Time-Varying Spillover of US Trade War on the Growth of Emerging Economies

Oguzhan Cepni, David Gabauer, Rangan Gupta and Khuliso Ramabulana ()
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Khuliso Ramabulana: Department of Economics, University of Pretoria, Pretoria, 0002, South Africa

No 202002, Working Papers from University of Pretoria, Department of Economics

Abstract: In the wake of an unprecedented increase in the trade policy-related uncertainty of the US since 2017, we analyze the ability of a newspaper-based trade policy uncertainty index of the US in predicting the growth rate of emerging market economies using a novel multivariate time-varying causality framework. We provide overwhelming evidence of the role of trade uncertainty in negatively impacting the growth of emerging markets in a statistically significant manner, with the effect being on the rise since the Great Recession. Our results are robust to the usage of an alternative econometric methodology, metric of trade uncertainty, and also over an out-of-sample forecasting exercise. Policy conclusions of our results are discussed.

Keywords: Trade Policy Uncertainty of the United States; Time-Varying Multivariate Causality; Emerging Market Economies (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2020-01
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202002

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