Time-frequency analysis of economic policy uncertainty and its relationship with exchange rates: application to Latin American countries, 2010 - 2022

José Aicardo Rúa () and Nini Johana Marín-Rodríguez ()
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José Aicardo Rúa: Universidad de Medellín
Nini Johana Marín-Rodríguez: Universidad de Medellín

Lecturas de Economía, 2024, issue 102, 93-131

Abstract: This paper offers a fresh perspective on the relationship between the Economic Policy Uncertainty (EPU) index and exchange rates in Latin American countries (Brazil, Chile, Colombia, and Mexico). Employing Wavelet Power Spectrum and Coherence Analyses on monthly data (January 2010 to May 2022). The findings reveal a consistent positive correlation between the EPU index and exchange rates across short, medium, and long-term. These results underscore the intricate link between economic uncertainty and exchange rates, emphasizing the need for careful economic policy management and consideration of political events to foster stability and economic growth in these nations

Keywords: Time-frequency analysis; Financial Econometrics; Foreign Exchange; Financial Risk; Uncertainty; Latin America (search for similar items in EconPapers)
JEL-codes: E66 F31 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:lde:journl:y:2024:i:102:p:93-131

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DOI: 10.17533/udea.le.n102a356728

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