The relationship between monetary policy and uncertainty in advanced economies: evidence from time- and frequency-domains

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dc.contributor.authorÇekin, Semih Emre
dc.contributor.authorHkiri, Besma
dc.contributor.authorTiwari, Aviral Kumar
dc.contributor.authorGupta, Rangan
dc.date.accessioned2021-01-08T21:51:30Z
dc.date.available2021-01-08T21:51:30Z
dc.date.issued2020
dc.departmentTAÜ, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümüen_US
dc.description.abstractIn this work we offer new insight into the relationship between interest rates and uncertainty for several advanced economies (Canada, Euro Area, Japan, UK, US) for the period 2003?2018. For this purpose, we utilize wavelets, which allow us to analyze how the relationship changes over time and across different frequencies, and to make inference about causality. We also use the daily shadow interest rate measure of Krippner (2012), (2013) to capture the stance of monetary policy making at the zero lower bound, and the uncertainty measure by Scotti (2016) to measure uncertainty related to the real economy. Our findings suggest that there is significant co-movement over time and across different frequencies in all the countries we analyze. Corresponding to the similar, yet different conduct of monetary policy, we also find that the relationship exhibits different characteristics and causality in all the economies we analyze, implying that one must be careful not to draw generalized conclusions. © 2020
dc.description.sponsorshipWe would like to thank an anonymous referee for many helpful comments. However, any remaining errors are solely ours.
dc.identifier.doi10.1016/j.qref.2020.05.010
dc.identifier.endpage87en_US
dc.identifier.issn1062-9769
dc.identifier.scopus2-s2.0-85086397161
dc.identifier.scopusqualityQ2
dc.identifier.startpage70en_US
dc.identifier.urihttps://doi.org/10.1016/j.qref.2020.05.010
dc.identifier.urihttps://hdl.handle.net/20.500.12846/318
dc.identifier.volume78en_US
dc.identifier.wosWOS:000593335800008
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇekin, Semih Emre
dc.language.isoen
dc.publisherElsevier B.V.
dc.relation.ispartofQuarterly Review of Economics and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectAdvanced economiesen_US
dc.subjectInterest rateen_US
dc.subjectUncertaintyen_US
dc.subjectWaveleten_US
dc.titleThe relationship between monetary policy and uncertainty in advanced economies: evidence from time- and frequency-domains
dc.typeArticle

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