Perceived macroeconomic uncertainty and export: evidence from cross-country data

Figures & data

Table 1. Descriptive statistics of variables.

Variables	Mean	SD	Min.	Max.	Observation
${\text{export}}_{ij,t}$	1215.59	4722.38	0.01	117,642.3	118,126
$pm{u}_{i,t-1}$	0.37	0.25	0.02	1.43	104,490
$pm{u}_{j,t-1}$	0.37	0.25	0.02	1.43	104,644
$gd{p}_{i,t}$	314,586.7	649,662.2	1212.44	4,940,866	116,424
$gd{p}_{j,t}$	315,496.4	653,507.9	1212.44	4,940,866	116,401
$re{x}_{ij,t-1}$	202.55	1269.46	0.00	39,203.74	115,515
$\mathit{dis}{t}_{ij}$	7671.91	5236.75	117.35	19,772.34	119,008
${\text{border}}_{ij}$	0.05	0.22	0	1	119,196
${\text{fta}}_{ij}$	0.32	0.47	0	1	119,061
${\text{lang}}_{ij}$	0.05	0.22	0	1	119,196
$\mathit{currenc}{y}_{ij,t}$	0	0.06	0	1	119,196

Source: IMF IFS, personal website of Sheng and Jose De Sousa, CEPII, and author’s calculations.

Table 2. Basic regression results.

	（1）	(2)	(3)	(4)
	FE	FE	FE	FE
$\text{ln}\hspace{0.17em}({\text{pmu}}_{i,t-1})$	–0.0613*** (0.0126)	–0.0907*** (0.0086)		–0.0687*** (0.0089)
$\text{ln}\hspace{0.17em}({\text{pmu}}_{j,t-1})$	–0.0669*** (0.0127)		–0.1207*** (0.0083)	–0.1141*** (0.0088)
$\text{ln}\hspace{0.17em}({\text{gdp}}_{i,t})$		0.0622*** (0.0099)	0.0498*** (0.0097)	0.0261*** (0.0105)
$\text{ln}\hspace{0.17em}({\text{gdp}}_{j,t})$		0.2912*** (0.0162)	0.2394*** (0.0149)	0.1207*** (0.0172)
$\text{ln}\hspace{0.17em}({\text{rex}}_{ij,t-1})$		–0.0338 (0.0206)	–0.0988*** (0.0100)	–0.0833*** (0.0109)
$\text{ln}\hspace{0.17em}({\text{dis}}_{ij})$		–1.2500*** (0.0060)	–1.2380*** (0.0059)	–1.1982*** (0.0061)
${\text{border}}_{ij}$		0.5851*** (0.0186)	0.4294*** (0.0106)	0.6079*** (0.0186)
${\text{fta}}_{ij}$		0.4531*** (0.0107)	0.2036*** (0.0166)	0.4443*** (0.0109)
${\text{lang}}_{ij}$		0.2020*** (0.0168)	0.2036*** (0.0166)	0.2205*** (0.0168)
${\text{currency}}_{ij}$		–1.5817*** (0.0507)	–1.5569*** (0.0499)	–1.4749*** (0.0500)
Fixed effects of country i	Yes	Yes	Yes	Yes
Fixed effects of country j	Yes	Yes	Yes	Yes
Time fixed effects	Yes	Yes	Yes	Yes
Observations	91,795	96,277	96,289	87,152
Adjusted R^2	0.6450	0.8498	0.8496	0.8454

Note: ***, ** and * denotes significance at 1%, 5% and 10% level, respectively, standard errors are in parenthesis.

Source: The authors.

Table 3. Trade diversion effects of PMU of importing country.

	(1)	(2)
	FE	FE
$\text{ln}\hspace{0.17em}\left(\frac{{\text{pmu}}_{j,t}}{{\text{pmu}\_\text{othergdp}}_{j,t}}\right)$	–0.1344*** (0.0117)	–0.0760*** (0.0083)
Control variables	Not controlled	Controlled
Fixed effects of country i	Yes	Yes
Fixed effects of country j	Yes	Yes
Time fixed effects	Yes	Yes
Observations	103,644	96,893
Adjusted R^2	0.6604	0.8496

Note: ***, ** and * denotes significance at 1%, 5% and 10% level, standard errors are in parenthesis.

Source: The authors.

Table 4. Impact of PMU on export before and after the Great Financial Crisis.

	(1)	(2)	(3)
	FE	FE	FE
$\text{ln}\hspace{0.17em}({\text{pmu}}_{i,t-1})$	–0.1192*** (0.0146)		–0.0921*** (0.0158)
$\text{ln}\hspace{0.17em}({\text{pmu}}_{j,t-1})$		–0.1483*** (0.0135)	–0.0815*** (0.0155)
$\text{ln}\hspace{0.17em}({\text{pmu}}_{i,t-1})*\text{crisis}$	0.0355*** (0.0157)		0.0277* (0.0166)
$\text{ln}\hspace{0.17em}({\text{pmu}}_{j,t-1})*\text{crisis}$		0.0357*** (0.0137)	0.0396*** (0.0152)
Control variables	Controlled	Controlled	Controlled
Fixed effects of country i	Yes	Yes	Yes
Fixed effects of country j	Yes	Yes	Yes
Time fixed effects	Yes	Yes	Yes
Observations	96,277	96,289	87,152
Adjusted R^2	0.8498	0.8496	0.8454

Note: ***, ** and * denotes significance at 1%, 5% and 10% level, standard errors are in parenthesis.

Source: The authors.

Table 5. Impact of PMU on export after adding the EPU variable.

	(1)	(2)	(3)
	FE	FE	FE
$\text{ln}\hspace{0.17em}({\text{pmu}}_{i,t-1})$	–0.0398*** (0.0136)	–0.0428*** (0.0136)	–0.0428*** (0.0136)
$\text{ln}\hspace{0.17em}({\text{pmu}}_{j,t-1})$	–0.0837*** (0.0139)	–0.0835*** (0.0139)	–0.0837*** (0.0139)
$\text{ln}\hspace{0.17em}({\text{epu}}_{i,t-1})$	0.0002 (0.0150)		0.0033 (0.0150)
$\text{ln}\hspace{0.17em}({\text{epu}}_{j,t-1})$		–0.0664*** (0.0150)	–0.0665*** (0.0150)
Control variables	Control	Control	Control
Fixed effects of country i	Yes	Yes	Yes
Fixed effects of country j	Yes	Yes	Yes
Time fixed effects	Yes	Yes	Yes
Observations	21,778	21,778	21,778
Adjusted R^2	0.8322	0.8323	0.8323

Note: ***, ** and * denotes significance at 1%, 5% and 10% level, standard errors are in parenthesis.

Source: The authors.

Table 6. Robustness test using PPML method.

	（1）	（2）	（3）	（4）	（5）	（6）
	PPML	PPML	PPML	PPML	PPML	PPML
$\text{ln}\hspace{0.17em}({\text{pmu}}_{i,t-1})$	–0.0471***	–0.0467***		–0.0704***		–0.0757***
	(0.0101)	(0.0049)		(0.0170)		(0.0172)
$\text{ln}\hspace{0.17em}({\text{pmu}}_{j,t-1})$	–0.0802***	–0.0573***			–0.1813***	–0.1730***
	(0.0116)	(0.0053)			(0.0146)	(0.0152)
$\text{ln}\hspace{0.17em}({\text{pmu}}_{i,t-1})*\text{crisis}$				0.0294*		0.0362***
				（0.0178）		(0.0180)
$\text{ln}\hspace{0.17em}({\text{pmu}}_{j,t-1})*\text{crisis}$					0.1246***	0.1183***
					(0.0149)	(0.0154)
$\text{ln}\hspace{0.17em}\left(\frac{{\text{pmu}}_{j,t}}{\text{pmu}\_{\text{othergdp}}_{j,t}}\right)$			–0.0446***
			(0.0095)
Control variables	Controlled	Controlled	Controlled	Controlled	Controlled	Controlled
Fixed effects of country i	Yes	Yes	Yes	Yes	Yes	Yes
Fixed effects of country j	Yes	Yes	Yes	Yes	Yes	Yes
Pairwise effects	No	Yes	No	No	No	No
Time fixed effects	Yes	Yes	Yes	Yes	Yes	Yes
Observations	87,246	87,246	97,024	96,408	96,401	87,246
PseudoR^2	0.921	0.988	0.920	0.920	0.922	0.921

Note: ***, ** and * denotes significance at 1%, 5% and 10% level, standard errors are in parenthesis.

Source: The authors.

Table A1. The list of countries/regions in this article.

Name of countries/regions	Sample period	Name of countries/regions	Sample period
Argentina	Q1 2002–Q3 2017	Mexico	Q1 2002–Q3 2017
Australia	Q1 2002–Q3 2017	Netherlands	Q1 2002–Q3 2017
Brazil	Q1 2002–Q3 2017	New Zealand	Q1 2002–Q3 2017
Bulgaria	Q4 2007–Q3 2017	Norway	Q1 2002–Q3 2017
Canada	Q1 2002–Q3 2017	Peru	Q1 2002–Q3 2017
Chile	Q1 2002–Q3 2017	Philippines	Q4 2009–Q3 2017
China	Q1 2002–Q3 2017	Poland	Q3 2007–Q3 2017
Colombia	Q1 2002–Q3 2017	Romania	Q3 2007–Q3 2017
Croatia	Q3 2007–Q3 2017	Russia	Q4 2007–Q3 2017
Czech	Q3 2007–Q3 2017	Singapore	Q1 2002–Q3 2017
Estonia	Q3 2007–Q3 2017	Slovak	Q3 2007–Q3 2017
France	Q1 2002–Q3 2017	Slovenia	Q3 2007–Q3 2017
Germany	Q1 2002–Q3 2017	South Korea	Q1 2002–Q3 2017
Hong Kong	Q1 2002–Q3 2017	Spain	Q1 2002–Q3 2017
Hungary	Q3 2007–Q3 2017	Sweden	Q1 2002–Q3 2017
India	Q1 2002–Q3 2017	Switzerland	Q1 2002–Q3 2017
Indonesia	Q1 2002–Q3 2017	Thailand	Q1 2002–Q3 2017
Italy	Q1 2002–Q3 2017	Turkey	Q3 2007–Q3 2017
Japan	Q1 2002–Q3 2017	UK	Q1 2002–Q3 2017
Latvia	Q3 2007–Q3 2017	Ukraine	Q4 2007–Q3 2017
Lithuania	Q3 2007–Q3 2017	United States	Q1 2002–Q3 2017
Malaysia	Q1 2002–Q3 2017	Venezuela	Q1 2002–Q3 2017

Source: The authors.