The liquidity effect: Evidence from the U.S

William Crowder

Economics Letters, 2012, vol. 117, issue 1, 315-317

Abstract: Using a simple cointegrated vector autoregression (VAR) I find strong evidence for a liquidity effect at policy relevant time horizons with a broad monetary aggregate. The liquidity effect is present for both nominal and real interest rates.

Keywords: Liquidity effect; Cointegration; Transitory shocks (search for similar items in EconPapers)
JEL-codes: C33 E22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:315-317

DOI: 10.1016/j.econlet.2012.05.039

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