One strand of the recent literature on the monetary transmission process has focused upon the weak empirical evidence of a liquidity effect in the U.S. This study uses structural VAR methods to reexamine the liquidity effect

In this paper, the existing Fisher equation research is extended to time series on the Canadian nominal interest rate and inflation to test the validity of the Fisher hypothesis and related hypotheses. The evidence suggests a significant long-run equilibrium between nominal rates and inflation...

The "irrational exuberance" of the stock market in the late 1990s led to a discussion of the appropriate policy response by monetary authorities. Any response would be contingent on the stock market reaction to policy shocks. In this study, I employ a structural vector autoregression to estimate...

This paper tests the stability of the U.S. federal intertemporal budget constraint over the postwar period. The implied equilibrium budget path is estimated and used to determine which component of the budget has greater responsibility for the recent intertemporal violations.

Using a simple cointegrated vector autoregression (VAR) I find strong evidence for a liquidity effect at policy relevant time horizons with a broad monetary aggregate. The liquidity effect is present for both nominal and real interest rates.

type="main" xml:lang="en" <title type="main">Abstract</title> <p>Persistent deviations of exchange rates from equilibrium values may lead to inefficient resource allocations internationally. Such persistence is well documented and represents a challenge for policy makers. If the source of the persistent deviations is real...</p>

In this study, we specify a set of sufficient parity conditions for real interest rates to be equalized internationally, what we call real interest parity (RIP). Using multivariate unit root tests, which have significantly greater power than univariate alternatives, we demonstrate that these...