International transmission of U.S. macroeconomic shocks in the USMCA region
Abstract We study the international transmission of U.S. real and financial shocks on the USMCA region using a global approach. The study relies on a GVAR (Global Vector Autoregressive) model and generalized impulse-response functions (GIRF). The main findings suggest that: 1) The USMCA economies are contemporaneously linked to the world economy mainly through private credit, international trade and real GDP; 2) shocks on U.S. GDP and U.S. trade flows have higher influence in Canada than in Mexico; 3) shocks on U.S. interest rates have higher influence in Mexico than in Canada; 4) the private credit and the international trade channels are the most important ones for the transmission of international macroeconomic shocks. The study relies on quarterly data for 33 countries of the period 1986:Q1-2019:Q4.
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Universidad Autónoma Metropolitana, Unidad Azcapotzalco, División de Ciencias Sociales y Humanidades
2024
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Online Access: | http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S2448-66552024000100007 |
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oai:scielo:S2448-665520240001000072024-04-22International transmission of U.S. macroeconomic shocks in the USMCA regionAnguiano Pita,Javier EmmanuelRuiz Porras,Antonio Macroeconomic shocks International transmission USMCA GVAR Model GIRFs Abstract We study the international transmission of U.S. real and financial shocks on the USMCA region using a global approach. The study relies on a GVAR (Global Vector Autoregressive) model and generalized impulse-response functions (GIRF). The main findings suggest that: 1) The USMCA economies are contemporaneously linked to the world economy mainly through private credit, international trade and real GDP; 2) shocks on U.S. GDP and U.S. trade flows have higher influence in Canada than in Mexico; 3) shocks on U.S. interest rates have higher influence in Mexico than in Canada; 4) the private credit and the international trade channels are the most important ones for the transmission of international macroeconomic shocks. The study relies on quarterly data for 33 countries of the period 1986:Q1-2019:Q4.info:eu-repo/semantics/openAccessUniversidad Autónoma Metropolitana, Unidad Azcapotzalco, División de Ciencias Sociales y HumanidadesAnálisis económico v.39 n.100 20242024-04-01info:eu-repo/semantics/articletext/htmlhttp://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S2448-66552024000100007en10.24275/uam/azc/dcsh/ae/2024v39n100/anguiano |
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Anguiano Pita,Javier Emmanuel Ruiz Porras,Antonio |
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Anguiano Pita,Javier Emmanuel Ruiz Porras,Antonio International transmission of U.S. macroeconomic shocks in the USMCA region |
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Anguiano Pita,Javier Emmanuel Ruiz Porras,Antonio |
author_sort |
Anguiano Pita,Javier Emmanuel |
title |
International transmission of U.S. macroeconomic shocks in the USMCA region |
title_short |
International transmission of U.S. macroeconomic shocks in the USMCA region |
title_full |
International transmission of U.S. macroeconomic shocks in the USMCA region |
title_fullStr |
International transmission of U.S. macroeconomic shocks in the USMCA region |
title_full_unstemmed |
International transmission of U.S. macroeconomic shocks in the USMCA region |
title_sort |
international transmission of u.s. macroeconomic shocks in the usmca region |
description |
Abstract We study the international transmission of U.S. real and financial shocks on the USMCA region using a global approach. The study relies on a GVAR (Global Vector Autoregressive) model and generalized impulse-response functions (GIRF). The main findings suggest that: 1) The USMCA economies are contemporaneously linked to the world economy mainly through private credit, international trade and real GDP; 2) shocks on U.S. GDP and U.S. trade flows have higher influence in Canada than in Mexico; 3) shocks on U.S. interest rates have higher influence in Mexico than in Canada; 4) the private credit and the international trade channels are the most important ones for the transmission of international macroeconomic shocks. The study relies on quarterly data for 33 countries of the period 1986:Q1-2019:Q4. |
publisher |
Universidad Autónoma Metropolitana, Unidad Azcapotzalco, División de Ciencias Sociales y Humanidades |
publishDate |
2024 |
url |
http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S2448-66552024000100007 |
work_keys_str_mv |
AT anguianopitajavieremmanuel internationaltransmissionofusmacroeconomicshocksintheusmcaregion AT ruizporrasantonio internationaltransmissionofusmacroeconomicshocksintheusmcaregion |
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1798168614179700736 |