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Economic policy uncertainty in Latin America: measurement using Spanish newspapers and economic spillovers

Author

Listed:
  • Corinna Ghirelli

    (Banco de España)

  • Javier J. Pérez

    (Banco de España)

  • Alberto Urtasun

    (Banco de España)

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.

Suggested Citation

  • Corinna Ghirelli & Javier J. Pérez & Alberto Urtasun, 2020. "Economic policy uncertainty in Latin America: measurement using Spanish newspapers and economic spillovers," Working Papers 2024, Banco de España.
    • Handle: RePEc:bde:wpaper:2024
    as

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    References listed on IDEAS

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    Cited by:

    1. Andres–Escayola, Erik & Berganza, Juan Carlos & Campos, Rodolfo G. & Molina, Luis, 2023. "A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    2. International Economics and Euro Area Department, 2021. "Report on the Latin American economy. First half of 2021. Outlook, vulnerabilities and policy space," Economic Bulletin, Banco de España, issue 2/2021.
    3. Banco de España, 2020. "Report on the Latin American economy. Second half of 2020," Economic Bulletin, Banco de España, issue 4/2020.

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    More about this item

    Keywords

    economic policy uncertainty; uncertainty shocks; Latin America’s economies;
    All these keywords.

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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