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Properly estimating the liquidity effect: why accounting for stationarity and outliers is important

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  • Guirguis, Hany S.

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  • Guirguis, Hany S., 1999. "Properly estimating the liquidity effect: why accounting for stationarity and outliers is important," Journal of Economics and Business, Elsevier, vol. 51(4), pages 303-314, July.
    • Handle: RePEc:eee:jebusi:v:51:y:1999:i:4:p:303-314
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    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Christiano, Lawrence J & Eichenbaum, Martin & Evans, Charles, 1996. "The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 16-34, February.
    3. Christiano, Lawrence J & Eichenbaum, Martin, 1995. "Liquidity Effects, Monetary Policy, and the Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1113-1136, November.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    5. Mishkin, Frederic S, 1982. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," Journal of Political Economy, University of Chicago Press, vol. 90(1), pages 22-51, February.
    6. Eric M. Leeper, 1992. "Facing up to our ignorance about measuring monetary policy effects," Economic Review, Federal Reserve Bank of Atlanta, issue May, pages 1-16.
    7. Lawrence J. Christiano & Martin Eichenbaum, 1991. "Identification and the Liquidity Effect of a Monetary Policy Shock," NBER Working Papers 3920, National Bureau of Economic Research, Inc.
    8. Christiano, Lawrence J & Eichenbaum, Martin, 1992. "Liquidity Effects and the Monetary Transmission Mechanism," American Economic Review, American Economic Association, vol. 82(2), pages 346-353, May.
    9. Steven Strongin, 1992. "The identification of monetary policy disturbances: explaining the liquidity puzzle," Working Paper Series, Macroeconomic Issues 92-27, Federal Reserve Bank of Chicago.
    10. Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, vol. 50(2), pages 237-264, April.
    11. Reichenstein, William, 1987. "The Impact of Money on Short-term Interest Rates," Economic Inquiry, Western Economic Association International, vol. 25(1), pages 67-82, January.
    12. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 1994. "The Effects of Monetary Policy Shocks: Some Evidence from the Flow of Funds," NBER Working Papers 4699, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Mohamed Benbouziane & Abdelhak Benamar & Mustapha Djennas, 2010. "The Liquidity Effect in Algeria and Morocco: A Multivariate Threshold Autoregressive Investigation," Working Papers 525, Economic Research Forum, revised 06 Jan 2010.
    2. Byers, J.W. & Popova, I. & Simkins, B.J., 2021. "Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers," Journal of Commodity Markets, Elsevier, vol. 24(C).

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