dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Lau, Chi Keung Marco
|
|
dc.contributor.author |
Nel, Jacobus
|
|
dc.contributor.author |
Sheng, Xin
|
|
dc.date.accessioned |
2021-08-03T11:35:05Z |
|
dc.date.available |
2021-08-03T11:35:05Z |
|
dc.date.issued |
2020-05 |
|
dc.description.abstract |
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. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
hj2021 |
en_ZA |
dc.description.uri |
http://www.journalofeconomicstructures.com |
en_ZA |
dc.identifier.citation |
Gupta, R., Lau, C.K.M., Nel, J.A. et al. Monetary policy uncertainty spillovers in time and frequency domains. Journal of Economic Structures 9, 41 (2020). https://doi.org/10.1186/s40008-020-00219-z. |
en_ZA |
dc.identifier.issn |
2193-2409 (online) |
|
dc.identifier.other |
10.1186/s40008-020-00219-z |
|
dc.identifier.uri |
http://hdl.handle.net/2263/81116 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
SpringerOpen |
en_ZA |
dc.rights |
© The Author(s) 2020. This article is licensed under a Creative Commons Attribution 4.0 International License. |
en_ZA |
dc.subject |
Connectedness |
en_ZA |
dc.subject |
Frequency domain spillover |
en_ZA |
dc.subject |
Monetary policy uncertainty |
en_ZA |
dc.subject |
Pairwise spillovers |
en_ZA |
dc.subject |
Uncertainty spillover |
en_ZA |
dc.title |
Monetary policy uncertainty spillovers in time and frequency domains |
en_ZA |
dc.type |
Article |
en_ZA |