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

被引：6

作者：

Arouri, Mohamed ^{[1
,2
]}

Jawadi, Fredj ^{[3
,4
]}

Duc Khuong Nguyen ^{[5
]}

机构：

[1] Univ Auvergne, CRCGM, F-63002 Clermont Ferrand, France

[2] EDHEC Business Sch, F-63002 Clermont Ferrand, France

[3] Univ Evry Val dEssonne, F-91025 Evry, France

[4] France Business Sch, F-91025 Evry, France

[5] IPAG Business Sch, IPAG LAB, F-75006 Paris, France

来源：

JOURNAL OF MACROECONOMICS | 2013年 / 36卷

关键词：

Short-term interest rates; Monetary policy; Feedback measure; STECM; TRANSITION AUTOREGRESSIVE MODELS; TIME-SERIES; UNIT-ROOT; NONLINEAR ADJUSTMENT; COINTEGRATION; MARKET; COSTS;

D O I：

10.1016/j.jmacro.2012.11.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：175 / 187

页数：13

共 39 条

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