Monetary policy uncertainty spillovers in time and frequency domains

Monetary policy uncertainty spillovers in time and frequency domains

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 innovatio...

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Bibliographic Details
Main Authors: Rangan Gupta, Chi Keung Marco Lau, Jacobus A. Nel, Xin Sheng
Format: Article
Language:English
Published: SpringerOpen 2020-05-01
Series:Journal of Economic Structures
Subjects:
Connectedness
Frequency domain spillover
Monetary policy uncertainty
Pairwise spillovers
Uncertainty spillover
Online Access:http://link.springer.com/article/10.1186/s40008-020-00219-z

Internet

http://link.springer.com/article/10.1186/s40008-020-00219-z

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