Measuring Economic Policy Uncertainty

Baker, Scott R.; Bloom, Nicholas; Davis, Steven J.

doi:10.2139/ssrn.2198490

Cited by 479 publications

(425 citation statements)

References 24 publications

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“…Ades and Chua, 1993) find that political instability has strong negative effects on a country's per capita growth rate. Thus, to assess whether policy uncertainty has an influence on the decisions of bond market investors, we have used the index of economic policy uncertainty (EPU), built by Baker et al (2013), which draws on the frequency of newspaper references to policy uncertainty and other indicators and is available for Germany, France, Italy, Spain, Europe and the United States. A positive sign is also expected for the respective coefficient since policy uncertainty may discourage investments in sovereign debt markets.…”

Section: Datamentioning

confidence: 99%

An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis

Gómez‐Puig

Sosvilla‐Rivero

Ramos-Herrera

2014

The North American Journal of Economics and Finance

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We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries. Besides, without exception, the marginal effects of sovereign spread drivers (specifically, the variables that measure global market sentiment) increased during the crisis compared to the pre-crisis period, especially in peripheral countries. Moreover, the increase in the significance of the banking level of indebtedness and foreign bank's claims in the public sector (mainly in peripheral countries) along with the crisis unfolding seems to highlight the interconnection between private and public debt and thus, between banking and sovereign crises.

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Section: Datamentioning

confidence: 99%

An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis

Gómez‐Puig

Sosvilla‐Rivero

Ramos-Herrera

2014

The North American Journal of Economics and Finance

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“…We compute the monthly share of articles related to German-Greek conflict using an approach similar to Baker et al (2013). Starting from a human audited sample of articles, this procedure selects the terms that jointly best identify articles referring to German-Greek conflict.…”

Section: German-greek Relations During the Greek Crisismentioning

confidence: 99%

Reprisals Remembered: German-Greek Conflict and Car Sales During the Euro Crisis

Fouka

Voth

2013

SSRN Journal

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During the Greek debt crisis after 2010, the German government insisted on harsh austerity measures. This led to a rapid cooling of relations between the Greek and German governments. We compile a new index of public acrimony between Germany and Greece based on newspaper reports and internet search terms. This information is combined with historical maps on German war crimes during the occupation between 1941 and 1944. During months of open conflict between German and Greek politicians, German car sales fell markedly more than those of cars from other countries. This was especially true in areas affected by German reprisals during World War II: areas where German troops committed massacres and destroyed entire villages curtailed their purchases of German cars to a greater extent during conflict months than other parts of Greece. We conclude that cultural aversion was a key determinant of purchasing behavior, and that memories of past conflict can affect economic choices in a time-varying fashion. These findings are compatible with behavioral models emphasizing the importance of salience for individual decisionmaking.JEL: D12, D74, F14, N14, N44

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“…In particular, the aim of this paper is to examine spillovers between Brent crude oil prices and the Baker et al (2013) economic policy uncertainty index (EPU). To achieve that, we extend the spillover index approach by Yilmaz (2009, 2012), using structural decomposition rather than Choleski decomposition (Diebold and Yilmaz, 2009) or generalized forecast error variance decomposition (Diebold and Yilmaz, 2012).…”

Section: Introductionmentioning

confidence: 99%

Dynamic spillovers of oil price shocks and economic policy uncertainty

2014

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This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, an extension of the Yilmaz (2009, 2012) dynamic spillover index based on structural decomposition is employed. The results reveal that economic policy uncertainty (oil price shocks) responds negatively to aggregate demand oil price shocks (economic policy uncertainty shocks). Furthermore, during the Great Recession of 2007-2009, total spillovers increase considerably, reaching unprecedented heights. Moreover, in net terms, economic policy uncertainty becomes the dominant transmitter of shocks between 1997 and 2009, while in the post-2009 period there is a significant role for supply-side and oil specific demand shocks, as net transmitters of spillover effects. These results are important for policy makers, as well as, investors interested in the oil market.

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Measuring Economic Policy Uncertainty

Cited by 479 publications

References 24 publications

An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis

An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis

Reprisals Remembered: German-Greek Conflict and Car Sales During the Euro Crisis

Dynamic spillovers of oil price shocks and economic policy uncertainty

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