Cross-country variation in the liquidity effect: The role of financial markets

• 成果类型: Article
• 署名作者: Lastrapes, WD; McMillin, WD
• 署名单位: University System of Georgia; University of Georgia; Louisiana State University System; Louisiana State University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2004.00248.x
• 发表日期: 2004
• 页码: 890-915
• 关键词: run identifying restrictions; monetary-policy; MODEL; credit; shocks; money; prices; funds

摘要

This paper examines cross-country variation in the liquidity effect - the negative response of interest rates to money supply shocks - focusing on the role of financial factors in explaining this variation. We estimate the liquidity effect for each of 21 countries using VAR models in which money supply shocks are restricted to be neutral in the long-run, then regress the estimated liquidity effect on financial market variables across countries. We find that financial factors play an important role in determining the magnitude of the liquidity effect, and that this evidence is most consistent with generalised versions of limited-participation models.