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Globalization and Monetary Policy Comovement: Evidence from G-7 Countries

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  • Arpita Chatterjee

    () (School of Economics, Australian School of Business, the University of New South Wales)

Abstract

This paper empirically characterizes comovement in monetary policy of G-7 countries during 1980-2009. I estimate a Taylor rule for each country and use residual from the Taylor rules to estimate a dynamic latent factor model with common and Europe speci c factors. I quantify importance of the G-7 factor in explaining comovement in residual variation of monetary policy and show that the G-7 factor is particularly important during a period of globalization (1988-2003). I estimate dynamics of importance of the G-7 factor using rolling sub-samples and show that trade-openness increases comovement in monetary policy in Europe.

Suggested Citation

  • Arpita Chatterjee, 2014. "Globalization and Monetary Policy Comovement: Evidence from G-7 Countries," Discussion Papers 2014-19, School of Economics, The University of New South Wales.
  • Handle: RePEc:swe:wpaper:2014-19
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    File URL: http://research.economics.unsw.edu.au/RePEc/papers/2014-19.pdf
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    References listed on IDEAS

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    Cited by:

    1. Arpita Chatterjee & Richa Saraf, 2017. "Impact of China on World Commodity Prices and Commodity Exporters," Discussion Papers 2017-13, School of Economics, The University of New South Wales.

    More about this item

    Keywords

    Symmetry-breaking; Endogenous comparative advantage; Gains from trade; Education policy;

    JEL classification:

    • F11 - International Economics - - Trade - - - Neoclassical Models of Trade
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy

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