期刊名称：Topics in Middle Eastern and North African Economies
出版年度：2010
卷号：12
期号：1
出版社：Loyola University Chicago
摘要：The objective of this paper is to test for the liquidity effect in Algeria and Morocco usingmultivariate threshold autoregressive model (MVTAR) as proposed by Tsay (1998). Ourempirical results have several important implications. First, results do not support thresholdbehaviour in the case of Algeria. Moreover, when using M1 as a proxy of monetary policy, theliquidity effect hypothesis is rejected in this country. When using bank deposit assets (BDA),results show that there is a negative relationship between monetary shocks and interest rate, andaccordingly accepting the liquidity effect. Secondly, in the case of Morocco, however, resultsshow an asymmetric response of interest rate to positive and negative shock of monetary policy.Moreover, these results strongly support a threshold behavior when BDA is employed, whileweakly supporting the same behavior using M1. Furthermore, and using the proxy of bankdeposit assets, the liquidity effect is accepted in the low inflation regime, whereas it is rejected inthe high inflation regime. Hence, the threshold behavior offers an interesting alternative forexplaining the relationship between interest rates and monetary policy shocks. The resultspresented herein may give more insights on the transmission mechanism of monetary policy indifferent inflationary environments. Accordingly, a good inflation targeting policy would yieldbetter results in this context. Indeed, the liquidity effect breaks down for the high inflationregime, as inflationary expectations are immediately responsive to money growth. In a lowinflationregime, however, money is not considered to be neutral, as it could affect outputthrough the liquidity effect.
关键词：Liquidity effect –Money- Inflation – Algeria- Morocco – MVTAR Model
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