Text as data: a machine learning-based approach to measuring uncertainty

Rickard Nyman and Paul Ormerod

Papers from arXiv.org

Abstract: The Economic Policy Uncertainty index had gained considerable traction with both academics and policy practitioners. Here, we analyse news feed data to construct a simple, general measure of uncertainty in the United States using a highly cited machine learning methodology. Over the period January 1996 through May 2020, we show that the series unequivocally Granger-causes the EPU and there is no Granger-causality in the reverse direction

Date: 2020-06
New Economics Papers: this item is included in nep-big
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2006.06457

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