Monetary policy shocks and interest rates: Further evidence on the liquidity effect |
| |
Authors: | Tony Caporale Barbara McKiernan |
| |
Institution: | (1) Department of Economics, Bilkent University, 06800 Ankara, Turkey;(2) Department of Economics, Gazi University, 06500 Ankara, Turkey;(3) Department of Foreign Relations and European Union, Ministry of Agriculture and Rural Affairs, Eskisehir Yolu 9. km Lodumlu, 06530 Ankara, Turkey |
| |
Abstract: | Monetary Policy Shocks and Interest Rates: Further Evidence on the Liquidity Effect. — This essay tests whether innovations in monetary policy are inversely linked with changes in interest rates. Using Mishkin’s efficient markets framework and the measures of policy innovations constructed by Boschen and Mills and Bemanke and Mihov, we find strong evidence that expansionary monetary policy shocks lower interest rates. We argue that the failure of most studies to find a significant liquidity effect is due to the endogeneity of the monetary aggregates which are used to measure policy shocks. |
| |
Keywords: | E52 |
本文献已被 SpringerLink 等数据库收录! |
|