The liquidity effect of money shocks on short-term interest rates: Some international evidence

Benjamin J.C. Kim, Noor Azlan Ghazali

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

There has recently been resurgence of interest in the liquidity effect of money shocks on short-term interest rates. This paper empirically investigates the liquidity effect for some of the G-7 countries, using single equation and vector autoregressive systems estimation methods. Generalized autoregressive conditional heteroskedasticity (GARCH) is employed to better capture the behaviour of interest rates and money. Our results strongly indicate presence of the liquidity effect in most of the countries. [E40, E52].

Original languageEnglish
Pages (from-to)49-63
Number of pages15
JournalInternational Economic Journal
Volume12
Issue number4
DOIs
Publication statusPublished - 1 Jan 1998

Fingerprint

Liquidity effect
Short-term interest rates
Interest rates
G-7 countries
Vector autoregressive
Autoregressive conditional heteroskedasticity

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

The liquidity effect of money shocks on short-term interest rates : Some international evidence. / Kim, Benjamin J.C.; Ghazali, Noor Azlan.

In: International Economic Journal, Vol. 12, No. 4, 01.01.1998, p. 49-63.

Research output: Contribution to journalArticle

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