Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/261588 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Economic Structures [ISSN:] 2193-2409 [Volume:] 9 [Issue:] 41 [Publisher:] Springer [Place:] Heidelberg [Year:] 2020 [Pages:] 1-30
Publisher: 
Springer, Heidelberg
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.
Subjects: 
Connectedness
Frequency domain spillover
Monetary policy uncertainty
Pairwise spillovers
Uncertainty spillover
JEL: 
C32
D80
E52
F42
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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