Monetary policy uncertainty spillovers in time and frequency domains

Rangan Gupta, Chi Keung Lau, Jacobus A. Nel () and Xin Sheng ()
Additional contact information
Jacobus A. Nel: University of Pretoria
Xin Sheng: Anglia Ruskin University

Journal of Economic Structures, 2020, vol. 9, issue 1, 1-30

Abstract: 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.

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)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://link.springer.com/10.1186/s40008-020-00219-z Abstract (text/html)

Related works:
Working Paper: Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jecstr:v:9:y:2020:i:1:d:10.1186_s40008-020-00219-z

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40008

DOI: 10.1186/s40008-020-00219-z

Access Statistics for this article

Journal of Economic Structures is currently edited by Shigemi Kagawa and Kazuhiko Nishimura

More articles in Journal of Economic Structures from Springer, Pan-Pacific Association of Input-Output Studies (PAPAIOS) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().