A Language-Independent Measurement of Economic Policy Uncertainty in Eastern European Countries

Kupfer, Alexander; Zorn, Josef

doi:10.1080/1540496x.2018.1559140

Cited by 15 publications

(16 citation statements)

References 26 publications

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“…For example,Castelnuovo and Tran (2017) subjectively selected search terms "referring to words that are connected to uncertainty" reported in sentences of "various editions of the Beige Book and the Monetary Policy Statements". Similarly, the indexes ofDonadelli and Gerotto (2018) andKupfer and Zorn (2019) derive from two specific features of the search volume extraction on Google Trends (search topics and search categories) that do not depend on specific lists of search terms, and for this reason are unseen boxes the contents of which cannot be validated.…”

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confidence: 99%

Uncertainty, Perception and the Internet

et al. 2019

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Macroeconomic uncertainty consists of three components: the unobservable, the heterogeneous and the "uncertain". We are unaware of exactly when economic agents perceive uncertainty and which type of uncertainty interests them. This paper introduces and outlines a way of conducting large-scale data searches on the Web. We create the EURQ index of "economic uncertainty related queries" for both the USA and Italy. We show that the EURQ encapsulates agents' need to gather more information during periods of uncertainty. This need either spontaneously arises in the case of macro-real and political uncertainty, or is induced by the media in the case of normative and financial uncertainty. This distinction is extremely important when trying to understand the immediate impact of fiscal policy uncertainty on economic variables, and how financial shocks can produce a significant short-term impact on economic activity. It is also helpful when trying to solve the identification and endogeneity issues encountered in the literature when assessing the role of uncertainty.

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confidence: 99%

Uncertainty, Perception and the Internet

et al. 2019

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“…For five countries, it shows a significant response of bond yields and industrial production. In contrast, the Google Trends topic-based uncertainty proxy constructed by Kupfer and Zorn (2019) yielded far fewer significant responses (shares: US, UK, and France; bonds: US and UK; industrial production: Canada).…”

Section: Country-specific Resultsmentioning

confidence: 86%

“…After deleting recurring ones, the process ultimately returned 156 topics. Additionally, the four news categories suggested by Kupfer and Zorn (2019) were also included.…”

Section: Construction Approachmentioning

confidence: 99%

“…The in the paragraph above mentioned procedure resulted in 13 queries: twelve topics and one news category. Only one query, namely the news category, is identical to the 14 queries used by Kupfer and Zorn (2019). To construct the Google Trends Topic Uncertainty indicator (GTTU) for each country, the remaining queries were aggregated in accordance with the suggestion made by Bontempi et al (2018) to obtain uncertainty indicators for each country.…”

Section: Construction Approachmentioning

confidence: 99%

“…With this option, extending the uncertainty proxy to every Google-using country is fairly straightforward, provided that the relevant topics are identified. Until now, this approach had only been used by Kupfer and Zorn (2019) with ten topics and four categories; no selection criteria for the topics or categories were provided. Nonetheless, they found a statistically significant influence on stock market volatility.…”

Section: Introductionmentioning

confidence: 99%

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Google Trends Topic-Based Uncertainty: A Multi-National Approach

Schütze

2020

CARMA 2020 - 3rd International Conference on Advanced Research Methods and Analytics

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Several studies have shown that uncertainty among economic actors influences business cycle dynamics. This paper uses Google Trends topic queries to construct an uncertainty proxy that can be applied to every country where Google is active. Using a VAR approach, this paper demonstrates that the obtained impulse-response functions of main economic indicators to a one-standard deviation shock to the constructed indicator, are similar to those from an already-existing uncertainty proxy, the EPU. This is true for the G7 countries and Russia. On average, the uncertainty indicator constructed for this paper leads to more statistically significant responses than does the EPU. Thus, this paper shows that Google Trends is a helpful tool for obtaining timely information about uncertainty among economic actors. The main improvement in this uncertainty proxy is in its language independence. Existing uncertainty-measurement approaches, in contrast, rely on certain keywords that often vary across countries.

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Global risks, the macroeconomy, and asset prices

et al. 2022

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We propose a novel index of global risks awareness (GRAI) based on the most concerning risks—classified in five categories (economic, environmental, geopolitical, societal, and technological)—reported by the World Economic Forum (WEF) according to the potential impact and likelihood occurrence. The degree of public concern toward these risks is captured by Google search volumes on topics having the same or similar wording of that one of the WEF Global Risk Report. The dynamics of our GRAI exhibits several spillover episodes and indicates that concerns on the five different categories of global risks are—on average—highly interconnected. We further examine the interconnection between global risks perceptions and the macroeconomy and find that concerns on economic-, geopolitical-, and societal-related risks are net shock transmitters, whereas the macroeconomic variables are largely net receivers. Finally, we perform standard cross-sectional asset pricing tests and provide evidence that rising interconnection among global risks awareness commands a positive and statistically significant risk premium.

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A Language-Independent Measurement of Economic Policy Uncertainty in Eastern European Countries

Cited by 15 publications

References 26 publications

Uncertainty, Perception and the Internet

Uncertainty, Perception and the Internet

Google Trends Topic-Based Uncertainty: A Multi-National Approach

Global risks, the macroeconomy, and asset prices

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