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

Magnolia Miriam Sosa Castro (), Edgar Ortiz () and Alejandra Cabello-Rosales ()
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Magnolia Miriam Sosa Castro: Metropolitan Autonomous University
Edgar Ortiz: Universidad Nacional Autónoma de México
Alejandra Cabello-Rosales: Universidad Nacional Autónoma de México

Lecturas de Economía, 2023, issue 98, 39-65

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

Keywords: Economic Policy Uncertainty; Capital Market; Exchange Rate; Economic Activity; Dynamic Conditional Correlation (search for similar items in EconPapers)
JEL-codes: C01 D81 F15 F31 G1 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:lde:journl:y:2023:i:98:p:39-65

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DOI: 10.17533/udea.le.n98a349886

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