EPU indexes for the main Latin American countries

We develop indexes of economic policy uncertainty (EPU) for the main Latin American countries. More details about our methodology can be found in these two recent papers: Ghirelli, Pérez y Urtasun (2021)Opens in new window and Andres-Escayola, Ghirelli, Molina, Pérez y Vidal (2022) File PDF: Opens in new window (2 MB).

We consider the following countries: Argentina, Brazil, Chile, Colombia, Mexico and Peru, as we have enough newspapers for all of them.

For each of the countries we construct three types of EPU index, using the largest set of available newspapers with different levels of proximity to the country of interest

  • an index based on local newspapers (in Spanish or Portuguese for the case of Brazil);
  • an index based on foreign newspapers (both Anglophone and Spanish sources);
  • an index based on all of the aforementioned press, weighting equally each source irrespective of the level of proximity to the country of interest.

To construct the EPU index, we follow Baker, Bloom y Davis (2016)Opens in new window and similar papers complied in their webpage Policy Uncertainty websiteOpens in new window. Below we post the keywords used for the Anglo-Saxon press:

  • Uncertainty: uncertain, uncertainty/uncertainties, unstable, instability/instabilities, risk(s).
  • Economy: economic(s), economy.
  • Policy: the name of the central bank of the country, the name of the government's workplace in the country, parliament, government, federal reserve, treasury, tariff(s), deficit(s), budget(s), public spending, debt ceiling, exchange rate(s), currency crash(es), sovereign debt, public debt, fiscal policy/policies, monetary policy/policies, legislation, reform(s), tax(es), overhaul, rule(s), norm(s), normative, regulation(s), law(s).

(for the words in Spanish and Portuguese please see  Andres-Escayola, Ghirelli, Molina, Pérez y Vidal (2022) File PDF: Opens in new window (2 MB).)

We rely on Factiva's indexation to exclude all articles related to sports and leisure and to select articles about the country of interest.

The construction of the indexes is as follows. First, for each newspaper we count the number of articles published in a given month that contain words in the aforementioned blocks of keywords. Second, we express this count as a proportion of articles published by the newspaper in the month. When dealing with the local press, we divide this count by the total number of published articles that month, whereas in the foreign case we use the number of articles published that month that are about the country of interest. Third, we standardize each monthly series of scaled counts by dividing it by its standard deviation. Fourth, for each country we average the newspaper-based standardized series across newspapers to compute an aggregated index. Fifth, we rescale the resulting index to mean 100 to obtain a set of homogeneous country-based EPU indicators.

These indexes will be regularly updated in this webpage, and can be downloaded from this link File XLSX: Opens in new window (104 KB).

Local press

Foreign press

All press