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Monetary policy uncertainty spillovers in time and frequency domains

Author

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  • Rangan Gupta

    (University of Pretoria)

  • Chi Keung Marco Lau

    (University of Huddersfield)

  • Jacobus A. Nel

    (University of Pretoria)

  • Xin Sheng

    (Anglia Ruskin University)

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.

Suggested Citation

  • Rangan Gupta & Chi Keung Marco Lau & Jacobus A. Nel & Xin Sheng, 2020. "Monetary policy uncertainty spillovers in time and frequency domains," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-30, December.
    • Handle: RePEc:spr:jecstr:v:9:y:2020:i:1:d:10.1186_s40008-020-00219-z
    DOI: 10.1186/s40008-020-00219-z
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    More about this item

    Keywords

    Connectedness; Frequency domain spillover; Monetary policy uncertainty; Pairwise spillovers; Uncertainty spillover;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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