Globalization and Monetary Policy: An Empirical Analysis
AbstractThis paper studies the evolution of comovement in monetary policy of the G-7 countries during the period 1980-2009. I estimate a Taylor rule for each country and use the residuals from the Taylor rule to estimate a Bayesian dynamic latent factor model allowing for common and Europe speci?c components. I quantify the importance of the G-7 factor in explaining the residual of the Taylor rule, and show that the G-7 factor plays a very important role during the period of globalization (1988- 2003). I esimate the time path of the importance of the G-7 factor using rolling sub-samples, and show that both trade-openness and ?nancial integration increase comovement in monetary policy.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by School of Economics, The University of New South Wales in its series Discussion Papers with number 2013-08.
Length: 35 pages
Date of creation: Aug 2013
Date of revision:
Contact details of provider:
Postal: Australian School of Business Building, Sydney 2052
Fax: +61)-2- 9313- 6337
Web page: http://www.economics.unsw.edu.au/
More information through EDIRC
Find related papers by JEL classification:
- F24 - International Economics - - International Factor Movements and International Business - - - Remittances
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert C. Feenstra & Robert E. Lipsey & Haiyan Deng & Alyson C. Ma & Hengyong Mo, 2005. "World Trade Flows: 1962-2000," NBER Working Papers 11040, National Bureau of Economic Research, Inc.
- Laurence M. Ball, 1999.
"Policy Rules for Open Economies,"
in: Monetary Policy Rules, pages 127-156
National Bureau of Economic Research, Inc.
- Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2007.
"The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970-2004,"
Journal of International Economics,
Elsevier, vol. 73(2), pages 223-250, November.
- Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2006. "The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004," CEPR Discussion Papers 5644, C.E.P.R. Discussion Papers.
- Philip R. Lane & Gian Maria Milesi-Ferretti, 2006. "The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities,1970–2004," The Institute for International Integration Studies Discussion Paper Series iiisdp126, IIIS.
- Alan Sutherland, 2002.
"International monetary policy coordination and financial market integration,"
International Finance Discussion Papers
751, Board of Governors of the Federal Reserve System (U.S.).
- Sutherland, Alan, 2004. "International Monetary Policy Coordination and Financial Market Integration," CEPR Discussion Papers 4251, C.E.P.R. Discussion Papers.
- Sutherland, Alan, 2002. "International monetary policy coordination and financial market integration," Working Paper Series 0174, European Central Bank.
- Benigno, Gianluca & Benigno, Pierpaolo, 2003.
"Designing targeting rules for international monetary policy cooperation,"
Working Paper Series
0279, European Central Bank.
- Benigno, Gianluca & Benigno, Pierpaolo, 2006. "Designing targeting rules for international monetary policy cooperation," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 473-506, April.
- Brian M. Doyle & Jon Faust, 2005.
"Breaks in the Variability and Comovement of G-7 Economic Growth,"
The Review of Economics and Statistics,
MIT Press, vol. 87(4), pages 721-740, November.
- Brian M. Doyle & Jon Faust, 2003. "Breaks in the variability and co-movement of G-7 economic growth," International Finance Discussion Papers 786, Board of Governors of the Federal Reserve System (U.S.).
- M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2005.
"Understanding the Evolution of World Business Cycles,"
IMF Working Papers
05/211, International Monetary Fund.
- Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
- Otrok, C. & Whiteman, C.H., 1996.
"Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa,"
96-14, University of Iowa, Department of Economics.
- Otrok, Christopher & Whiteman, Charles H, 1998. "Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 997-1014, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gabriele Gratton).
If references are entirely missing, you can add them using this form.