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The Relationship Between the Daily and Policy-Relevant Liquidity Effects (ICPSR 34703) RSS

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Summary:

The phrase "liquidity effect" was introduced by Milton Friedman (1969) to describe the first of three effects on interest rates caused by an exogenous change in the money supply. The lack of empirical support for the liquidity effect using monthly and quarterly monetary and reserve aggregates data led Hamilton (1997) to suggest that more convincing evidence of the liquidity effect could be obtained with daily data -- the daily liquidity effect. This paper investigates the implications of the daily liquidity effect for Friedman's liquidity effect using a more comprehensive model of the Federal Reserve's daily operating procedure than has been previously used in the literature.

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  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • These data are freely available.

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Study Description

Citation

Thornton, Daniel L. The Relationship Between the Daily and Policy-Relevant Liquidity Effects. ICPSR34703-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2013-06-14. http://doi.org/10.3886/ICPSR34703.v1

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Scope of Study

Subject Terms:   money supply

Geographic Coverage:   United States

Universe:   United States money supply

Data Collection Notes:

The data are distributed as a Microsoft Excel file, which provides data, tables, and figures used in the publication.

These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

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