Economic policy uncertainty and unemployment in the United States: A nonlinear approach

Abstract

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Forecasting European economic policy uncertainty

“…Although the effects of policy uncertainty on economic conditions have attracted the interest of academic research for over 35 years (see, for instance, Marcus, ; Bernanke, ; Colombo, ), such an interest has reemerged since the Global Financial Crisis of 2007–2009, the European sovereign debt crisis since 2010, as well as more recently with the Trump's win in the US elections and the United Kingdom's referendum vote for Brexit (Antonakakis et al ., ; New York Times, ; Bloomberg, ; Caggiano et al ., ).…”

Non-macro-based Google searches, uncertainty, and real economic activity

“…(For interpretation of the references to colour in this figure legend, the reader is referred to the web version of this article.) uncertainty shocks and rising policy uncertainty, 68% bootstrapped confidence intervals are also reported (Caggiano et al, 2014(Caggiano et al, , 2017; Castelnuovo and Tran, 2017). 10 Fig.…”

“…The internet search intensity for the aforementioned non-macro topics is captured at monthly frequency for the period January 2004 -December 2017. In the spirit of recent studies focusing on the macroeconomic and financial implications of rising either news-based macroeconomic policy uncertainty or Google search-based macroeconomic policy uncertainty (see, among others, Dzielinski, 2012;Colombo, 2013;Da et al, 2015;Donadelli, 2015;Caggiano et al, 2017;Castelnuovo and Tran, 2017), our Google searches are limited to the US, where the market share of online search market held by Google is above 60%. 1 Moreover, focusing on the US allows us to compare the effects of Google search-based macroeconomic policy uncertainty shocks with those generated by a shock to our newly developed NM-GSIs.…”

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

“…The authors show that their index captures important events in the US history very well and additionally explains implied volatility and is related to a drop in industrial production. Caggiano, Castelnuovo, and Figueres (2017) further document that economic policy uncertainty shocks have an effect on unemployment at business cycle frequencies, particularly in recessions. The Baker, Bloom, and Davis (2016) index is very well elaborated for Western countries; however, the index is not available for smaller European economies: First, to construct the index, one needs to have a certain language proficiency of the respective country's language to select the correct term to look for.…”