This paper investigates the impact of unanticipated changes in the money stock on the money, stock and foreign exchange markets. Nearly all the empirical work to date indicates that both interest rates and the foreign exchange value of the dollar rise and stock prices fall in response to an unanticipated rise in the money stock. These results are broadly interpreted as evidence in support of the so-called "anticipated liquidity effect." This paper employs an alternative methodology to compare the consistency of the response across markets to unanticipated changes in the money stock. The results suggest that these markets do not in fact respond in a consistent fashion necessary to support the anticipated-1iquidity.-effect hypothesis.