Gupta_et_al_2020.pdf (1.51 MB)
Monetary policy uncertainty spillovers in time and frequency domains
journal contribution
posted on 2023-07-26, 15:08 authored by Rangan Gupta, Marco C. K. Lau, Jacobus A. Nel, Xin ShengWe 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.
History
Refereed
- Yes
Volume
9Issue number
1Page range
41Publication title
Journal of Economic StructuresISSN
2193-2409External DOI
Publisher
SpringerFile version
- Published version
Language
- eng
Official URL
Legacy posted date
2020-09-24Legacy creation date
2020-09-24Legacy Faculty/School/Department
Faculty of Business & LawUsage metrics
Categories
No categories selectedKeywords
Licence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC