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  • 标题:The daily and policy-relevant liquidity effects
  • 本地全文:下载
  • 作者:Daniel L. Thornton
  • 期刊名称:Euro Area Balance of Payments and International Investment Position Statistics
  • 印刷版ISSN:1830-3420
  • 电子版ISSN:1830-3439
  • 出版年度:2008
  • 卷号:1
  • 出版社:European Central Bank
  • 摘要:The phrase “liquidity effect” was introduced by Milton Friedman (1969) to describe the first of three effects on interest rates caused by an exogenous change in the money supply. The lack of empirical support for the liquidity effect using monthly and quarterly data using various monetary and reserve aggregates led Hamilton (1997) to suggest that more convincing evidence of the liquidity effect could be obtained using daily data – the daily liquidity effect. This paper investigates the implications of the daily liquidity effect for Friedman’s liquidity effect using a comprehensive model of the Fed’s daily operating procedure. The evidence indicates that it is no easier to find convincing evidence of a Friedman’s liquidity effect using daily data than it has been using lower frequency data.
  • 关键词:liquidity effect; federal funds rate; monetary policy; operating procedure;FOMC
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