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The Liquidity Effect in the Federal Funds Market: Evidence at the Monthly Frequency

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Author Info
SETH CARPENTER
SELVA DEMIRALP

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Abstract

In this paper, we argue that much of the research into the link between money and interest rates suffers from misspecification. The measure of money and the measure of interest rates are not always well matched. In examining the transmission of monetary policy, we show that using an appropriate measure of money, Federal Reserve balances, and the appropriate interest rate, the federal funds rate, a clear liquidity effect exists. Furthermore, we explain how a lack of a clear institutional understanding may have contributed to the finding of a "liquidity puzzle" in the past. Copyright 2008 The Ohio State University.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1538-4616.2008.00102.x
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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 40 (2008)
Issue (Month): 1 (02)
Pages: 1-24
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Handle: RePEc:mcb:jmoncb:v:40:y:2008:i:1:p:1-24

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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  1. Seth Carpenter & Selva Demiralp, 2004. "The liquidity effect in the federal funds market: evidence from daily open market operations," Finance and Economics Discussion Series 2004-61, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  2. Nautz, Dieter & Schmidt, Sandra, 2008. "Monetary Policy Implementation and the Federal Funds Rate," ZEW Discussion Papers 08-025, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
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This page was last updated on 2008-8-19.


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