IN SEARCH OF THE LIQUIDITY EFFECT
成果类型：
Article
署名作者：
LEEPER, EM; GORDON, DB
署名单位：
Clemson University
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(92)90031-V
发表日期：
1992
页码：
341-369
关键词：
摘要：
A short-run negative relationship between monetary aggregates and interest rates - the `liquidity effect' - is central to discussions of monetary policy. This paper searches for this empirical relationship. We investigate whether the characterization of the liquidity effect is sensitive to: (i) changes in sample period, (ii) conditioning the correlations on past information, (iii) assuming money growth is exogenous, and (iv) treating monetary changes as anticipated or unanticipated. The correlations change substantially in each case. We conclude that the traditional analysis and modern models, which rely completely on demand-side behavior, cannot explain the observed correlations. A successful characterization of the liquidity effect requires identification of both private and policy behavior.
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