Resolving the Liquidity Effect

A. R. Pagan · John C. Robertson

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Monetary Policy and Economic Impact Banking stability, regulation, efficiency Economic theories and models

Abstract

The authors narrow the disagreement about the empirical relevance of the liquidity effect. They thoroughly review the empirical literature on the liquidity effect, differentiating between single-equation and systems-modeling approaches.

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References

1986The Economics of Money, Banking and Financial Markets 1992Interpreting the macroeconomic time series facts 1992‘Interpreting the macroeconomic time series facts: The effects of monetary policy’1995The identification of monetary policy disturbances explaining the liquidity puzzle 1994The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification 1990On tests of representative consumer asset pricing models 1991Identification and the Liquidity Effect of a Monetary Policy Shock 1992Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy

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1998Lending cycles 1998Structural Models of the Liquidity Effect 2002The Effects of Monetary Policy in Japan 2011Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area 2004Monetary policy shocks:2006The Liquidity Effect in the Federal Funds Market: Evidence from Daily Open Market Operations

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