Text as data: a machine learning-based approach to measuring uncertainty

2020/06/11 by Rickard Nyman, Nyman, Rickard, Paul Ormerod +1
Economics, Econometrics and Finance · #Climate Change Policy and Economics #Econometrics (econ.EM) #FOS: Economics and business #Market Dynamics and Volatility #Monetary Policy and Economic Impact

paper · pdf · doi:10.48550/arxiv.2006.06457

openalex publication_date 2020/06/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The Economic Policy Uncertainty index had gained considerable traction with both academics and policy practitioners. Here, we analyse news feed data to construct a simple, general measure of uncertainty in the United States using a highly cited machine learning methodology. Over the period January 1996 through May 2020, we show that the series unequivocally Granger-causes the EPU and there is no Granger-causality in the reverse direction

Citations

• Statistical inference in vector autoregressions with possibly integrated processes

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