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Economic Policy Uncertainty Impact on Mexican Economic Activity and Stock and Currency Markets: a DCC Approach

Author

Listed:
  • Magnolia Miriam Sosa Castro

    (Metropolitan Autonomous University)

  • Edgar Ortiz

    (Universidad Nacional Autónoma de México)

  • Alejandra Cabello-Rosales

    (Universidad Nacional Autónoma de México)

Abstract

We analyze the impact of local and American Economic Policy Uncertainty on economic and financial activity in Mexico, employing monthly data over the period from January1996 to September 2019. To achieve this purpose, a Dynamic Conditional Correlation analysis is proposed. Results evidence that local Economic Policy Uncertainty (EPU) has significant impact on financial variables (stock and currency markets), but not on economic variables (Economic Activity and Industrial Production); on the contrary, American EPU does not have a significant impact on real and financial Mexican variables

Suggested Citation

  • Magnolia Miriam Sosa Castro & Edgar Ortiz & Alejandra Cabello-Rosales, 2023. "Economic Policy Uncertainty Impact on Mexican Economic Activity and Stock and Currency Markets: a DCC Approach," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 98, pages 39-65, January-J.
    • Handle: RePEc:lde:journl:y:2023:i:98:p:39-65
    DOI: 10.17533/udea.le.n98a349886
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    More about this item

    Keywords

    Economic Policy Uncertainty; Capital Market; Exchange Rate; Economic Activity; Dynamic Conditional Correlation;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • F15 - International Economics - - Trade - - - Economic Integration
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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