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Time-varying macroeconomic impacts of global economic policy uncertainty to a small open economy: evidence from Indonesia
This paper studies macroeconomic impacts of global economic policy uncertainty shocks to a small open economy. To that end, I use monthly Indonesian data along with a measure of global economic policy uncertainty developed by Baker et al. (2016) and Davis (2016) and estimate a time-varying parameter Bayesian structural VAR with non-recursive identification using framework proposed by Canova and P?rez Forero (2015). I find that global economic policy uncertainty shocks lead to a reduction in prices, interest rate, and trade balance in all global events included in the estimation. The impact on output, however, largely varies across events. A surprise movement of global economic policy uncertainty triggers a contraction in output around the 2008 global financial crisis but, following the 2016 US presidential election, output reacts positively to the shock. Despite these notable variations in the responses of output, the proportion of the forecast error variance of output due to the shock is very small and decreases rapidly over time?which indicates that the shock presents an inconsequential effect to output. Nonetheless, the proportion of the forecast error variance of trade balance due to the shock is considerably higher than the forecast error variance of output and inflation. This further suggests that, via international trade, a global economic policy uncertainty shock could still pose harm for Indonesia.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir | 1 | |
| Bulletin of Monetary Economics and Banking | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : Bulletin of Monetary Economics and Banking 2017 |
|---|---|
| Edisi | Vol. 20, Number 2, Oct. 2017 |
| Subjek | Monetary policy Time Open economy Global economic policy Uncertainty shocks Bayesian structural varying coefficients |
| ISBN/ISSN | 14108046 |
| Klasifikasi | NONE |
| Deskripsi Fisik | - |
| Info Detail Spesifik | Bulletin of Monetary Economics and Banking |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |