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Non-macro-based Google searches, uncertainty, and real economic activity

Michael Donadelli and Luca Gerotto

Research in International Business and Finance, 2019, vol. 48, issue C, 111-142

Abstract: We propose a set of novel non-macro-based uncertainty indicators that rely on the frequency of Google searches (NM-GSIs) for the following health-, environmental-, security-, and political-related topics: “Symptom”, “Pollution”, “Terrorism”, and “Election”. By means of VAR investigations, we document that an intensification of people interest in non-macro-based topics harms the US real economic activity. In particular, NM-GSI shocks generate (i) a significant drop in consumer credit and (ii) a mild decrease (increase) in production (unemployment) levels. Noteworthy, rising non-macro-based uncertainty is found to have stronger influence on the outstanding level of consumer credit than rising macro-based uncertainty. Our findings suggest that increasing interest in specific non-macro-based topics might be associated with raising people's anxiety. A battery of robustness checks confirms our main findings.

Keywords: Non-macro-based uncertainty; Google searches; Anxiety; Consumer credit; Business cycle (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.ribaf.2018.12.007

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