Properly Estimating the Liquidity Effect: Why Accounting for Stationarity and Outliers is Important
نویسنده
چکیده
The impulse responses of the federal funds rate to innovations in the non-borrowed reserves are re-examined. The rolling responses reveal that, by correcting for the nonstationarity of the data and including the error correcting terms in the VARs, the liquidity effect found by Christiano et al. (1991, 1992, and 1994) is shortened from six to two months. The rolling responses also locate an outlier between the non-borrowed reserves and the funds rate in May 1980. Once the observation of May 1980 is excluded from the samples, the evidence of the liquidity effect becomes much weaker. © 1999 Elsevier Science Inc.
منابع مشابه
Testing the Exactitude of Estimation Methods in the Presence of Outliers: An accounting for Robust Kriging
Estimation of gold reserves and resources has been of interest to mining engineers and geologists for ages. The existence of outlier values shows the economic part of the deposits subject to the fact that don’t depend on the human or technical errors. The presence of these high values causes a pseudo dramatically increment in variance estimation of economical blocks when applying conventional m...
متن کاملStrategic interaction on Liquidity Risk in Iranian Banks
The peer effects induced by social interactions have been studied empirically for several socio-economic phenomena in the last three decades. Before, economists have considered preferences of actors as exogenous parameters which are a tradition rooted in the work of Milton Friedman. But most recently, many economists have studied processes of preference formation of actors and have developed th...
متن کاملIdentification of outliers types in multivariate time series using genetic algorithm
Multivariate time series data, often, modeled using vector autoregressive moving average (VARMA) model. But presence of outliers can violates the stationary assumption and may lead to wrong modeling, biased estimation of parameters and inaccurate prediction. Thus, detection of these points and how to deal properly with them, especially in relation to modeling and parameter estimation of VARMA m...
متن کاملEstimating the Impact of Economic Sanctions on Employment in the Service Sector
The service sector is one of the most important sectors of the economy, accounting for a high percentage of GDP. Two-thirds of economic activity is devoted to services. The growing growth in the service sector is faster than that of the commodity trade, and in addition, the largest workforce is employed in the sector, accounting for 48 percent of Iranchr('39')s total employment. Services consti...
متن کاملThe Effect of Liquidity and Credit Risk on the Relationship be-tween Business Activities and Fluctuations in the Price of all Com-panies Listed on the Tehran Stock Exchange
In this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been Tehran distance. The sample consisted of 76 company The systematic elimination method is selected. The company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses Eviews software i...
متن کامل