Monetary policy uncertainty spillovers in time and frequency domains

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

The UEFA Champions League seeding is not strategy-proof since the 2015/16 season

Fairness has several interpretations in sports, one of them being that the rules should guarantee incentive compatibility, namely, a team cannot be worse off due to better results in any feasible scenario. The current seeding regime of the most prestigious annual European club football tournament, the UEFA (Union of European Football Associations) Champions League, is shown to violate this requirement since the 2015/16 season. In particular, if the titleholder qualifies for the first pot by being a champion in a high-ranked league, its slot is given to a team from a lower-ranked association, which can harm a top club from the domestic championship of the titleholder. However, filling all vacancies through the national leagues excludes the presence of perverse incentives. UEFA is encouraged to introduce this policy from the 2021-24 cycle onwards.Comment: 11 pages, 1 figure, 1 tabl

Together in bad times:connectedness and spillovers in recession and boom

Is connectedness across countries dependent on the state of the economy? We answer this question by applying the Diebold‐Yilmaz index in a non‐linear framework. Via a Threshold VAR model, we measure the connectedness of industrial production, inflation and financial variables for seven advanced economies. We find that global connectedness is sizable and business cycle dependent. Specifically, our results suggest that higher values are recorded during recessions. Financial and nominal connectedness display different dynamics relative to the connectedness in industrial production. We also show that negative shocks cause a bigger increase in global connectedness compared to their positive counterparts. In addition, while Europe appears to be vulnerable to shocks originated in USA and Japan, the US is unaffected by shocks occurring elsewhere. Results are robust to an alternative state‐dependent modelling of the parameters and our model fit outperforms both the linear VAR and the Smooth Transition VAR