Título:
Understanding uncertainty shocks in Uruguay through VAR modeling
Otros títulos:
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Autor:
Lanzilotta, Bibiana
Merlo, Gabriel
Mordecki, Gabriela
Umpiérrez, Viviana
Merlo, Gabriel
Mordecki, Gabriela
Umpiérrez, Viviana
Tutor:
Tipo de documento:
Artículo
Editor:
Palabras clave:
Economic uncertainty
EPU index
VAR-X
Volatility
Uruguay
COVID-19
EPU index
VAR-X
Volatility
Uruguay
COVID-19
Descriptores:
CICLOS ECONOMICOS
Año de publicación:
2023
Contenido:
Resumen:
This study introduces a first set of uncertainty indexes for Uruguay (a newspaper-based index and a composite index-based) to analyze how economic uncertainty impacts domestic variables in a small and open economy such as Uruguay, which is exposed to international, regional, and local uncertainty. The analysis covers approximately 15 years and uses the vector autoregressive methodological framework. The main findings suggest that economic uncertainty significantly impacts the real economy and does not impact the nominal variables. These findings which differentiate from other results found in the empirical literature, can be associated with the stability of the Uruguayan economy and the strong institutions, which may help mitigate external shocks. To assess the capability of the proposed uncertainty model to predict macroeconomic variables, we evaluate its predictive performance within the last major uncertainty shock due to the COVID-19 pandemic.
Descripción:
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Editorial:
Springer
EN:
Journal of Business Cycle Research
Financiadores:
Citación:
LANZILOTTA, Bibiana, MERLO, Gabriel, MORDECKI, Gabriela y otros. "Understanding uncertainty shocks in Uruguay through VAR modeling". Journal of Business Cycle Research, 2023.https://doi.org/10.1007/s41549-023-00081-5
Citación:
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Otros identificadores:
Cobertura geográfica:
Uruguay
Cobertura temporal:
Departamento académico:
Grupo de investigación:
Licencia:
Licencia Creative Commons Atribución (CC - By 4.0)
Colecciones:
| Ficheros | Descripción | Tamaño | Formato | ||
|---|---|---|---|---|---|
| s41549.pdf | "Artículo principal" | 1.02 MB | Adobe PDF |