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The liquidity effect: Identifying short-run interest rate dynamics using long-run restrictions

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Author Info
Lastrapes, William D.
Selgin, George

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Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 17 (1995)
Issue (Month): 3 ()
Pages: 387-404
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Handle: RePEc:eee:jmacro:v:17:y:1995:i:3:p:387-404

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Web page: http://www.elsevier.com/locate/inca/622617

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  1. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387. [Downloadable!]
  2. Keuk-Soo Kim & W. Douglas McMillin, 2003. "Estimating the effects of monetary policy shocks: does lag structure matter?," Applied Economics, Taylor and Francis Journals, vol. 35(13), pages 1515-1526, September. [Downloadable!] (restricted)
    Other versions:
  3. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. W. Douglas McMillin & William D. Lastrapes, . "Cross-Country Variation in the Liquidity Effect," Departmental Working Papers 2001-04, Department of Economics, Louisiana State University. [Downloadable!]
  5. Jon Faust & Eric M. Leeper, 1994. "When do long-run identifying restrictions give reliable results?," International Finance Discussion Papers 462, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  6. Benjamin J. C. Kim & Noor A. Ghazali, 1998. "The Liquidity Effect Of Money Shocks On Short-Term Interest Rates: Some International Evidence," International Economic Journal, Korean International Economic Association, vol. 12(4), pages 49-63, December. [Downloadable!] (restricted)
  7. Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," UCLA Economics Working Papers 780, UCLA Department of Economics. [Downloadable!]
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