Spillover effects of US uncertainty: does the type of US uncertainty matter?

YILDIRIM Z.

APPLIED ECONOMICS, vol.55, no.29, pp.3365-3389, 2023 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 55 Issue: 29
  • Publication Date: 2023
  • Doi Number: 10.1080/00036846.2022.2114997
  • Journal Name: APPLIED ECONOMICS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, Periodicals Index Online, ABI/INFORM, Business Source Elite, Business Source Premier, CAB Abstracts, EconLit, Geobase, Index Islamicus, Public Affairs Index, Veterinary Science Database
  • Page Numbers: pp.3365-3389
  • Keywords: US uncertainty, emerging markets, spillovers, two-country VAR, financial conditions, ECONOMIC-POLICY UNCERTAINTY, EMERGING MARKET ECONOMIES, FINANCIAL STRESS, MONETARY-POLICY, MACROECONOMIC UNCERTAINTY, SHOCKS, IMPACT, TRANSMISSION, FLUCTUATIONS
  • Anadolu University Affiliated: Yes

Abstract

This study investigates the spillover effects of US uncertainty shocks on 8 emerging market (EM) economies using a two-country VAR model. The study considers four different types of US uncertainty, namely, (i) financial, (ii) macroeconomic, (iii) economic policy and (iv) aggregate uncertainty. Then, the study compares the spillover effects of four US uncertainty measures on EMs. The main findings are as follows: (1) US uncertainty shocks negatively affect EMs. (2) The spillover effects rely on the source of US uncertainty and vary across EMs. (3) EM financial conditions play a significant role in transmitting the effects of US uncertainty shocks to the real economies of EMs. These findings suggest that EM policy-makers should be aware of the sources of US uncertainty shocks and react accordingly to such shocks.