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Pré-Publication, Document De Travail Année : 2010

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

Résumé

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.
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Dates et versions

hal-00507826 , version 1 (01-08-2010)

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  • HAL Id : hal-00507826 , version 1

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Mohamed El Hedi Arouri, Duc Khuong Nguyen, Fredj Jawadi. What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?. 2010. ⟨hal-00507826⟩
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