Understanding Uncertainty Shocks in Uruguay through VAR modeling

Bibiana Lanzilotta, Gabriel Merlo (), Gabriela Mordecki and Viviana Umpierrez ()
Additional contact information
Gabriel Merlo: Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economía
Viviana Umpierrez: Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economía

No 20-17, Documentos de Trabajo (working papers) from Instituto de Economía - IECON

Abstract: Using different measures of uncertainty indexes, we quantify how economic uncertainty impacts on a set of nominal and real variables in a small and open economy like Uruguay. Our measures of uncertainty are based on two different methods: newspaper-based and composite index-based, covering roughly 15 years of monthly data. The main findings suggest that economic uncertainty has, to a certain extent, an impact on the real economy, whereas we find no evidence over the financial sector. This result can be linked to the high stability of the Uruguayan economy and the small size of its financial sector.

Keywords: economic uncertainty; EPU index; VAR; volatility; Uruguay (search for similar items in EconPapers)
JEL-codes: D80 E32 E37 E44 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2020-10
New Economics Papers: this item is included in nep-lam and nep-mac
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hdl.handle.net/20.500.12008/26896

Related works:
Journal Article: Understanding Uncertainty Shocks in Uruguay Through VAR Modeling (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ulr:wpaper:dt-17-20

Access Statistics for this paper

More papers in Documentos de Trabajo (working papers) from Instituto de Economía - IECON Contact information at EDIRC.
Bibliographic data for series maintained by Lorenza Pérez ().