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Citations for "Measuring the liquidity effect"

by James D. Hamilton

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  1. Antonis Michis, 2011. "Multiscale Analysis of the Liquidity Effect," Working Papers 2011-5, Central Bank of Cyprus.
  2. Daniel L. Thornton, 2007. "Open market operations and the federal funds rate," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 549-570.
  3. Chen, Show-Lin & Tsai, Li-Ju & Wu, Jyh-Lin, 2004. "A revisit to liquidity effects--evidence from a non-linear approach," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 501-517, September.
  4. Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, 2007. "Manipulation in Money Markets," International Journal of Central Banking, International Journal of Central Banking, vol. 3(1), pages 113-148, March.
  5. Lucio Sarno & Daniel L. Thornton & Yi Wen, 2002. "What's unique about the federal funds rate? evidence from a spectral perspective," Working Papers 2002-029, Federal Reserve Bank of St. Louis.
  6. Selva Demiralp & Oscar Jorda, . "The Announcement Effect: Evidence from Open Market Desk Data," Department of Economics 01-04, California Davis - Department of Economics.
  7. Daniel L. Thornton, 2003. "Forecasting the Treasury's balance at the Fed," Working Papers 2001-004, Federal Reserve Bank of St. Louis.
  8. Livio Stracca & Clara Martin Moss & Livio Stracca, 2004. "Demand and supply in the ECB's main refinancing operations," Money Macro and Finance (MMF) Research Group Conference 2003 94, Money Macro and Finance Research Group.
  9. Oscar Jorda & Selva Demiralp, 2003. "The Pavlovian Response of Term Rates to Fed Announcements," Working Papers 996, University of California, Davis, Department of Economics.
  10. Furfine, Craig H., 2000. "Interbank payments and the daily federal funds rate," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 535-553, October.
  11. Stracca, Livio & Ejerskov, Steen & Martin Moss, Clara, 2003. "How does the ECB allot liquidity in its weekly main refinancing operations? A look at the empirical evidence," Working Paper Series 0244, European Central Bank.
  12. Marco Lippi & Daniel L. Thornton, 2004. "A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News," LEM Papers Series 2004/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  13. Bindseil, Ulrich & Seitz, Franz, 2001. "The supply and demand for Eurosystem deposits - The first 18 months," Working Paper Series 0044, European Central Bank.
  14. Craig Furfine, 1998. "Interbank payments and the daily federal funds rate," Finance and Economics Discussion Series 1998-31, Board of Governors of the Federal Reserve System (U.S.).
  15. Carpenter, Seth & Demiralp, Selva, 2006. "Anticipation of Monetary Policy and Open Market Operations," MPRA Paper 704, University Library of Munich, Germany.
  16. Ewerhart, Christian & Cassola, Nuno & Ejerskov, Steen & Valla, Natacha, 2004. "Liquidity, information, and the overnight rate," Working Paper Series 0378, European Central Bank.
  17. Todd Keister & Antoine Martin & James McAndrews, 2008. "Divorcing money from monetary policy," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 41-56.
  18. Fumio Hayashi, 2000. "Is There a Liquidity Effect in the Japanese Market?," Harvard Institute of Economic Research Working Papers 1898, Harvard - Institute of Economic Research.
  19. Marius Jurgilas, 2005. "Interbank market under the currency board: Case of Lithuania," Computing in Economics and Finance 2005 448, Society for Computational Economics.
  20. Leonardo Bartolini & Alessandro Prati, 2003. "Cross-country differences in monetary policy execution and money market rates' volatility," Staff Reports 175, Federal Reserve Bank of New York.
  21. Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers 2012-020, Federal Reserve Bank of St. Louis.
  22. Judson, Ruth A. & Klee, Elizabeth, 2011. "Big bank, small bank: Monetary policy implementation and banks' reserve management strategies," Journal of Economics and Business, Elsevier, vol. 63(4), pages 306-328, July.
  23. William Barnett & Logan Kelly & John Keating, 2010. "Rethinking the Liquidity Puzzle: Application of a New Measure of the Economic Money Stock," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201002, University of Kansas, Department of Economics, revised Apr 2010.
  24. Seth Carpenter & Selva Demiralp, 2009. "Money and the Transmission of Monetary Policy," Koç University-TUSIAD Economic Research Forum Working Papers 0906, Koc University-TUSIAD Economic Research Forum.
  25. Marquez, Jaime & Morse, Ari & Schlusche, Bernd, 2013. "The Federal Reserve’s balance sheet and overnight interest rates: Empirical modeling of exit strategies," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5300-5315.
  26. Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, . "Optimal Allotment Policy in Central Bank Open Market Operations," IEW - Working Papers 201, Institute for Empirical Research in Economics - University of Zurich.
  27. Ruth Judson & Elizabeth Klee, 2009. "A study of U.S. monetary policy implementation: demand for reserves on a period average basis," Finance and Economics Discussion Series 2009-22, Board of Governors of the Federal Reserve System (U.S.).
  28. Ruth Judson & Elizabeth Klee, 2009. "Whither the liquidity effect: the impact of Federal Reserve Open Market Operations in recent years," Finance and Economics Discussion Series 2009-25, Board of Governors of the Federal Reserve System (U.S.).
  29. Marius Jurgilas, 2006. "Interbank Markets under Currency Boards," Working papers 2006-19, University of Connecticut, Department of Economics.
  30. Guthrie, Graeme & Wright, Julian, 2000. "Open mouth operations," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 489-516, October.
  31. Leao, Emanuel R. & Leao, Pedro R., 2007. "Modelling the central bank repo rate in a dynamic general equilibrium framework," Economic Modelling, Elsevier, vol. 24(4), pages 571-610, July.
  32. Cooley, Thomas F. & Quadrini, Vincenzo, 2004. "Optimal monetary policy in a Phillips-curve world," Journal of Economic Theory, Elsevier, vol. 118(2), pages 174-208, October.
  33. Klee, Elizabeth, 2010. "Operational outages and aggregate uncertainty in the federal funds market," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2386-2402, October.
  34. Lastrapes, W. D., 1998. "International evidence on equity prices, interest rates and money," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 377-406, June.
  35. Schabert, Andreas, 2005. "Identifying monetary policy shocks with changes in open market operations," European Economic Review, Elsevier, vol. 49(3), pages 561-577, April.
  36. Herve Alexandre & Benoist Antonin De, 2010. "Oil prices and government bond risk premiums," Working Papers halshs-00642191, HAL.
  37. Daniel L. Thornton, 2000. "The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?," Working Papers 1999-022, Federal Reserve Bank of St. Louis.
  38. Ibrahim Chowdhury & Andreas Schabert, 2004. "Assessing money supply rules," Money Macro and Finance (MMF) Research Group Conference 2003 15, Money Macro and Finance Research Group.
  39. Thornton, Daniel L., 2004. "The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 475-498, March.
  40. 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.).
  41. Daniel L. Thornton, 2006. "The daily liquidity effect," Working Papers 2006-020, Federal Reserve Bank of St. Louis.
  42. 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, vol. 43(C), pages 78-106.
  43. Ewerhart, Christian & Cassola, Nuno & Ejerskov, Steen & Valla, Natacha, 2003. "Optimal allotment policy in the Eurosystem's main refinancing operations," Working Paper Series 0295, European Central Bank.
  44. William Whitesell, 2006. "Monetary policy implementation without averaging or rate corridors," Finance and Economics Discussion Series 2006-22, Board of Governors of the Federal Reserve System (U.S.).
  45. Kopchak, Seth J., 2011. "The liquidity effect for open market operations," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3292-3299.
  46. Vladimir Kotomin & Drew Winters, 2006. "Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?," Journal of Financial Services Research, Springer, vol. 29(1), pages 61-82, February.
  47. Yasuo Hirose & Shinsuke Ohyama, 2010. "Identifying the Effect of the Bank of Japan's Liquidity Facilities: The Case of Commercial Paper Operations During the Financial Turmoil," International Finance, Wiley Blackwell, vol. 13(3), pages 461-483, Winter.
  48. Thornton, Daniel L., 2001. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1717-1739, September.
  49. Johann Scharler, 2007. "The Liquidity Effect in Bank-Based and Market-Based Financial Systems," Economics working papers 2007-18, Department of Economics, Johannes Kepler University Linz, Austria.
  50. Ariff, Mohamed & Chung, Tin-fah & M., Shamsher, 2012. "Money supply, interest rate, liquidity and share prices: A test of their linkage," Global Finance Journal, Elsevier, vol. 23(3), pages 202-220.
  51. Instefjord, Norvald, 1999. "A simple model of market liquidity," Economics Letters, Elsevier, vol. 64(3), pages 329-337, September.
  52. Palombini, Edgardo, 2003. "Volatility and liquidity in the Italian money market," MPRA Paper 42699, University Library of Munich, Germany.
  53. Ewerhart, Christian, 2002. "A model of the Eurosystem's operational framework for monetary policy implementation," Working Paper Series 0197, European Central Bank.
  54. Julius Moschitz, 2004. "Monetary Policy Implementation and Volatility in the Euro Area Money Market," Money Macro and Finance (MMF) Research Group Conference 2004 95, Money Macro and Finance Research Group.
  55. Elder, John, 2001. "Can the Volatility of the Federal Funds Rate Explain the Time-Varying Risk Premium in Treasury Bill Returns?," Journal of Macroeconomics, Elsevier, vol. 23(1), pages 73-97, January.
  56. Nenovsky, Nikolay & Hristov, Kalin, 2002. "The new currency boards and discretion: empirical evidence from Bulgaria," Economic Systems, Elsevier, vol. 26(1), pages 55-72, April.
  57. Uesugi, Iichiro, 2002. "Measuring the Liquidity Effect: The Case of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 16(3), pages 289-316, September.
  58. Prati, Alessandro & Bartolini, Leonardo & Bertola, Giuseppe, 2003. "The overnight interbank market: Evidence from the G-7 and the Euro zone," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 2045-2083, October.
  59. Nikolay Nenovsky & Petar Chobanov, 2004. "Dynamics of the Inter-Bank Market in Bulgaria," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 32-52.
  60. Cooley, Thomas F. & Quadrini, Vincenzo, 1999. "A neoclassical model of the Phillips curve relation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 165-193, October.
  61. Stephen Quinn & William Roberds, 2010. "How Amsterdam got fiat money," Working Paper 2010-17, Federal Reserve Bank of Atlanta.
  62. Moschitz, Julius, 2004. "The determinants of the overnight interest rate in the euro area," Working Paper Series 0393, European Central Bank.
  63. Thornton, Daniel L., 2014. "Monetary policy: Why money matters (and interest rates don’t)," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 202-213.
  64. Akito Matsumoto, 2011. "Global Liquidity," IMF Working Papers 11/136, International Monetary Fund.
  65. Judson, Ruth A. & Klee, Elizabeth, 2010. "Whither the liquidity effect: The impact of Federal Reserve open market operations in recent years," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 713-731, September.
  66. W. Douglas McMillin & William D. Lastrapes, . "Cross-Country Variation in the Liquidity Effect," Departmental Working Papers 2001-04, Department of Economics, Louisiana State University.