Money Surprises and Short-Term Interest Rates: Reconciling ContradictoryFindings
This note attempts to reconcile contradictory findings regarding the impact of money surprises on short term interest rates. Expectations effects regarding anticipated monetary policy and anticipated inflation suggest a positive relationship. Liquidity and output effects of monetary surprises suggest a negative relationship. It is shown that intra-day data and end-of-period data will capture expectations effects while period average data will capture liquidity/output effects. Seemingly contradictory results are reconciled by differences in dependent variables employed by various authors.
|Date of creation:||Sep 1982|
|Date of revision:|
|Publication status:||published as Makin, John H. "Real Interest, Money Surprises, Anticipated Inflation And Fiscal Deficits," Review of Economics and Statistics, 1983, v65(3), 374-384.|
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- Grossman, Jacob, 1981. "The "Rationality" of Money Supply Expectations and the Short-Run Response of Interest Rates to Monetary Surprises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(4), pages 409-24, November.
- Mohsin S. Khan, 1980. "Monetary Shocks and the Dynamics of Inflation (Les chocs monÃ©taires et la dynamique de l'inflation) (Los "choques" monetarios y la dinÃ¡mica de la inflaciÃ³n)," IMF Staff Papers, Palgrave Macmillan, vol. 27(2), pages 250-284, June.
- Mishkin, Frederic S, 1982.
" Monetary Policy and Short-Term Interest Rates: An Efficient Markets-Rational Expectations Approach,"
Journal of Finance,
American Finance Association, vol. 37(1), pages 63-72, March.
- Frederic S. Mishkin, 1981. "Monetary Policy and Short-Term Interest Rates: An Efficient Markets-Rational Expectations Approach," NBER Working Papers 0693, National Bureau of Economic Research, Inc.
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