Cross‐Country Variation in the Liquidity Effect: The Role of Financial Markets
用21国数据实证研究货币供给冲击对实际利率的负向影响（流动性效应）的跨国差异，发现金融市场因素能解释其大小，支持有限参与模型的扩展版本。
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.