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

Mohamed Arouri (), Duc Khuong Nguyen and Fredj Jawadi ()

Working Papers from HAL

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 strong evidence of continual increases in bilateral synchroni-zation of these rates from 2005 to 2009 as well as of their lead-lag causal interactions with a slight dominance of the US rate. Our results also indicate that short-term interest rates converge towards a common long-run equilibrium in a nonlinear manner and their time dynamics exhibit regime-switching behavior.

Date: 2010-08-01
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Related works:
Journal Article: What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis? (2013) Downloads
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)
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