Abstract

ANGUIANO PITA, Javier Emmanuel  and  RUIZ PORRAS, Antonio. International transmission of U.S. macroeconomic shocks in the USMCA region. Anál. econ. [online]. 2024, vol.39, n.100, pp.7-27.  Epub Apr 23, 2024. ISSN 2448-6655.  https://doi.org/10.24275/uam/azc/dcsh/ae/2024v39n100/anguiano.

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.

Keywords : Macroeconomic shocks; International transmission; USMCA; GVAR Model; GIRFs.