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Time-Varying Spillover of US Trade War on the Growth of Emerging Economies

Author

Listed:
  • Oguzhan Cepni

    (Central Bank of the Republic of Turkey, Anafartalar Mah. Istiklal Cad. No:10 06050 Ankara, Turkey)

  • David Gabauer

    (Business and Management, Webster Vienna Private University, Praterstraße 23, 1020 Vienna, Austria)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa)

  • Khuliso Ramabulana

    (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa)

Abstract

In the wake of an unprecedented increase in the trade policy-related uncertainty of the US since 2017, we analyze the ability of a newspaper-based trade policy uncertainty index of the US in predicting the growth rate of emerging market economies using a novel multivariate time-varying causality framework. We provide overwhelming evidence of the role of trade uncertainty in negatively impacting the growth of emerging markets in a statistically significant manner, with the effect being on the rise since the Great Recession. Our results are robust to the usage of an alternative econometric methodology, metric of trade uncertainty, and also over an out-of-sample forecasting exercise. Policy conclusions of our results are discussed.

Suggested Citation

  • Oguzhan Cepni & David Gabauer & Rangan Gupta & Khuliso Ramabulana, 2020. "Time-Varying Spillover of US Trade War on the Growth of Emerging Economies," Working Papers 202002, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202002
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    References listed on IDEAS

    as
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    Cited by:

    1. Çepni, Oğuzhan & Gül, Selçuk & Hacıhasanoğlu, Yavuz Selim & Yılmaz, Muhammed Hasan, 2020. "Global uncertainties and portfolio flow dynamics of the BRICS countries," Research in International Business and Finance, Elsevier, vol. 54(C).
    2. Layal Mansour-Ichrakieh, 2021. "The Impact of Israeli and Saudi Arabian Geopolitical Risks on the Lebanese Financial Market," JRFM, MDPI, vol. 14(3), pages 1-24, February.

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    More about this item

    Keywords

    Trade Policy Uncertainty of the United States; Time-Varying Multivariate Causality; Emerging Market Economies;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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