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1、JournalofMonetaryEconomics29(1992)341-369.North-HollandInsearchoftheliquidityeffect*EricM.LeeperFederalReserveBankofAtlanta.Atlanta,GA30303,USADavidB.GordonClemsonUniversity,Clemson,SC29634,USAReceivedJuly1991,finalversionreceivedDecember1991Ashort-runnegativerelationshipbetwe
2、enmonetaryaggregatesandinterestratestheliquidityeffect-iscentraltodiscussionsofmonetarypolicy.Thispapersearchesforthisempiricalrelationship.Weinvestigatewhetherthecharacterizationoftheliquidityeffectissensitiveto:(i)changesinsampleperiod,(ii)conditioningthecorrelationsonpastin
3、formation,(iii)assumingmoneygrowthisexogenous,and(iv)treatingmonetarychangesasanticipatedorunanticipated.Thecorrelationschangesubstantiallyineachcase.Weconcludethatthetraditionalanalysisandmodernmodels,whichrelycompletelyondemand-sidebehavior,cannotexplaintheobservedcorrelatio
4、ns.Asuccessfulcharacterizationoftheliquidityeffectrequiresidentificationofbothprivateandpolicybehavior.1.IntroductionAshort-runnegativeresponseofinterestratestoanincreaseinthemoneysupply,oftendubbedtheliquidityeffect,iscentraltopopular,political,andacademicdiscussionsofmonetar
5、ypolicy.Theliquidityeffectisthefirststepofthetransmissionmechanismofmonetarypolicyinmanyanalyses.Itisastruc-turalelementintraditionalKeynesianmodels[basedonTobin(1947)]andinthemonetaristapproachesofFriedman(1968)andCagan(1972).Recentneo-classicalmodels[Lucas(1990),Fuerst(1992)
6、,Christian0(199I),andChristian0andEichenbaum(1991)]haveincludedthisfeaturetoremedytheapparentdeficiencyofearliertheoreticalmodelsinwhichmonetaryshockstend,if*WethankNeilEricsson,BillHelkie,DaleHenderson,DougIrwin,BobKing,JaimeMarquez,AndyRose,andChuckWhitemanforhelpfulcomments
7、.InitialworkontheworkwascompletedwhiletheauthorswerestaffeconomistsattheBoardofGovernorsoftheFederalReserveSystem.ThispaperrepresentstheviewsoftheauthorsandshouldnotbeinterpretedasreflectingthoseoftheFederalReserveBankofAtlantaortheBoardofGovernorsoftheFederalReserveSystem.030
8、4-3932/92/%05.0001992-ElsevierSciencePublishersB.V.Allrightsr
