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

South African monthly The FTSE/JSE All Share Index data was procured from Bloomberg and the nominal effective exchange rate (NEER) from South African Reserve Bank (SARB) database, where the data has been seasonally adjusted specifying 2015 as the base year. Volatility measures in these markets are generated through a multivaraite EGARCH model in the WinRATS software. 
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. 
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 et al. (2016) to account for global developments available at http://www.policyuncertainty.com/us_monthly.html.

南非月度数据集，包括FTSE/JSE全股指数，该指数数据由彭博社提供，名义有效汇率（NEER）数据则来源于南非储备银行（SARB）数据库，数据已进行季节性调整，以2015年为基年。该市场的波动性通过WinRATS软件中的多元EGARCH模型进行计算。此外，南非月度消费者价格指数（CPI）数据来自国际货币基金组织（IMF）的国际金融统计（IFS）数据库，数据同样经过季节性调整，以2010年为基年。通货膨胀率通过计算月度CPI的年度变化得出。通货膨胀不确定性则通过Eviews软件中的GARCH模型生成。以下南非宏观经济变量由SARB提供：实际工业生产（IP），作为实际GDP的代理指标；实际投资（I）、实际消费（C）、通货膨胀（CPI）、广义货币（M3）、三个月期国库券利率（TB3）以及政策利率（R），其中政策不确定性指标由Baker等人于2016年开发，旨在反映全球发展状况，相关信息可通过http://www.policyuncertainty.com/us_monthly.html获取。