Uncertainty about the war in Ukraine: Measurement and effects on the German economy

Moritz Grebe, Sinem Kandemir and Peter Tillmann

Journal of Economic Behavior & Organization, 2024, vol. 217, issue C, 493-506

Abstract: We assemble a data set of more than eight million German Twitter posts related to the war in Ukraine. Based on state-of-the-art methods of text analysis, we construct a daily index of uncertainty about the war as perceived by German Twitter. We then estimate a VAR model with daily financial and macroeconomic data and identify an exogenous uncertainty shock. The increase in uncertainty has strong effects on financial markets and causes a significant decline in economic activity as well as an increase in expected inflation. We find the effects of uncertainty to be particularly strong in the first months of the war.

Keywords: War; Twitter; Geopolitical risk; Machine learning; Business cycle (search for similar items in EconPapers)
JEL-codes: D8 E3 G1 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:217:y:2024:i:c:p:493-506

DOI: 10.1016/j.jebo.2023.11.015

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