The identification of monetary policy disturbances explaining the liquidity puzzle

摘要: Abstract This paper examines recent work on the identification of monetary policy disturbances. Its main finding is that empirical anomalies found in literature reflect a failure to properly address Federal Reserve's accommodating reserve demand shocks. A new method identifying using nonborrowed reserves proposed. Using this specification — has strong persistent liquidity effect regardless subsample Granger-causes output even presence interest rates, explaining approximately 49% variance at two-year horizon and residual explanatory power rates for negligible.