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The liquidity premium in average interest rates

Author

Listed:
  • Wilbur John Coleman
  • 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.

Suggested Citation

  • Wilbur John Coleman & Christian Gilles & Pamela Labadie, 1992. "The liquidity premium in average interest rates," International Finance Discussion Papers 432, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgif:432
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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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    References listed on IDEAS

    as
    1. Leeper, Eric M. & Gordon, David B., 1992. "In search of the liquidity effect," Journal of Monetary Economics, Elsevier, vol. 29(3), pages 341-369, June.
    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 540-552, September.
    4. 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.
    5. Fuerst, Timothy S., 1992. "Liquidity, loanable funds, and real activity," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 3-24, February.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Christiano, Lawrence J. & Fisher, Jonas D. M., 2000. "Algorithms for solving dynamic models with occasionally binding constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1179-1232, July.
    2. Patrick Honohan & Charles Conroy, 1994. "Liquidity and Irish Interest Rates," Papers WP052, Economic and Social Research Institute (ESRI).
    3. Coleman, Wilbur John, II, 1993. "Solving Nonlinear Dynamic Models on Parallel Computers," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 325-330, July.
    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.

    More about this item

    Keywords

    Interest rates ; Liquidity (Economics);

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