A new economic policy uncertainty index for Spain

Corinna Ghirelli, Javier Pérez and Alberto Urtasun

No 1906, Working Papers from Banco de España

Abstract: We construct a new Economic Policy Uncertainty (EPU) index for Spain, building on the influential methodology of Baker, Bloom and Davis (2016), and compare it with the EPU for Spain that these authors provide. We refine the index in several dimensions: we expand the headline newspaper coverage from 2 to 7, including economic-financial ones, use a much richer set of keywords to form the search expressions, and cover a longer sample period. Two results stand out: (i) the new index presents a more consistent chronology of economic policy events; (ii) the macroeconomic effects of uncertainty shocks identified from the new index yield significant negative responses of GDP, private consumption and private investment, compared to mute responses obtained using the original one. Beyond the results for the Spanish case, our results suggest that, in addition to the richness of the keywords in the search expressions, widening the press and time coverage is key to improve the quality of the aggregate EPU index.

Keywords: economic uncertainty; policy uncertainty; uncertainty shocks. (search for similar items in EconPapers)
JEL-codes: C43 D8 E2 E3 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2019-03
New Economics Papers: this item is included in nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (67)

Downloads: (external link)
https://www.bde.es/f/webbde/SES/Secciones/Publicac ... /19/Fich/dt1906e.pdf First version, March 2019 (application/pdf)

Related works:
Journal Article: A new economic policy uncertainty index for Spain (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1906

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().