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DIE 02/20 -Transmisión de incertidumbre hacia la economía uruguaya desde sus principales socios comerciales para el período 2005 - 2018

ISSNISSN/ISBN: 2301-1963
AutorAuthor/s: Gopar, Mauro
In recent years, much progress has been made in the study of macroeconomic uncertainty, especially due to the development of a methodology for processing newspaper articles that allows us to quantify uncertainty about economic policy. This new impulse promoted research on possible links of this phenomenon between countries and towards the main macroeconomic aggregates. In this paper, a dynamic linear model is proposed that seeks to find transmissions of uncertainty towards Uruguay from its main commercial partners: the United States, China, Europe, Brazil and Argentina, reflected both in the phenomenon's own measure for Uruguay and in the variation year-on-year of its exports. Taking different measures of uncertainty, using a model of Autoregressive Vectors (VAR), simulating the impulse response functions and estimating the forecast error variance decomposition, it is concluded that, in the period 2005-2018, there is a significant positive effect of the uncertainties of the United States, Brazil, China and Europe on the Uruguayan. The first two are the largest, contributing up to 18.70% and 7.43%, respectively. On the other hand, the year-on-year variation in exports reacts to innovations in the uncertainties of China and Europe, being more susceptible to events in the Asian country. In all cases the effects are weak and the highest proportion of the forecast error variance corresponds to the variable itself, in any of the specifications. The conclusions are subject to the uncertainty measures considered: the lack of a homogeneous measure for the six regions makes it necessary for further research to reach more robust results. 
 
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