Has the effect of money,shocks on interest rates really vanished? Further evidence of the liquidity effect

The liquidity effect of money shocks on the short-term interest rate has been an integral part of traditional macroeconomic policies and has witnessed renewed interest in recent years. The paper reports, contrary to some previous work, extensive evidence of the effect in several non-G7 countries using the single-equation distributed-lag GARCH(p, q) estimation and the systems VAR estimation. The liquidity effect is shown to be alive and well in a sample of nine countries and this will shed much light on policy implications.