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Measuring Cross Country Monetary Policy Uncertainty

Author

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  • Lucas F. Husted
  • John H. Rogers
  • Bo Sun

Abstract

In previous work, we constructed a news-based index of U.S. monetary policy uncertainty (MPU) that captures the degree of uncertainty the public perceives about Federal Reserve policy actions and their consequences. In this note, we extend that work to Canada, the Euro Area, Japan, and United Kingdom.

Suggested Citation

  • Lucas F. Husted & John H. Rogers & Bo Sun, 2016. "Measuring Cross Country Monetary Policy Uncertainty," IFDP Notes 2016-11-23, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgin:2016-11-23
    DOI: 10.17016/2573-2129.26
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    File URL: https://www.federalreserve.gov/econresdata/notes/ifdp-notes/2016/measuring-cross-country-monetary-policy-uncertainty-20161123.html
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    Citations

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    Cited by:

    1. Albulescu, Claudiu Tiberiu & Ionescu, Adrian Marius, 2018. "The long-run impact of monetary policy uncertainty and banking stability on inward FDI in EU countries," Research in International Business and Finance, Elsevier, vol. 45(C), pages 72-81.
    2. Laurent Ferrara & Stéphane Lhuissier & Fabien Tripier, 2017. "Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges," CEPII Policy Brief 2017-20, CEPII research center.
    3. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    4. Daniel O. Beltran & Deepa Dhume Datta & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Juan M. Londono & Marius del Giudice Rodriguez & John H. Rogers & Bo Sun, 2017. "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216, Board of Governors of the Federal Reserve System (U.S.).
    5. Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Economic Modelling, Elsevier, vol. 75(C), pages 105-116.
    6. Rangan Gupta & Charl Jooste, 2018. "Unconventional monetary policy shocks in OECD countries: how important is the extent of policy uncertainty?," International Economics and Economic Policy, Springer, vol. 15(3), pages 683-703, July.
    7. Siklos, Pierre, 2017. "What Has Publishing Inflation Forecasts Accomplished? Central Banks And Their Competitors," LCERPA Working Papers 0098, Laurier Centre for Economic Research and Policy Analysis, revised 01 Apr 2017.
    8. Vasilios Plakandaras & Rangan Gupta & Mark E. Wohar, 2019. "Persistence of economic uncertainty: a comprehensive analysis," Applied Economics, Taylor & Francis Journals, vol. 51(41), pages 4477-4498, September.
    9. Benjamin Born & Sebastian Breuer & Steffen Elstner, 2018. "Uncertainty and the Great Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(5), pages 951-971, October.
    10. Kurov, Alexander & Stan, Raluca, 2018. "Monetary policy uncertainty and the market reaction to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 127-142.
    11. Peter Tillmann, 2020. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 803-833, June.
    12. Kaminska, Iryna & Roberts-Sklar, Matt, 2018. "Volatility in equity markets and monetary policy rate uncertainty," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 68-83.
    13. Christopher Thiem, 2020. "Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility," Open Economies Review, Springer, vol. 31(2), pages 317-342, April.
    14. Filippidis, Michail & Filis, George & Kizys, Renatas, 2020. "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, vol. 86(C).
    15. Husted, Lucas & Rogers, John & Sun, Bo, 2018. "Uncertainty, currency excess returns, and risk reversals," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 228-241.
    16. Tatjana Dahlhaus & Tatevik Sekhposyan, 2018. "Monetary Policy Uncertainty: A Tale of Two Tails," Staff Working Papers 18-50, Bank of Canada.

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