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International Monetary Coordination and the Financial Crisis: A Network Analysis

40 Pages Posted: 29 Mar 2017 Last revised: 21 Apr 2017

Rashid Sbia

Macro-Fiscal Department, Ministry of Finance

Bedri Kamil Onur Tas

TOBB University of Economics and Technology - Department of Economics; Economic Research Forum (ERF)

Date Written: March 27, 2017

Abstract

We empirically examine international monetary coordination by identifying the network structure of four major central banks: The Bank of England, Bank of Japan, European Central Bank and Federal Reserve Bank. We calculate the time-varying connectedness measure developed by Diebold and Yilmaz (2005). Specifically, we investigate the interdependence of monetary policy actions and how the interaction between these central banks change over time. The construction of the network structure for different time periods allows to study the effect of the 2008 financial crisis. We investigate the structural break dates for the network structure to determine the exact dates of convergence and decoupling of monetary policy. The empirical analysis shows that monetary policy interdependence is higher for the October 2008-July 2013 period.

Keywords: Monetary Policy; Zero Lower Bound; Policy Coordination; Network Structure

JEL Classification: E43; E44; E52

Suggested Citation

Sbia, Rashid and Tas, Bedri Kamil Onur, International Monetary Coordination and the Financial Crisis: A Network Analysis (March 27, 2017). Available at SSRN: https://ssrn.com/abstract=2941549

Rashid Sbia

Macro-Fiscal Department, Ministry of Finance ( email )

Dubai
United Arab Emirates

Bedri Kamil Onur Tas (Contact Author)

TOBB University of Economics and Technology - Department of Economics ( email )

Sogutozu Cad. No:43 Sogutozu
Ankara, 06560
Turkey

Economic Research Forum (ERF) ( email )

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Dokki, Cairo
Egypt

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