Google It Up! A Google Trends-Based Uncertainty Index for the United States and Australia

Efrem Castelnuovo and Trung Duc Tran
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Trung Duc Tran: Department of Economics, The University of Melbourne

Melbourne Institute Working Paper Series from Melbourne Institute of Applied Economic and Social Research, The University of Melbourne

Abstract: We develop uncertainty indices for the United States and Australia based on freely accessible, real time Google Trends data. Our Google Trends Uncertainty (GTU) indices are found to be positively correlated to a variety of alternative proxies for uncertainty available for these two countries. VAR investigations document an economically and statistically significant contribution to unemployment dynamics by GTU shocks in the United States. In contrast, the contribution of GTU shocks to unemployment dynamics in Australia is found to be much milder and substantially lower than that of monetary policy shocks.

Keywords: Google Trends Uncertainty indices; uncertainty shocks; unemployment dynamics; VAR analysis (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Pages: 25pp
Date: 2017-10
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (94)

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Related works:
Working Paper: Google it up! A Google Trends-based Uncertainty Index for the United States and Australia (2018)
Journal Article: Google It Up! A Google Trends-based Uncertainty index for the United States and Australia (2017)
Working Paper: Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia (2017)
Working Paper: Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia (2017)
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