Uncertainty in a disaggregate model: A data rich approach using Google search queries

Kalvinder Shields and Trung Duc Tran

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper estimates the impact of uncertainty shocks in a disaggregate model featuring state-level unemployment and uncertainty, which is measured using Google search data. We show that the disaggregate model captures important spillover effects which a model using aggregate data would overlook resulting in significantly different peak responses and time dynamic effects. We find the effect of uncertainty shocks on state-level unemployment is recessionary and heterogeneous. The importance of national factors in propagating the effect of uncertainty is also heterogeneous across states, and overall less relevant than state-level factors. These heterogeneous effects are found to be related to state-specific industry compositions and the fiscal position.

Keywords: Google Trends uncertainty; uncertainty shocks; regional effects (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 73 pages
Date: 2019-11
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... 9_shields_tran_0.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2019-83

Access Statistics for this paper

More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Bibliographic data for series maintained by Cama Admin ().