Migration Fear, Uncertainty, and Macroeconomic Dynamics

Michael Donadelli, Luca Gerotto (), Marcella Lucchetta () and Daniela Arzu ()
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Luca Gerotto: Ca' Foscari University of Venice
Marcella Lucchetta: Ca' Foscari University of Venice
Daniela Arzu: Ca' Foscari University of Venice

No 2018:29, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: This paper examines the effects of changes in immigration-related uncertainty and fear on the real economic activity in four advanced economies (i.e., US, UK, Germany and France). Immigration uncertainty/fear is first captured by two news-based indicators developed by Baker et al. (2015), namely the Migration Policy Uncertainty Index (MPUI) and the Migration Fear Index (MFI), and then by a novel Google Trend Migration Uncertainty Index based on the frequency of internet searches for "immigration" (GTMU). VAR investigations suggest that the macroeconomic implications of rising immigration uncertainty/fear depend on the country under examination as well as on the way in which immigration uncertainty/fear is measured. In the US and UK, MPUI, MFI and GTMU shocks induce positive long-run effects on the real economic activity. Differently, in Germany, MPUI and MFI shocks lead to expansionary reactions whereas GTMU shocks generate significant adverse effects on the economy. This suggests that increasing media attention and rising population's interest in immigration-related issues affect people's mood in a different way. In France, MPUI, MFI and GTMU shocks induce negative macroeconomic effects in the long-run. A battery of robustness tests confirms our main findings.

Keywords: Immigration; Uncertainty; Fear; Google Trends; Business Cycle (search for similar items in EconPapers)
JEL-codes: C32 E32 G41 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2018
New Economics Papers: this item is included in nep-bec, nep-big, nep-eec, nep-mac and nep-mig
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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2018:29

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