TY  - JOUR
AU  - Urich,Thomas
AU  - Wachtel,Paul
TI  - The Effects of Inflation and Money Supply Announcements on Interest Rates
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 1313
PY  - 1984
Y2  - November 1984
UR  - http://www.nber.org/papers/w1313
L1  - http://www.nber.org/papers/w1313.pdf
N1  - Author contact info:
Paul Wachtel
Stern School of Business
New York University
44 West 4th Street (769)
New York, NY 10012
Tel: 212-998-4030
E-Mail: pwachtel@stern.nyu.edu
AB  - 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 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.
ER  -