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Understanding Uncertainty Shocks in Uruguay through VAR modeling

Author

Listed:
  • Bibiana Lanzilotta

    (Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economía)

  • Gabriel Merlo

    (Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economía)

  • Gabriela Mordecki

    (Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economía)

  • Viviana Umpierrez

    (Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economía)

Abstract

Using different measures of uncertainty indexes, we quantify how economic uncertainty impacts on a set of nominal and real variables in a small and open economy like Uruguay. Our measures of uncertainty are based on two different methods: newspaper-based and composite index-based, covering roughly 15 years of monthly data. The main findings suggest that economic uncertainty has, to a certain extent, an impact on the real economy, whereas we find no evidence over the financial sector. This result can be linked to the high stability of the Uruguayan economy and the small size of its financial sector.

Suggested Citation

  • Bibiana Lanzilotta & Gabriel Merlo & Gabriela Mordecki & Viviana Umpierrez, 2020. "Understanding Uncertainty Shocks in Uruguay through VAR modeling," Documentos de Trabajo (working papers) 20-17, Instituto de Economía - IECON.
    • Handle: RePEc:ulr:wpaper:dt-17-20
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    File URL: https://hdl.handle.net/20.500.12008/26896
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    More about this item

    Keywords

    economic uncertainty; EPU index; VAR; volatility; Uruguay;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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