This article provides empirical evidence on the evolution of the impact of external shocks on the macroeconomic dynamics of the Pacific Alliance (PA) countries. For this purpose, we estimate a family of VAR models that allows time variation (or constancy) of parameters, including the variance matrix (TVP-VAR-SV). The results suggest that: (i) fluctuations from China create the most significant and persistent responses: a 1% increase in China’s growth raises growth by 0.3%-0.4% during the first year in Chile, Colombia, and Mexico; and by 0.8% in Peru; (ii) responses to export price shocks evolve considerably over time; e.g., the impact on growth in Chile and Peru tripled in 1994-2009 and then moderated until 2019; and (iii) unexpected Fed rate increases result in significant increases in AP countries’ monetary policy rates, an effect that escalates during crisis periods and further de...