{"id":9065,"date":"2022-07-27T06:50:02","date_gmt":"2022-07-27T06:50:02","guid":{"rendered":"https:\/\/depocen.org\/publications\/modeling-nonlinear-and-heterogeneous-dynamic-linkages-in-international-monetary-markets\/"},"modified":"2022-07-27T06:50:02","modified_gmt":"2022-07-27T06:50:02","slug":"modeling-nonlinear-and-heterogeneous-dynamic-linkages-in-international-monetary-markets","status":"publish","type":"publications","link":"https:\/\/depocen.org\/en\/publications\/modeling-nonlinear-and-heterogeneous-dynamic-linkages-in-international-monetary-markets\/","title":{"rendered":"Modeling nonlinear and heterogeneous dynamic \r\nlinkages in international monetary markets"},"content":{"rendered":"<p>In  this paper we examine  the dynamic  linkages of  international monetary markets over  the 2004  &#8211; 2009<br \/>\nperiod  using daily  short-term  interbank  interest  rates of three  of  the most  advanced  countries  (France,<br \/>\nUnited Kingdom and United States). Empirical results from vector error-correction models (VECM) and<br \/>\nsmooth  transition error-correction models (STECM)  indicate strong evidence of nonlinear and heteroge-<br \/>\nneous causalities between the three interest rates considered. We also find that exogenous shifts in the US<br \/>\nshort-term interest rate led those in France and in the UK within a horizon of one to two days. Finally, the<br \/>\nnational interest rate nexus appears to nonlinearly converge towards a steady state or a common long-run<br \/>\nequilibrium because it is subject to structural change beyond a certain interest rate threshold. Our findings<br \/>\nhave important implications for the actions of leading central banks (ECB, Bank of England, and US Fed)<br \/>\nsince  the  behavior  of  short-term  interest  rates  can  be  viewed  as  an  indicator  of  the  degree  of  central<br \/>\nbanks&#8217; policy interdependence.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[1564,1566,1567,1569,1770,1771],"topic_publications":[],"class_list":["post-9065","publications","type-publications","status-publish","hentry","author_publications-mohamed-el-hedi-arouri","author_publications-duc-khuong-nguyen","author_publications-mohamed-el-hedi-arouri-en","author_publications-duc-khuong-nguyen-en","author_publications-fredj-jawadi","author_publications-fredj-jawadi-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications\/9065","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/media?parent=9065"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/cate_publications?post=9065"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/author_publications?post=9065"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/topic_publications?post=9065"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}