis for the preliminary M1 figures. Both the errors-in-variables and rational forecast hypotheses are rejected for the preliminary figures of M2 and M3, suggesting that these estimates are inefficient. Seasonal factors, long-term interest rates and exchange rates are found to be a leading indicator for M2 and M3 revisions.

Table of Contents

Section Title Page Action Price
Andreas M. Fischer/Martin Maurer: Are Preliminary Monetary Announcements\rin Switzerland Rational? 332
I. Introduction 332
II. Publication Schedule and Construction of the Preliminary Estimates 333
III. Testing the Errors-In-Variables Hypotheses 336
IV. Testing the Rational Forecast Hypothesis 339
V. Conclusions 341
References 343
Zusammenfassung: Sind vorläufige geldpolitische Ankündigungen in der Schweiz rational? 343
Summary: Are Preliminary Monetary Announcements in Switzerland Rational? 344
Résumé: Les annonces provisoires monétaires en Suisse sont-elles rationelles? 344

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