Globalization and Monetary Policy Comovement: Evidence from G-7 Countries

Arpita Chatterjee

No 2014-19, Discussion Papers from School of Economics, The University of New South Wales

Abstract: This paper empirically characterizes comovement in monetary policy of G-7 countries during 1980-2009. I estimate a Taylor rule for each country and use residual from the Taylor rules to estimate a dynamic latent factor model with common and Europe speci c factors. I quantify importance of the G-7 factor in explaining comovement in residual variation of monetary policy and show that the G-7 factor is particularly important during a period of globalization (1988-2003). I estimate dynamics of importance of the G-7 factor using rolling sub-samples and show that trade-openness increases comovement in monetary policy in Europe.

Keywords: Symmetry-breaking; Endogenous comparative advantage; Gains from trade; Education policy (search for similar items in EconPapers)
JEL-codes: E62 F11 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2014-04
New Economics Papers: this item is included in nep-cba, nep-int, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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