Monetary policy uncertainty spillovers in time and frequency domains

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

Research output: Contribution to journalArticlepeer-review

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
JournalJournal of Economic Structures
Volume9
Issue number1
DOIs
Publication statusPublished - 22 May 2020

Bibliographical note

Funding Information:
We would like to thank three anonymous referees for many helpful comments. However, any remaining errors are solely ours.

Publisher Copyright:
© 2020, The Author(s).

Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.

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