IDEAS home Printed from https://ideas.repec.org/a/taf/raflxx/v2y2006i3p159-163.html
   My bibliography  Save this article

The liquidity effect across the short end of the term structure

Author

Listed:
  • Garett Jones

Abstract

Because the Federal Reserve is constantly responding to developments in the economy, it has been difficult to come up with convincing estimates of the effects of exogenous shifts in money supply on interest rates. This study uses exogenous, well-identified reserve supply shocks to estimate how money supply shocks that last one day impact short-term interest rates. The results imply that the one-day liquidity effect is substantial, and that it impacts 30- and 90-day private-sector credit markets more than the expectations theory of the term structure predicts. The effect on public debt is smaller and statistically insignificant, implying that reserve supply shocks widen the gap between interest rates on public and private debt.

Suggested Citation

  • Garett Jones, 2006. "The liquidity effect across the short end of the term structure," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 2(3), pages 159-163.
    • Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:159-163
    DOI: 10.1080/17446540500461745
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/17446540500461745
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/17446540500461745?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:159-163. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rafl20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.