The Liquidity Effect in the Federal Funds Market: Evidence at the Monthly Frequency
指出以往研究货币与利率关系时存在指标错配，通过使用美联储余额和联邦基金利率，在月度数据中发现了清晰的流动性效应，并解释了为何过去会出现“流动性谜题”。
In this paper, we argue that much of the research into the link between money and interest rates suffers from misspecification. The measure of money and the measure of interest rates are not always well matched. In examining the transmission of monetary policy, we show that using an appropriate measure of money, Federal Reserve balances, and the appropriate interest rate, the federal funds rate, a clear liquidity effect exists. Furthermore, we explain how a lack of a clear institutional understanding may have contributed to the finding of a “liquidity puzzle” in the past.