Monetary policy uncertainty spillovers in time and frequency domains

Rangan Gupta, Chi Keung Marco Lau, Jacobus A. Nel, Xin Sheng

Research output: Contribution to journalArticle

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.

Original languageEnglish
Article number41
Number of pages30
JournalJournal of Economic Structures
Early online date22 May 2020
DOIs
Publication statusE-pub ahead of print - 22 May 2020

Fingerprint Dive into the research topics of 'Monetary policy uncertainty spillovers in time and frequency domains'. Together they form a unique fingerprint.

  • Cite this