Economic Policy Uncertainty in Latin America: Measurement using Spanish Newspapers and Economic Spillovers

66 Pages Posted: 28 Jul 2020

See all articles by Corinna Ghirelli

Corinna Ghirelli

Banco de España

Javier J. Pérez

Banco de España - Research Department

Alberto Urtasun

Banco de España

Date Written: July 27, 2020

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.

Keywords: economic policy uncertainty, uncertainty shocks, Latin America’s economies

JEL Classification: D8, C43, E2, E3

Suggested Citation

Ghirelli, Corinna and Perez, Javier J. and Urtasun, Alberto, Economic Policy Uncertainty in Latin America: Measurement using Spanish Newspapers and Economic Spillovers (July 27, 2020). Banco de Espana Working Paper No. 2024, Available at SSRN: https://ssrn.com/abstract=3661499 or http://dx.doi.org/10.2139/ssrn.3661499

Corinna Ghirelli (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Javier J. Perez

Banco de España - Research Department ( email )

Alcala 50
28014 Madrid
Spain

HOME PAGE: http://www.bde.es/investigador/staff/95.htm

Alberto Urtasun

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

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