Mexico Monthly Index

Download Data                                  Annotated Mexico EPU Index

We are pleased to introduce a new Economic Policy Uncertainty Index for Mexico that runs from January 1996 to the present.

Newspaper coverage of policy-related economic uncertainty

We construct the Economic Policy Uncertainty (EPU) Index for Mexico in the same manner as our newspaper-based EPU Index for the United States, following the methods in "Measuring Economic Policy Uncertainty" by Baker, Bloom and Davis.

Specifically, we rely on digital text archives for El Norte and Reforma from January 1996 and for Mural from January 1999. For each newspaper and month, we first count the number of articles that contain one or more terms from each of the following three term sets:

  • E: {económica, economía}
  • P: {regulación, regulaciones, deficit, deficits, presupuesto, presupuestos, "Banco de México", BdeM, Banxico, "Los Pinos", "Congreso General", senado, "Cámara de Diputados," legislación, legislaciónes, ley, leyes, arancel, aranceles, impuesto, tributación, impuestos, tributaciones, military, militares, Guerra, guerras, "la Fed", "la Reserva Federal"}
  • U: {incierto, incertidumbre}

Second, to obtain the EPU rate for each paper, we scale the raw EPU counts by the number of all articles in the same newspaper and month. We use a regression-based method to impute the EPU rate for Mural from January 1996 to December 1998.

Next, we standardize each paper's EPU rate to unit standard deviation from January 1996 to December 2016. Lastly, we average the standardized EPU rates across papers by month and then multiplicatively rescale the resulting series to a mean of 100 from January 1996 to December 2016. An annotated plot of our resulting baseline EPU Index for Mexico is available by clicking "Download the Annotated Index" above.

As a sensitivity check, we constructed several variants of our baseline Mexico EPU Index by modifying our term sets as follows:

  • Baseline - War: Removing "guerra" and "guerras" from the baseline P term set.
  • Baseline - Fed: Removing "la Fed" and "la Reserva Federal" from the baseline P term set.
  • Baseline + Tax: Adding "se desconoce" and "no se sabe con certeza" to the baseline P term set.
  • Baseline + Exec: Adding "Suprema Corte", "Presidencia", "president" and "ejecutivo" to the baseline P term set.
  • Baseline + Exch: Adding "tipo de cambio", "devaluación" and "depreciación" to the baseline P term set.

These five variants yield indices that are very highly correlated with our baseline index, as seen in the chart below.

We thank Sebastian Edwards, Leonardo Iacovone, Daniel Isaac, Mariana De La Paz Pereira Lopez, Esteban Rossi-Hansberg, Brenda Samaniego de la Parra, Ricardo Samaniego Breach and research staff at the Bank of Mexico for many helpful comments on a preliminary version of our EPU Index for Mexico. Hanna Ni provided outstanding assistance.