Economic policy uncertainty in Latin American economies: regional connectedness and spillover effects of trade policy uncertainty in US and China

We use a TVP-VAR connectedness approach to measure the regional connectedness of economic policy uncertainty across Latin American economies and the spillover effects on the region of US and China's trade policy uncertainty. The findings suggest the US trade policy uncertainty as a driver of uncertainty from the US presidential elections of 2016 to the end of the sample. Moreover, the results indicate the uncertainty concerning Chinese trade policy as a driver of uncertainty since the beginning of the trade tensions with the US in 2018. Latin America received uncertainty regarding the trade policy of the world superpowers mainly from the beginning of the trade tensions.

本研究采用时变参数向量自回归（Time-Varying Parameter Vector Autoregression, TVP-VAR）联动性分析方法，测度拉美各经济体间经济政策不确定性的区域联动性，以及中美两国贸易政策不确定性对该区域的溢出效应。研究结果表明，自2016年美国总统大选至样本期结束，美国贸易政策不确定性始终是不确定性的核心驱动源；此外，自2018年中美贸易摩擦爆发以来，中国贸易政策相关不确定性同样成为不确定性的驱动因素。拉美经济体主要自2018年贸易摩擦爆发起，便受到中美两大全球超级大国贸易政策不确定性的溢出影响。