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

  • Benjamin Kim
  • Noor Ghazali
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    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]

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/10168739800000020
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    Article provided by Taylor & Francis Journals in its journal International Economic Journal.

    Volume (Year): 12 (1998)
    Issue (Month): 4 ()
    Pages: 49-63

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    Handle: RePEc:taf:intecj:v:12:y:1998:i:4:p:49-63
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