The Macroeconomic Effects of Economic Policy Uncertainty in Peru: Evidence from a News-Based Index

This paper presents a new Economic Policy Uncertainty (EPU) index for Peru that spans from 2009 to 2025. The index captures major political and economic events in Peru's recent history. Using vector auto-regressive models (VAR), we show that uncertainty shocks are recessionary. We find that these shocks lead to declines in aggregate output as well as currency depreciation and lower short-term interest rates in domestic currency. These results suggest that the EPU index provides a useful tool for policymakers and researchers to monitor and analyze the economic impacts of uncertainty in Peru.