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Globalization and Monetary Policy: An Empirical Analysis

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  • Arpita Chatterjee

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

Abstract

This 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.

Suggested Citation

  • Arpita Chatterjee, 2013. "Globalization and Monetary Policy: An Empirical Analysis," Discussion Papers 2013-08, School of Economics, The University of New South Wales.
    • Handle: RePEc:swe:wpaper:2013-08
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    File URL: http://research.economics.unsw.edu.au/RePEc/papers/2013-08.pdf
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    References listed on IDEAS

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    Cited by:

    1. Suda, Jacek & Zervou, Anastasia S., 2018. "International Great Inflation And Common Monetary Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 22(6), pages 1428-1461, September.

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    More about this item

    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

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