THE IDENTIFICATION OF MONETARY-POLICY DISTURBANCES - EXPLAINING THE LIQUIDITY PUZZLE

• 成果类型: Article
• 署名作者: STRONGIN, S
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(95)01197-V
• 发表日期: 1995
• 页码: 463-497
• 关键词: NONBORROWED RESERVES; monetary policy; liquidity effect

摘要

This paper examines recent work on the identification of monetary policy disturbances. Its main finding is that the empirical anomalies found in the literature reflect a failure to properly address the Federal Reserve's policy of accommodating reserve demand shocks. A new method of identifying monetary policy using nonborrowed reserves is proposed. Using this specification - policy has a strong persistent liquidity effect regardless of subsample - policy Granger-causes output even in the presence of interest rates, explaining approximately 49% of the variance in output at a two-year horizon - and the residual explanatory power of interest rates for output is negligible.