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A revisit to liquidity effects--evidence from a non-linear approach

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  • Chen, Show-Lin
  • Tsai, Li-Ju
  • Wu, Jyh-Lin

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  • 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.
    • Handle: RePEc:eee:jmacro:v:26:y:2004:i:3:p:501-517
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    3. Merton H. Miller & Daniel Orr, 1966. "A Model of the Demand for Money by Firms," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 80(3), pages 413-435.
    4. Sarno, Lucio, 1999. "Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(2), pages 155-177, April.
    5. Goodfriend, Marvin, 1991. "Interest rates and the conduct of monetary policy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 34(1), pages 7-30, January.
    6. Cuthbertson, Keith & Taylor, Mark P, 1987. "The Demand for Money: A Dynamic Rational Expectations Model," Economic Journal, Royal Economic Society, vol. 97(388a), pages 65-76, Supplemen.
    7. Hamilton, James D, 1997. "Measuring the Liquidity Effect," American Economic Review, American Economic Association, vol. 87(1), pages 80-97, March.
    8. Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999. "Investigating Stability and Linearity of a German M1 Money Demand Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 511-525, Sept.-Oct.
    9. Milbourne, Ross D, 1987. "Re-examining the Buffer-Stock Model of Money," Economic Journal, Royal Economic Society, vol. 97(388a), pages 130-142, Supplemen.
    10. 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.
    11. George A. Akerlof, 1973. "The Demand for Money: A General-Equilibrium Inventory-Theoretic Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 40(1), pages 115-130.
    12. George A. Akerlof, 1979. "Irving Fisher on his Head: The Consequences of Constant Threshold-Target Monitoring of Money Holdings," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 93(2), pages 169-187.
    13. Gordon, David B & Leeper, Eric M, 1994. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-1247, December.
    14. Peguin-Feissolle, A. & Terasvirta, T., 1999. "A General Framework for Testing the Granger Noncausality Hypothesis," G.R.E.Q.A.M. 99a42, Universite Aix-Marseille III.
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    23. 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.
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    25. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    26. Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, vol. 50(2), pages 237-264, April.
    27. Gregor W. Smith, 1986. "A Dynamic Baumol-Tobin Model of Money Demand," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(3), pages 465-469.
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    29. Lawrence J. Christiano, 1991. "Modeling the liquidity effect of a money shock," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 15(Win), pages 3-34.
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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.

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