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https://hdl.handle.net/20.500.12008/41722
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Título: | Understanding uncertainty shocks in Uruguay through VAR modeling |
Autor: | Lanzilotta, Bibiana Merlo, Gabriel Mordecki, Gabriela Umpiérrez, Viviana |
Tipo: | Artículo |
Palabras clave: | Economic uncertainty, EPU index, VAR-X, Volatility, Uruguay, COVID-19 |
Descriptores: | CICLOS ECONOMICOS |
Cobertura geográfica: | Uruguay |
Fecha de publicación: | 2023 |
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. |
Editorial: | Springer |
EN: | Journal of Business Cycle Research |
DOI: | https://doi.org/10.1007/s41549-023-00081-5 |
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 |
Licencia: | Licencia Creative Commons Atribución (CC - By 4.0) |
Aparece en las colecciones: | Artículos - Instituto de Economía |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | ||
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s41549.pdf | "Artículo principal" | 1,05 MB | Adobe PDF | Visualizar/Abrir |
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