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The liquidity premium in average interest rates

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  • John Coleman, Wilbur II
  • Gilles, Christian
  • Labadie, Pamela

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.
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Suggested Citation

  • John Coleman, Wilbur II & Gilles, Christian & Labadie, Pamela, 1992. "The liquidity premium in average interest rates," Journal of Monetary Economics, Elsevier, vol. 30(3), pages 449-465, December.
    • Handle: RePEc:eee:moneco:v:30:y:1992:i:3:p:449-465
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    References listed on IDEAS

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    1. Phillip Cagan, 1966. "Changes in Cyclical Behavior," NBER Chapters, in: Changes in the Cyclical Behavior of Interest Rates, pages 3-11, National Bureau of Economic Research, Inc.
    2. Phillip Cagan, 1971. "Changes in the Cyclical Behavior of Interest Rates," NBER Chapters, in: Essays on Interest Rates, Volume 2, pages 3-34, National Bureau of Economic Research, Inc.
    3. Cagan, Phillip & Gandolfi, Arthur, 1969. "The Lag in Monetary Policy as Implied by the Time Pattern of Monetary Effects on Interest Rates," American Economic Review, American Economic Association, vol. 59(2), pages 277-284, May.
    4. 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.
    5. Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, vol. 50(2), pages 237-264, April.
    6. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September.
    7. 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.
    8. Fuerst, Timothy S., 1992. "Liquidity, loanable funds, and real activity," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 3-24, February.
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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. 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.
    5. Honohan, Patrick & Conroy, Charles, 1994. "Irish Interest Rate Fluctuations in The European Monetary System," Research Series, Economic and Social Research Institute (ESRI), number GRS165.
    6. Chung, Kyuil, 2009. "Does the liquidity effect guarantee a positive term premium?," Economic Modelling, Elsevier, vol. 26(5), pages 893-903, September.
    7. 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.

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