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The spillover effect of the US uncertainty on emerging economies: a panel VAR approach

Authors: 

Nguyen Ba Trung

Source title: 
Applied Economics Letters, 2018 (ISI)
Academic year of acceptance: 
2018-2019
Abstract: 

The article quantifies the spillover effects of the United States’ (US) uncertainty shocks on emerging economies, using a panel VAR model. We find that the US uncertainty shocks are the risks, and hence drop the capital inflow, investment, consumption, export and output of emerging economies. This also induces a depreciation of emerging market currencies. As a result, our model predicts a fall in short-term interest rate of emerging economies to react against the US uncertainty shocks. Our findings partly help explain the slow recovery of the world economy after the 2008–2009 global financial crisis.