Measuring Market Responses to Error-Ridden Government Announcements

Barry Falk and Peter Orazem

Staff General Research Papers Archive from Iowa State University, Department of Economics

Abstract: This article analyzes how asset prices respond to government announcements that are subject to error. In cases where government forecast errors are correlated with available market information, market agents will not respond to the government's preliminary announcements per se. Instead, they will respond to the new information on the final value that is conveyed by the government announcement. The authors show that such systematic government errors can cause biases in deriving the structural response of asset prices to government announcements. They illustrate the problem and a proposed solution using USDA soybean forecasts and the Federal Reserve's weekly money supply announcement as examples.

Date: 1989-07-01
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Published in Quarterly Review of Economics and Business, Summer 1989, vol. 29 no. 2, pp. 41-55

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:11096

Access Statistics for this paper

More papers in Staff General Research Papers Archive from Iowa State University, Department of Economics Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070. Contact information at EDIRC.
Bibliographic data for series maintained by Curtis Balmer ().