The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity.
Most current empirical work finds no evidence that money shocks lower interest rates. The authors show that these nonresults are mainly due to a failure to model the conditional heteroskedasticity of interest rates. Autoregressive conditional heteroskedasiticity (ARCH) models find a significant liquidity effect where ordinary least squares (OLS) models do not. The existence of a liquidity effect is found using different models and sample periods when ARCH models are used in estimation but never when OLS is employed. Copyright 1993 by American Finance Association.
Year of publication: |
1993
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Authors: | Grier, Kevin B ; Perry, Mark J |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 48.1993, 4, p. 1445-55
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Publisher: |
American Finance Association - AFA |
Saved in:
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