What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis?

Mohamed Arouri, Fredj Jawadi and Duc Khuong Nguyen

Journal of Macroeconomics, 2013, vol. 36, issue C, 175-187

Abstract: We investigate the synchronization and nonlinear adjustment dynamics of short-term interest rates for France, the UK and the US using the bi-directional feedback measures proposed by Geweke (1982) and appropriate smooth transition error-correction models (STECM). We find evidence to support the increasing synchronization of these rates over the period 2005–2009 as well as of their lead–lag causal interactions. Moreover, short-term interest rates converge towards a common long-run equilibrium in a nonlinear manner and their time dynamics exhibit regime-switching behavior. As far as the underlying types of monetary policies conducted by the world’s leading central banks are concerned, our empirical evidence thus reveals strong interdependence, but only some degree of synchronization.

Keywords: Short-term interest rates; Monetary policy; Feedback measure; STECM (search for similar items in EconPapers)
JEL-codes: C52 E40 E52 G01 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0164070412001139
Full text for ScienceDirect subscribers only

Related works:
Working Paper: What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis? (2013)
Working Paper: What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis? (2013)
Working Paper: What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis? (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:36:y:2013:i:c:p:175-187

DOI: 10.1016/j.jmacro.2012.11.006

Access Statistics for this article

Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos

More articles in Journal of Macroeconomics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().