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Measuring the Liquidity Effect: The Case of Japan

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  • Uesugi, Iichiro

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Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 16 (2002)
Issue (Month): 3 (September)
Pages: 289-316

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Handle: RePEc:eee:jjieco:v:16:y:2002:i:3:p:289-316

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Web page: http://www.elsevier.com/locate/inca/622903

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References

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  1. Rudebusch, Glenn D, 1998. "Do Measures of Monetary Policy in a VAR Make Sense? A Reply," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 943-48, November.
  2. Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, Elsevier, vol. 50(2), pages 237-264, April.
  3. Rudebusch, Glenn D, 1998. "Do Measures of Monetary Policy in a VAR Make Sense?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 907-31, November.
  4. Kunio Okina, 1993. "Market Operations in Japan: Theory and Practice," NBER Chapters, National Bureau of Economic Research, Inc, in: Japanese Monetary Policy, pages 31-62 National Bureau of Economic Research, Inc.
  5. James D. Hamilton, 1996. "Measuring the liquidity effect," Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco 96-06, Federal Reserve Bank of San Francisco.
  6. Fuerst, Timothy S., 1992. "Liquidity, loanable funds, and real activity," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(1), pages 3-24, February.
  7. Leeper, Eric M. & Gordon, David B., 1992. "In search of the liquidity effect," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(3), pages 341-369, June.
  8. Furfine, Craig H., 2000. "Interbank payments and the daily federal funds rate," Journal of Monetary Economics, Elsevier, Elsevier, vol. 46(2), pages 535-553, October.
  9. Hayashi, Fumio, 2001. "Identifying a Liquidity Effect in the Japanese Interbank Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(2), pages 287-315, May.
  10. Strongin, Steven, 1995. "The identification of monetary policy disturbances explaining the liquidity puzzle," Journal of Monetary Economics, Elsevier, Elsevier, vol. 35(3), pages 463-497, June.
  11. Julio J. Rotemberg, 1982. "A Monetary Equilibrium Model with Transactions Costs," NBER Working Papers 0978, National Bureau of Economic Research, Inc.
  12. Peter R. Fisher & Spence Hilton, 1999. "Highlights of domestic open market operations during 1998," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.), issue Apr, pages 217-235.
  13. Stephen G. Cecchetti, 1995. "Distinguishing theories of the monetary transmission mechanism," Proceedings, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue May, pages 83-97.
  14. Hamilton, James D., 1998. "The supply and demand for Federal Reserve deposits," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 49(1), pages 1-44, December.
  15. Feinman, Joshua N, 1993. "Estimating the Open Market Desk's Daily Reaction Function," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 25(2), pages 231-47, May.
  16. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(1), pages 26-56, February.
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Cited by:
  1. Benjamin Friedman & Kenneth Kuttner, 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," Department of Economics Working Papers, Department of Economics, Williams College 2010-03, Department of Economics, Williams College.
  2. Garett Jones, 2006. "The liquidity effect across the short end of the term structure," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 2(3), pages 159-163, May.
  3. Chang, Su-Hsin & Contessi, Silvio & Francis, Johanna L., 2014. "Understanding the accumulation of bank and thrift reserves during the U.S. financial crisis," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 43(C), pages 78-106.
  4. Jérôme Vandenbussche & Stanley Watt & Szabolcs Blazsek, 2009. "The Liquidity and Liquidity Distribution Effects in Emerging Markets," IMF Working Papers, International Monetary Fund 09/228, International Monetary Fund.

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