Title

Monetary Policy Shocks and Interest Rates: Further Evidence on the Liquidity Effect

Document Type

Article

Publication Date

6-1999

Publication Source

Review of World Economics (Weltwirtschaftliches Archiv)

Abstract

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.

Inclusive pages

306-316

ISBN/ISSN

0043-2636

Comments

Permission documentation is on file.

Publisher

Springer

Volume

135

Peer Reviewed

yes

Issue

2

Link to Full Text

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