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

Author

Listed:
  • Mohamed El Hedi Arouri

    (CRCGM - Centre de Recherche Clermontois en Gestion et Management - UdA - Université d'Auvergne - Clermont-Ferrand I - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand, EDHEC - EDHEC Business School - UCL - Université catholique de Lille)

  • Fredj Jawadi

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique, UEVE - Université d'Évry-Val-d'Essonne, LITEM - Laboratoire en Innovation, Technologies, Economie et Management (EA 7363) - EESC-GEM - Grenoble Ecole de Management - UEVE - Université d'Évry-Val-d'Essonne - TEM - Télécom Ecole de Management, Amiens School of Management - Amiens School of Management)

  • Duc Khuong Nguyen

    (IPAG Business School)

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.

Suggested Citation

  • Mohamed El Hedi Arouri & Fredj Jawadi & Duc Khuong Nguyen, 2013. "What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?," Grenoble Ecole de Management (Post-Print) hal-01410577, HAL.
    • Handle: RePEc:hal:gemptp:hal-01410577
    DOI: 10.1016/j.jmacro.2012.11.006
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    Cited by:

    1. Víctor Alexánder Díaz Espana, 2014. "Crédito privado, crédito bancario y producto interno bruto: evidencia para una muestra suramericana," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(73), pages 104-126.
    2. Olli-Pekka Hilmola, 2022. "In the Midst of the Coronavirus and Geopolitical Crises—Inventory Efficiency and Challenges Faced in Finland," JRFM, MDPI, vol. 16(1), pages 1-13, December.
    3. Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The Anatomy of Government Bond Yields Synchronization in the Eurozone," LEM Papers Series 2021/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. J. Sebastian Amador-Torres & Jose Eduardo Gomez-Gonzalez & Sebastian Sanin-Restrepo, 2017. "I know what you did during the last bubble: Determinants of housing bubbles' duration in OECD countries," Borradores de Economia 1005, Banco de la Republica de Colombia.
    5. Huang, Chun-Sung & Charteris, Ailie, 2025. "Shockwaves across borders: Did the 2023 banking crisis reshape global banking sector linkages?," Finance Research Letters, Elsevier, vol. 82(C).
    6. Carvalho, Alexandre & Valle e Azevedo, João & Pires Ribeiro, Pedro, 2024. "Permanent and temporary monetary policy shocks and the dynamics of exchange rates," Journal of International Economics, Elsevier, vol. 147(C).
    7. Floro, Danvee & van Roye, Björn, 2017. "Threshold effects of financial stress on monetary policy rules: A panel data analysis," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 599-620.
    8. Mehmet Balcilar & Riza Demirer, 2022. "U.S. monetary policy and the predictability of global economic synchronization patterns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 473-492, July.

    More about this item

    Keywords

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    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G01 - Financial Economics - - General - - - Financial Crises

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