The co-movement of monetary policy and its time-varying nature: A DCCA approach

摘要

Employing a novel methodology of DCCA cross-correlation coefficient (pDCCA), this study attempts to provide fresh evidences for the co-movement of monetary policies of the advanced (AEs) as well as the emerging economies (EMEs) vis-a-vis the United States. A higher degree of monetary co-movement as measured by pDCCA values, is identified for the AEs as compared to the EMEs. Lower co-movement of monetary policy is especially noticeable in the short run for EMEs. We further investigate the time-varying nature of such co-movements for the AEs by splitting the period (1980-2014) into four sub periods and also by performing a rolling window estimation for the entire period to reveal smoother dynamics. Significant evidence of higher monetary coordination is revealed for sub-periods with stronger trade and financial linkages. (C) 2017 Elsevier B.V. All rights reserved.