Monetary policy uncertainty spillovers in time and frequency domains

Loading...
Thumbnail Image

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.