Money and Interest Rates: The Effects of Temporal Aggregation and Data Revisions
Authors: Thomas J. Cunningham and Gikas A. Hardouvelis
Journal: Jowmd of Economics and Business, February 1992:44:19-30
Abstract: Econometric estimates of liquidity effects produce results that are, at best, mixed. Yet the liquids effect remains a central tr~s~ssion rn~h~srn for monetary effects. This article examines how problems of data revisions and temporal aggregation affect the empirical effort, We test for liquidity effects, using both initially announced and finally revised Ml data, aggregating across different time intervals and time periods, using different ag~egation techniques. We were able to uncover a liquids effect only in the post-October 1979 period and only at a 1Zweek observational interval with nonaggregated end-of-period M 1 data.