In search of the liquidity effect
In search of the liquidity effect
复制标题
寻找流动性效应
DOI：
10.1016/0304-3932(92)90031-v
复制
发表时间：
1992
影响因子：
4.1
通讯作者：
D. B. Gordon
中科院分区：
文献类型：
--
作者：
E. Leeper;D. B. Gordon
货币总量与利率之间的短期负相关关系（即“流动性效应”）是货币政策讨论的核心。本文寻找这种经验关系。我们研究流动性效应的表征是否对以下因素敏感：（i）样本期的变化，（ii）根据过去信息调节相关性，（iii）假设货币增长是外生的，以及（iv）将货币变化视为预期或意外。在每种情况下相关性都会发生很大的变化。我们的结论是，完全依赖需求方行为的传统分析和现代模型无法解释观察到的相关性。成功描述流动性效应需要识别私人行为和政策行为。
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.