The impact of US uncertainty shocks on a panel of advanced and emerging market economies

Gupta R., OLASEHINDE WILLIAMS G. O., Wohar M. E.

Journal of International Trade and Economic Development, cilt.29, sa.6, ss.711-721, 2020 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 29 Sayı: 6
  • Basım Tarihi: 2020
  • Doi Numarası: 10.1080/09638199.2020.1720785
  • Dergi Adı: Journal of International Trade and Economic Development
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, Academic Search Premier, IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, Geobase
  • Sayfa Sayıları: ss.711-721
  • Anahtar Kelimeler: foreign spillovers, local projection, macroeconomic transmission, panel data, US uncertainty
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

In this paper, we analyze the spillovers of uncertainty from the United States (US) on Gross Domestic Product (GDP) in a large panel of 50 advanced and emerging economies. We allow the response of GDP in each country to vary according to its exchange rate regime, trade openness, and a vulnerability index (based on current account, foreign reserves, inflation, and external debt). We observe large heterogeneity in the response of advanced and emerging economies to uncertainty surprises of the US. In response to an increase in US uncertainty, GDP in foreign economies drops slightly more, as it does in the US. In addition we find that, for advanced economies the exchange rate regime and financial vulnerability account for a large portion of the contraction in activity. In emerging economies, however, the responses do not depend on the exchange rate regime, but are larger when trade openness is high and weakness in the financial system is high.