TY - JOUR
T1 - Efectos indirectos de la incertidumbre de la política económica de EE.UU.en América latina
AU - Coronado, Semei
AU - Martinez, José N.
AU - Venegas-Martínez, Francisco
N1 - Publisher Copyright:
© 2020, Universidad de Chile. All rights reserved.
PY - 2020/12
Y1 - 2020/12
N2 - 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.
AB - 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.
KW - Economic policy uncertainty
KW - Impulse response function
KW - Robust Granger-causality tests
KW - Structural vector autoregressive
UR - http://www.scopus.com/inward/record.url?scp=85093964595&partnerID=8YFLogxK
M3 - Artículo
AN - SCOPUS:85093964595
SN - 0304-2758
VL - 47
SP - 273
EP - 293
JO - Estudios de Economia
JF - Estudios de Economia
IS - 2
ER -