TY - JOUR
T1 - Monetary policy uncertainty spillovers in time and frequency domains
AU - Gupta, Rangan
AU - Lau, Chi Keung Marco
AU - Nel, Jacobus A.
AU - Sheng, Xin
PY - 2020/12/1
Y1 - 2020/12/1
N2 - 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.
AB - 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.
KW - Connectedness
KW - Frequency domain spillover
KW - Monetary policy uncertainty
KW - Pairwise spillovers
KW - Uncertainty spillover
UR - http://www.scopus.com/inward/record.url?scp=85085347444&partnerID=8YFLogxK
U2 - 10.1186/s40008-020-00219-z
DO - 10.1186/s40008-020-00219-z
M3 - Article
AN - SCOPUS:85085347444
VL - 9
JO - Journal of Economic Structures
JF - Journal of Economic Structures
SN - 2193-2409
IS - 1
M1 - 41
ER -