Artikel
Spillover effects of the US economic policy uncertainty in Latin America
This paper is aimed at assessing the spillover effects of the US Economic Policy Uncertainty (EPU) in macroeconomic variables of major Latin American Countries (LAC): Mexico, Colombia, Brazil, and Chile. To do that, we estimate a set of two-country Structural Vector Autoregressive (SVAR) models for 1997-2019; each model includes the US and one of the LAC. We use the following variables: EPU indexes, exchange rates, consumer price indexes, industrial production (IP), and interest rates (IR) of the US and the studied LAC. The main finding is that positive shocks in the US EPU index lead to currency depreciation for all four LAC; the largest effect is for Mexico. Other statistically significant results are a brief and small positive impact on Colombia's IP and a positive impact on Mexico's IR. The remaining LAC's estimates are statistically insignificant. For this reason, we applied Rossi and Wang's (2019) robust Granger causality tests that considers structural breaks. Finally, the estimates before and after the 2008 financial crisis suggest that LAC became slightly more responsive to US EPU shocks after the crisis.
- Alternative title
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Efectos indirectos de la incertidumbre de la política económica de EE.UU.en América Latina
- Language
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Englisch
- Bibliographic citation
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Journal: Estudios de Economía ; ISSN: 0718-5286 ; Volume: 47 ; Year: 2020 ; Issue: 2 ; Pages: 273-293
- Classification
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Wirtschaft
Economic Impacts of Globalization: Macroeconomic Impacts
Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: Latin America; Caribbean
- Subject
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Economic policy uncertainty
structural vector autoregressive
impulse response function
robust Granger-causality tests
- Event
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Geistige Schöpfung
- (who)
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Coronado, Semei
Martínez, José
Venegas-Martínez, Francisco
- Event
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Veröffentlichung
- (who)
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Universidad de Chile, Departamento de Economía
- (where)
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Santiago de Chile
- (when)
-
2020
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Coronado, Semei
- Martínez, José
- Venegas-Martínez, Francisco
- Universidad de Chile, Departamento de Economía
Time of origin
- 2020
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