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Article
Is There a Liquidity Effect? An Investigation using the Kalman Filter
Journal of Policy Modeling
  • Roy Boyd, Ohio University - Main Campus
  • Tony Caporale, University of Dayton
Document Type
Article
Publication Date
12-1-1997
Abstract
We test for a liquidity effect by utilizing a Kalman filter and find that monetary innovations lowered interest rates in 51 out of the 120 quarters in our sample. This implies that the recent empirical consensus of no liquidity effect has resulted from the implicit assumption that monetary innovations always impact interest rates in the same direction, rather than from an absence of a liquidity effect in the data (JEL E4).
Inclusive pages
627-634
ISBN/ISSN
0161-8938
Comments

Permission documentation is on file.

Publisher
Elsevier
Peer Reviewed
Yes
Citation Information
Roy Boyd and Tony Caporale. "Is There a Liquidity Effect? An Investigation using the Kalman Filter" Journal of Policy Modeling Vol. 19 Iss. 6 (1997)
Available at: http://works.bepress.com/tony_caporale/40/