Comparing relative distance moduli of the Magellanic Clouds as determined from the Cepheid period-luminosity relations with corresponding values from the eclipsing binaries method, we determine the metallicity effect on Cepheid absolute brightness in VIJHK(s) bands. Within a very small uncertainty, which is dominated by the uncertainty on the mean metallicity difference between Cepheids in the LMC and SMC, we conclude that metallicity effects in all bands are consistent with a zero metallicity effect.