Spillover effects of the US economic policy uncertainty in Latin America

Abstract: 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) m...

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Autores principales:	Coronado,Semei, Martínez,José N., Venegas-Martínez,Francisco
Lenguaje:	English
Publicado:	Universidad de Chile. Departamento de Economía 2020
Materias:	Economic policy uncertainty structural vector autoregressive impulse response function robust Granger-causality tests
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862020000200273
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spelling	oai:scielo:S0718-528620200002002732020-12-28Spillover effects of the US economic policy uncertainty in Latin AmericaCoronado,SemeiMartínez,José N.Venegas-Martínez,Francisco Economic policy uncertainty structural vector autoregressive impulse response function robust Granger-causality tests Abstract: 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.info:eu-repo/semantics/openAccessUniversidad de Chile. Departamento de EconomíaEstudios de economía v.47 n.2 20202020-12-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862020000200273en10.4067/S0718-52862020000200273
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Economic policy uncertainty structural vector autoregressive impulse response function robust Granger-causality tests
spellingShingle	Economic policy uncertainty structural vector autoregressive impulse response function robust Granger-causality tests Coronado,Semei Martínez,José N. Venegas-Martínez,Francisco Spillover effects of the US economic policy uncertainty in Latin America
description	Abstract: 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.
author	Coronado,Semei Martínez,José N. Venegas-Martínez,Francisco
author_facet	Coronado,Semei Martínez,José N. Venegas-Martínez,Francisco
author_sort	Coronado,Semei
title	Spillover effects of the US economic policy uncertainty in Latin America
title_short	Spillover effects of the US economic policy uncertainty in Latin America
title_full	Spillover effects of the US economic policy uncertainty in Latin America
title_fullStr	Spillover effects of the US economic policy uncertainty in Latin America
title_full_unstemmed	Spillover effects of the US economic policy uncertainty in Latin America
title_sort	spillover effects of the us economic policy uncertainty in latin america
publisher	Universidad de Chile. Departamento de Economía
publishDate	2020
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862020000200273
work_keys_str_mv	AT coronadosemei spillovereffectsoftheuseconomicpolicyuncertaintyinlatinamerica AT martinezjosen spillovereffectsoftheuseconomicpolicyuncertaintyinlatinamerica AT venegasmartinezfrancisco spillovereffectsoftheuseconomicpolicyuncertaintyinlatinamerica
_version_	1714205056051445760

Spillover effects of the US economic policy uncertainty in Latin America

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