Skip to Main content Skip to Navigation
Journal articles

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

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.
Document type :
Journal articles
Complete list of metadatas

https://hal-univ-paris10.archives-ouvertes.fr/hal-01410577
Contributor : Administrateur Hal Nanterre <>
Submitted on : Tuesday, December 6, 2016 - 5:06:43 PM
Last modification on : Monday, August 10, 2020 - 1:38:23 PM

Links full text

Identifiers

Citation

Mohamed El Hedi Arouri, Fredj Jawadi, Duc Khuong Nguyen. What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?. Journal of Macroeconomics, Elsevier, 2013, 36, pp.175-187. ⟨10.1016/j.jmacro.2012.11.006⟩. ⟨hal-01410577⟩

Share

Metrics

Record views

189