Money Surprises and Short-Term Interest Rates: Reconciling Contradictoryfindings
13 Pages Posted: 19 Jun 2004 Last revised: 19 Sep 2022
Date Written: September 1982
Abstract
This note attempts to reconcile contradictory findings regarding the impact of money surprises on short term interest rates. Expectations effects regarding anticipated monetary policy and anticipated inflation suggest a positive relationship. Liquidity and output effects of monetary surprises suggest a negative relationship. It is shown that intra-day data and end-of-period data will capture expectations effects while period average data will capture liquidity/output effects. Seemingly contradictory results are reconciled by differences in dependent variables employed by various authors.
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