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Author Lastrapes, William D. ♦ Mcmillin, W. Douglas
Source CiteSeerX
Content type Text
File Format PDF
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Abstract This paper is an empirical investigation into the cross-country variation of the liquidity effect – the negative response of real interest rates to money supply shocks – with a focus on the role of financial factors in explaining this variation. We estimate the liquidity effect for a sample of 21 countries using VAR models in which money supply shocks are restricted to be neutral in the long-run, then run cross-country regressions of our estimates of the liquidity effect on financial market variables. We find that financial factors play an important role in determining the magnitude of the liquidity effect, and that the evidence is most consistent with generalized versions of limited participation models of the liquidity effect. JEL classification: E4 The authors appreciate helpful comments from George Selgin, Jim Fackler, Tim
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Learning Resource Type Article
Publisher Date 2003-01-01