 Quantifying the spillover effects of U.S. economic policy uncertainty on emerging market economies using GMM-PVAR modelShweta Sikhwal ()
Russian Journal of Economics, 2024, vol. 10, issue 3, 229-245 Abstract: This paper quantifies the spillover effects of economic policy uncertainty (EPU) in the United States on emerging market economies (EMEs). Using a generalized method of moments (GMM) estimation of a panel vector autoregression (PVAR) model on a dataset of 39 EMEs from 2005 to 2019, we find that increased U.S. EPU significantly raises the consumer price index (CPI) and negatively impacts the real GDP of these economies. Additionally, heightened U.S. EPU leads to a depreciation of emerging market currencies and a reduction in short-term interest rates. We employ a news-based EPU index developed by Baker et al. (2016) and conduct robustness checks using forward orthogonal transformation, an alternative EPU index, and by addressing the potential endogeneity of the oil price uncertainty (OPU) index. Our findings highlight the adverse effects of U.S. economic policy uncertainty on key macroeconomic variables in emerging markets, underscoring the importance of stable economic policies and robust institutions to mitigate these impacts. Keywords: economic; policy; uncertainty; GMM-PVAR; spillover; effects; emerging; markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:arh:jrujec:v:10:y:2024:i:3:p:229-245 DOI: 10.32609/j.ruje.10.128666 Access Statistics for this article Russian Journal of Economics is currently edited by Alexey Kudrin More articles in Russian Journal of Economics from ARPHA Platform |
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