Monetary shocks in the G-6 countries: Is there a puzzle?

Fung, Ben; Kasumovich, Marcel

doi:10.1016/s0304-3932(98)00035-x

Cited by 33 publications

(23 citation statements)

References 18 publications

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“…We therefore re‐estimate the VAR models for each country in vector error correction form, imposing one cointegrating vector. As in Fung and Kasumovich (1998), we maintain the primary identifying restriction that money is neutral in the long run 15 . Generalising the statistical model to allow for cointegration has essentially no effect on our estimates of the liquidity effect and no important effects on the cross‐country inference below.…”

Section: Identifying and Estimating The Liquidity Effectmentioning

confidence: 99%

Cross‐Country Variation in the Liquidity Effect: The Role of Financial Markets

Lastrapes¹,

McMillin

2004

The Economic Journal

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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.

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Section: Identifying and Estimating The Liquidity Effectmentioning

confidence: 99%

Cross‐Country Variation in the Liquidity Effect: The Role of Financial Markets

Lastrapes¹,

McMillin

2004

The Economic Journal

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“…Given the ambiguity of these measures, other measures of excess or deficient demand-such as money velocity gaps or external price gaps-may be more useful guides for policy making in developing countries. 17 17 For money gaps see for example Hendry (1995) and Fung and Kasumovich (1998). For external price gaps see Kool and Tatom (1994) and Garcia-Herrero and Pradhan (1998).…”

Section: Discussionmentioning

confidence: 99%

Output Adjustment in Developing Countries: A Structural Var Approach

Morling¹

2002

The Developing Economies

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“…Other research has compared the national Canadian economy to other industrialized nations in terms of domestic output's sensitivity to domestic policy shocks. Both Kim (1999) and Fung and Kasumovich (1997) find that Canada's economy is less responsive to domestic monetary policy shocks than is the U.S. and Germany. In addition, Fung and Kasumovich (1997) also find that France and the U.K. have more sensitivity to domestic monetary policy shocks than does Canada.…”

Section: Literature Reviewmentioning

confidence: 99%