International Comparison of Climate Change News Index with an Application to Monetary Policy

Takuji Fueki, Takeshi Shinohara and Mototsugu Shintani
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Takuji Fueki: Hitotsubashi University (E-mail: takuji.fueki@r.hit-u.ac.jp)
Takeshi Shinohara: Deputy Director and Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: takeshi.shinohara@boj.or.jp)
Mototsugu Shintani: The University of Tokyo (E-mail: shintani@e.u-tokyo.ac.jp)

No 24-E-03, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: We construct a Climate Change News (CCN) index which measures attention to climate change risk for Japan, based on text information from newspaper articles. We compare our index with the original WSJ Climate Change News index of Engle et al. (2020) for the U.S. (WSJ-CCN index), as well as other measures of macroeconomic uncertainty. We find that the correlation between the CCN indexes of the U.S. and Japan is much higher than the correlation between the CCN index and other uncertainty measures in either of those countries. We also find that shocks to the CCN indexes have significantly negative effects on economic sentiment, but have ambiguous effects on industrial production. This contrasts with the fact that, for both the U.S. and Japan, other uncertainty shocks have negative effects on both economic sentiment and industrial production. As an application of the CCN indexes, we investigate if the effectiveness of monetary policy depends on the degree of attention to climate change risks.

Keywords: Climate Change; Text Analysis; Monetary Policy; Nonlinear Local Projection (search for similar items in EconPapers)
JEL-codes: E32 E52 Q54 (search for similar items in EconPapers)
Date: 2024-04
New Economics Papers: this item is included in nep-cba, nep-env and nep-mon
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