Has the effect of money shocks on interest rates really vanished? Further evidence of the liquidity effect

Benjamin J C Kim, Noor Azlan Ghazali

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

The liquidity effect of money shocks on the short-term interest rate has been an integral part of traditional macroeconomic policies and has witnessed renewed interest in recent years. The paper reports, contrary to some previous work, extensive evidence of the effect in several non-G7 countries using the single-equation distributed-lag GARCH(p, q) estimation and the systems VAR estimation. The liquidity effect is shown to be alive and well in a sample of nine countries and this will shed much light on policy implications.

Original languageEnglish
Pages (from-to)743-754
Number of pages12
JournalApplied Economics
Volume31
Issue number6
Publication statusPublished - 1999

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Interest rates
Liquidity effect
Policy implications
Integral
Generalized autoregressive conditional heteroscedasticity
Distributed lag
Macroeconomic policy
Short-term interest rates

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Has the effect of money shocks on interest rates really vanished? Further evidence of the liquidity effect. / Kim, Benjamin J C; Ghazali, Noor Azlan.

In: Applied Economics, Vol. 31, No. 6, 1999, p. 743-754.

Research output: Contribution to journalArticle

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