Developing news-based Economic Policy Uncertainty index with unsupervised machine learning

Azqueta-Gavaldón, Andrés

doi:10.1016/j.econlet.2017.06.032

Cited by 65 publications

(42 citation statements)

References 12 publications

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“…Consistent with previous studies [4], I filter the textual data by removing stopwords, convert all words into lower cases, and transform each word into its root (stemming). Finally, to find the most likely value of topics K for this specific corpus, I use the likelihood method.…”

Section: Policy Uncertainy In the Ukmentioning

confidence: 99%

“…I measure policy uncertainty for the UK using the approach proposed by [4], which is an alternative to Baker's et al (2016) news-based policy uncertainty index. This alternative approach uses an algorithm that unveils the themes of articles without the need for prior knowledge about their content.…”

Section: Policy Uncertainy In the Ukmentioning

confidence: 99%

“…Nonetheless, a direct maximization is susceptible of local maxima and slow convergence [6]. Following [4], I use online variational Bayes as proposed by [7]. This method approximates the posterior distribution of P(w i |z i = j) and P(z i = j) using an alternative and simpler distribution: P(z|w) , and associated parameters.…”

Section: Policy Uncertainy In the Ukmentioning

confidence: 99%

“…Figure 2 shows the evolution of the overall policy uncertainty index and each of its eight sub-indices from Jan 1997 to June 2017 (included). To produce each time series I follow the approach of [4]: Firstly, each article was labelled according to its most representative topic (the topic with the highest percentage in the article). Secondly, a raw count of the number of articles for every topic in each month was produced.…”

Section: Policy Uncertainy In the Ukmentioning

confidence: 99%

“…This methodology [4], allows unveiling individual components of policy uncertainty to be tested against financial investment. An exercise using a VectorAutoregressive approach -commonly used in finance for forecasting -reveals that fiscal and geopolitical uncertainty explain the biggest drop in net financial investment.…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

Financial investment and economic policy uncertainty in the UK

Azqueta-Gavaldón

2017

Proceedings of the 1st International Conference on Internet of Things and Machine Learning

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UK based financial firms following Brexit reported net disinvestment of 15 billion pounds. This was the fifth time financial disinvestment occurred since the production of this data: 1987. Parallel to this event, Economic Policy Uncertainty (EPU) in the UK experienced its biggest rise during Brexit June 2016. This note studies the relationship between EPU and its particular components and financial investment. I find that overall EPU and specifically fiscal policy, monetary policy, geopolitical, regulation and liquidity uncertainty have the highest negative sensitivity to financial investment.

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Section: Policy Uncertainy In the Ukmentioning

confidence: 99%

Section: Policy Uncertainy In the Ukmentioning

confidence: 99%

Section: Policy Uncertainy In the Ukmentioning

confidence: 99%

Section: Policy Uncertainy In the Ukmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Financial investment and economic policy uncertainty in the UK

Azqueta-Gavaldón

2017

Proceedings of the 1st International Conference on Internet of Things and Machine Learning

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Measuring the Macroeconomic Uncertainty Based on the News Text by Supervised LDA for Investor’s Decision Making

Yono

Izumi

Sakaji

et al. 2020

Advances in Intelligent Systems and Computing

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Uncertainty in an emerging market economy: evidence from Thailand

Apaitan¹,

Luangaram

Manopimoke

2021

Empir Econ

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This paper constructs various measures of domestic and global uncertainty and provides a comprehensive study of their impacts on the Thai economy. Based on a small open economy VAR, global uncertainty delivers deeper and more long-lasting effects when compared to within-country ones. In addition, we find that uncertainty shocks first generate sudden and large declines for stock prices and foreign portfolio investment, before gradually affecting the real economy through investment and trade channels. There is also meaningful heterogeneity among different types of domestic uncertainty. While financial uncertainty matters most for the Thai economy overall, consumption demand largely responds to macroeconomic uncertainty, while economic policy and political uncertainty generates the most persistent effects on investment. Furthermore, fiscal policy uncertainty is a key driver of trade flows while monetary policy uncertainty plays an important role for capital markets.We would like to thank Patcharaporn Leepipatpiboon and Chaitat Jirophat for excellent research assistance. We also appreciate insightful and constructive comments by two anonymous referees. The views expressed in this paper are of the authors and do not necessarily reflect those of the Bank of Thailand.

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Developing news-based Economic Policy Uncertainty index with unsupervised machine learning

Cited by 65 publications

References 12 publications

Financial investment and economic policy uncertainty in the UK

Financial investment and economic policy uncertainty in the UK

Measuring the Macroeconomic Uncertainty Based on the News Text by Supervised LDA for Investor’s Decision Making

Uncertainty in an emerging market economy: evidence from Thailand

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