Monetary policy uncertainty spillovers in time and frequency domains
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Date
Authors
Gupta, Rangan
Lau, Chi Keung Marco
Nel, Jacobus
Sheng, Xin
Journal Title
Journal ISSN
Volume Title
Publisher
SpringerOpen
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.
Description
Keywords
Connectedness, Frequency domain spillover, Monetary policy uncertainty, Pairwise spillovers, Uncertainty spillover
Sustainable Development Goals
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.