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Sources of economic policy uncertainty in the euro area: a machine learning approach

Andres Azqueta-Gavaldon, Dominik Hirschbühl, Luca Onorante () and Lorena Saiz

Economic Bulletin Boxes, 2019, vol. 5

Abstract: This box presents a model-based economic policy uncertainty (EPU) index for the euro area by applying machine learning techniques to news articles from January 2000 to May 2019. The machine learning algorithm retrieves components of overall EPU, such as trade, fiscal, monetary or domestic regulations, for a wide range of languages. Recently, a steady and pronounced increase in the euro area EPU index has been observed, driven mainly by trade, domestic regulation and fiscal policy uncertainties. JEL Classification: C1, C8, E65

Keywords: Economic Policy Uncertainty; machine learning; sources of uncertainty; text-mining (search for similar items in EconPapers)
Date: 2019-08
Note: 2460732
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Handle: RePEc:ecb:ecbbox:2019:0005:4