Analysis of volatility spillovers in the stock, currency and goods market and the monetary policy efficiency within different uncertainty states in these markets

Volatility measures in these markets are generated through a multivaraite EGARCH model in the WinRATS software. </p> <p>South African monthly consumer price index (CPI) data was procured from the International Monetary Fund’s International Financial Statistics (IFS) database, where the data has been seasonally adjusted, specifying 2010 as the base year.

The inflation rate is constructed by taking the year-on-year changes in the monthly CPI figures. Inflation uncertainty was generated through the GARCH model in Eviews software. </p> <p>The following South African macroeconomic variables were procured from the SARB: real industrial production (IP), which is used as a proxy for real GDP, real investment (I), real consumption (C), inflation (CPI), broad money (M3), the 3-month treasury bill rate (TB3) and the policy rate (R), a measure of U.S. EPU developed by Baker <em>et al.</em> (2016) to account for global developments available at policyuncertainty.com/us_monthly.html.</p>