A new economic policy uncertainty index for Spain

Abstract

The Working Paper Series seeks to disseminate original research in economics and fi nance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment. The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem. The Banco de España disseminates its main reports and most of its publications via the Internet at the following website: http://www.bde.es. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.

Economic Policy Uncertainty in Latin America: Measurement using Spanish Newspapers and Economic Spillovers

“…Perú and Colombia. Overall, the magnitude of our responses is reasonable and in line with that found for Spain(Ghirelli et al, 2019).Brazil, Chile, Colombia, and Mexico (see https://www.policyuncertainty.com/). The latter and our EPU measures differ in three dimensions: (i) the press coverage; (ii) the time coverage; (iii) the keywords in the search expressions.…”

“…coefficients capturing the dynamics of the system, and t : N (0, Ω) is the vector of reducedform residuals having zero mean and variance-covariance matrix Ω. The variables in X t are the following: the aggregated EPU of the LA region, the EPU for Spain (as measured in Ghirelli et al (2019)), the Spanish 10-year sovereign debt spread over the German Bund, the Spanish real GDP (monthly estimates of GDP quarterly growth rates), 12 the inflation rate (monthly growth rates of consumer price index), the Euro Stoxx 50 indicator (monthly growth rate), and an aggregated index that represents the quotations of selected companies that either have interests in the region or do not. In either case, we aggregate the monthly growth rates of company-specific quotations by weighting each company with its market capitalization.…”

The Economic Policy Uncertainty Index for Flanders, Wallonia and Belgium

“…The specific implementation requires choices in terms of news data provider, newspaper selection, keywords, and reference period for the standardization. Ghirelli et al (2019) show the sensitivity of the index construction to the amount of newspapers considered, and the number of keywords. We accord with their guidelines by considering more than two newspapers and enlarging the set of keywords used.…”

Pruned Wasserstein Index Generation Model and wigpy Package

“…Recently, the Wasserstein Index Generation model (Xie, 2020) was proposed to generate time-series sentiment indices automatically. There have been several methods (Azqueta-Gavaldón, 2017;Baker, Bloom, & Davis, 2016;Castelnuovo & Tran, 2017;Ghirelli, Pérez, & Urtasun, 2019) proposed to generate time series sentiment indices, but, to the best of my knowledge, WIG is the first automatic method to produce sentiment indices completely free of manual work.…”