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The liquidity premium in average interest rates

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Author Info

  • Wilbur John Coleman II
  • Christian Gilles
  • Pamela Labadie

Abstract

This paper studies recent models of the liquidity effect of money on interest rates to determine if a systematic relationship between liquidity shocks and the economy could affect the average real interest rate.

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File URL: http://www.federalreserve.gov/pubs/ifdp/1992/432/default.htm
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File URL: http://www.federalreserve.gov/pubs/ifdp/1992/432/ifdp432.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 432.

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Date of creation: 1992
Date of revision:
Handle: RePEc:fip:fedgif:432

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Related research

Keywords: Interest rates ; Liquidity (Economics);

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References

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  1. Fuerst, Timothy S., 1992. "Liquidity, loanable funds, and real activity," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 3-24, February.
  2. Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, vol. 50(2), pages 237-264, April.
  3. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
  4. Eric M. Leeper & David B. Gordon, 1991. "In search of the liquidity effect," Working Paper 91-17, Federal Reserve Bank of Atlanta.
  5. Rotemberg, Julio J, 1984. "A Monetary Equilibrium Model with Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 92(1), pages 40-58, February.
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Citations

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Cited by:
  1. Patrick Honohan & Charles Conroy, 1994. "Liquidity and Irish Interest Rates," Papers WP052, Economic and Social Research Institute (ESRI).
  2. Coleman, Wilbur John, II, 1993. "Solving Nonlinear Dynamic Models on Parallel Computers," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 325-30, July.
  3. Lawrence J. Christiano & Jonas D. M. Fisher, 1994. "Algorithms for solving dynamic models with occasionally binding constraints," Staff Report 171, Federal Reserve Bank of Minneapolis.
  4. Chung, Kyuil, 2009. "Does the liquidity effect guarantee a positive term premium?," Economic Modelling, Elsevier, vol. 26(5), pages 893-903, September.
  5. Hakan Berument & Kamuran Malatyali, 1999. "Determinants of interest rates in Turkey," Discussion Papers 9902, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  6. Fahmy, Yasser A. F. & Kandil, Magda, 2003. "The Fisher effect: new evidence and implications," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 451-465.

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