Is there a liquidity effect? An investigation using the Kalman filter
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Policy Modeling.
Volume (Year): 19 (1997)
Issue (Month): 6 (December)
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Web page: http://www.elsevier.com/locate/inca/505735
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, vol. 50(2), pages 237-264, April.
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- Mishkin, Frederic S, 1982.
" Monetary Policy and Short-Term Interest Rates: An Efficient Markets-Rational Expectations Approach,"
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American Finance Association, vol. 37(1), pages 63-72, March.
- Frederic S. Mishkin, 1982. "Monetary Policy and Short-Term Interest Rates: An Efficient Markets-Rational Expectations Approach," NBER Working Papers 0693, National Bureau of Economic Research, Inc.
- Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January.
- Antonis Michis, 2011. "Multiscale Analysis of the Liquidity Effect," Working Papers 2011-5, Central Bank of Cyprus.
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