Monetary policy uncertainty spillovers in time and frequency domains

dc.contributor.authorGupta, Rangan
dc.contributor.authorLau, Chi Keung Marco
dc.contributor.authorNel, Jacobus
dc.contributor.authorSheng, Xin
dc.date.accessioned2021-08-03T11:35:05Z
dc.date.available2021-08-03T11:35:05Z
dc.date.issued2020-05
dc.description.abstractWe 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.departmentEconomicsen_ZA
dc.description.librarianhj2021en_ZA
dc.description.urihttp://www.journalofeconomicstructures.comen_ZA
dc.identifier.citationGupta, 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.issn2193-2409 (online)
dc.identifier.other10.1186/s40008-020-00219-z
dc.identifier.urihttp://hdl.handle.net/2263/81116
dc.language.isoenen_ZA
dc.publisherSpringerOpenen_ZA
dc.rights© The Author(s) 2020. This article is licensed under a Creative Commons Attribution 4.0 International License.en_ZA
dc.subjectConnectednessen_ZA
dc.subjectFrequency domain spilloveren_ZA
dc.subjectMonetary policy uncertaintyen_ZA
dc.subjectPairwise spilloversen_ZA
dc.subjectUncertainty spilloveren_ZA
dc.titleMonetary policy uncertainty spillovers in time and frequency domainsen_ZA
dc.typeArticleen_ZA

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