Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains

Rangan Gupta, Chi Keung Lau, Jacobus Nel () and Xin Sheng ()
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Jacobus Nel: University of Pretoria, 0002, South Africa
Xin Sheng: Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford, CM1 1SQ, United Kingdom

No 202005, Working Papers from University of Pretoria, Department of Economics

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.

Keywords: Connectedness; Frequency domain spillover; Monetary policy uncertainty; Pairwise spillovers; Uncertainty spillover (search for similar items in EconPapers)
JEL-codes: C32 D80 E52 F42 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2020-01
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-opm
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Citations: View citations in EconPapers (7)

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Journal Article: Monetary policy uncertainty spillovers in time and frequency domains (2020)
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