Economic policy uncertainty in Latin America: measurement using Spanish newspapers and economic spillovers
Series: Working Papers. 2024.
Author: Corinna Ghirelli, Javier J. Pérez and Alberto Urtasun.
Published in: Latin American Journal of Central Banking. Volume 2, Issue 2, June 2021, Art 100029
Full document
Abstract
We construct Economic Policy Uncertainty (EPU) indexes for a number of Latin American
(LA) economies (Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela) and the
region as a whole based on the Spanish press. Our measures are comparable across
countries. We study the macroeconomic effects of LA EPU shocks on the analyzed
American economies and the Spanish economy. To study the international spillover
effects on the Spanish economy we carry out two exercises by means of vector
autoregression models. First, we estimate responses to unexpected shocks in LA EPU
of the quotations of Spanish companies which are highly exposed to Latin America.
Second, we study the impact of LA EPU shocks on Spanish macroeconomic aggregates.
Unexpected shocks in LA EPU dampen signicantly the commercial relationship between
Spain and LA countries. Spanish firms decrease their exports and foreign direct
investments towards LA countries that experience negative shocks in EPU.