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Title: |
The Liquidity Effect of Money Shocks on Short-Term Interest Rates: Some
International Evidence |
| Author: |
Kim, Benjamin
J. C.; Ghazali, Noor A. |
| Author
Affiliation: |
U NE; U
Gebangsaan Malaysia |
| Source: |
International Economic Journal, Winter 1998, v. 12, no. 4, pp. 49-63 |
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Publication Date: |
Winter 1998 |
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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 behavior of
interest rates and money. Our results strongly indicate presence of the
liquidity effect in most of the countries. |
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