The Liquidity Effect of Money Shocks on Short-Term Interest Rates: Some International Evidence

Benjamin Kim and Noor Ghazali

International Economic Journal, 1998, vol. 12, issue 4, 49-63

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]

Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/10168739800000020 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:intecj:v:12:y:1998:i:4:p:49-63

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RIEJ20

DOI: 10.1080/10168739800000020

Access Statistics for this article

International Economic Journal is currently edited by Jaymin Lee Editor

More articles in International Economic Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().