Monetary policy uncertainty spillovers in time and frequency domains

Gupta, Rangan and Lau, Marco C. K. and Nel, Jacobus A. and Sheng, Xin (2020) Monetary policy uncertainty spillovers in time and frequency domains. Journal of Economic Structures, 9 (1). p. 41. ISSN 2193-2409

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We use the recently created monthly Interest Rate Uncertainty measure, to investigate monetary policy uncertainty across the US, Germany, France, Italy, Spain, UK, Japan, Canada, and Sweden in both the time and frequency domains. We find that the largest spillover indices are from innovations in the country itself; however, there are some instances where spillover indices between countries are large. These relationships change over time and we observe large variances in pairwise spillovers during the global financial crisis. We find that most of the volatility is confined to the crisis period. Policy makers should consider accounting for the spillovers from the US, Germany, France and Spain, as we found that they are the most consistent net transmitters of monetary policy uncertainty.

Item Type: Journal Article
Keywords: Connectedness, Frequency domain spillover, Monetary policy uncertainty, Pairwise spillovers, Uncertainty spillover
Faculty: Faculty of Business & Law
Depositing User: Lisa Blanshard
Date Deposited: 24 Sep 2020 13:14
Last Modified: 09 Sep 2021 18:53

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