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

Abhishek Rohit; Subrata Kumar Mitra

doi:10.1016/j.physa.2017.11.071

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

Abhishek Rohit^*
, Subrata Kumar Mitra

^*Corresponding author for this work

T A Pai Management Institute, Manipal

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

Employing a novel methodology of DCCA cross-correlation coefficient (ρDCCA), 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-à-vis the United States. A higher degree of monetary co-movement as measured by ρDCCA 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.

Original language	English
Pages (from-to)	1439-1448
Number of pages	10
Journal	Physica A: Statistical Mechanics and its Applications
Volume	492
DOIs	https://doi.org/10.1016/j.physa.2017.11.071
Publication status	Published - 15-02-2018

All Science Journal Classification (ASJC) codes

Statistics and Probability
Condensed Matter Physics

Access to Document

10.1016/j.physa.2017.11.071

Cite this

@article{cf5af917a56c428f876efbeffaf936ff,

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

abstract = "Employing a novel methodology of DCCA cross-correlation coefficient (ρDCCA), 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 ρDCCA 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.",

author = "Abhishek Rohit and Mitra, \{Subrata Kumar\}",

note = "Publisher Copyright: {\textcopyright} 2017 Elsevier B.V.",

year = "2018",

month = feb,

day = "15",

doi = "10.1016/j.physa.2017.11.071",

language = "English",

volume = "492",

pages = "1439--1448",

journal = "Physica A: Statistical Mechanics and its Applications",

issn = "0378-4371",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - The co-movement of monetary policy and its time-varying nature

T2 - A DCCA approach

AU - Rohit, Abhishek

AU - Mitra, Subrata Kumar

PY - 2018/2/15

Y1 - 2018/2/15

N2 - Employing a novel methodology of DCCA cross-correlation coefficient (ρDCCA), 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-à-vis the United States. A higher degree of monetary co-movement as measured by ρDCCA 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.

AB - Employing a novel methodology of DCCA cross-correlation coefficient (ρDCCA), 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-à-vis the United States. A higher degree of monetary co-movement as measured by ρDCCA 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.

UR - https://www.scopus.com/pages/publications/85035812201

UR - https://www.scopus.com/pages/publications/85035812201#tab=citedBy

U2 - 10.1016/j.physa.2017.11.071

DO - 10.1016/j.physa.2017.11.071

M3 - Article

AN - SCOPUS:85035812201

SN - 0378-4371

VL - 492

SP - 1439

EP - 1448

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

ER -

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

Abstract

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this