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A machine learning approach to identifying different types of uncertainty

Author

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  • Saltzman, Bennett
  • Yung, Julieta

Abstract

We implement natural language processing techniques to extract uncertainty measures from Federal Reserve Beige Books between 1970 and 2018. Business and economic related uncertainty is associated with future weakness in output, higher unemployment, and elevated term premia. On the other hand, political and government uncertainty, while high during recent times, has no statistically significant impact on the economy.

Suggested Citation

  • Saltzman, Bennett & Yung, Julieta, 2018. "A machine learning approach to identifying different types of uncertainty," Economics Letters, Elsevier, vol. 171(C), pages 58-62.
  • Handle: RePEc:eee:ecolet:v:171:y:2018:i:c:p:58-62
    DOI: 10.1016/j.econlet.2018.07.003
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    References listed on IDEAS

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    Cited by:

    1. Xie, Fangzhou, 2020. "Wasserstein Index Generation Model: Automatic generation of time-series index with application to Economic Policy Uncertainty," Economics Letters, Elsevier, vol. 186(C).
    2. Azqueta-Gavaldón, Andrés, 2020. "Causal inference between cryptocurrency narratives and prices: Evidence from a complex dynamic ecosystem," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    3. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2019. "How important are different aspects of uncertainty in driving industrial production in the CEE countries?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 252-266.
    4. Kyoto Yono & Hiroki Sakaji & Hiroyasu Matsushima & Takashi Shimada & Kiyoshi Izumi, 2020. "Construction of Macroeconomic Uncertainty Indices for Financial Market Analysis Using a Supervised Topic Model," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(4), pages 1-18, April.

    More about this item

    Keywords

    Natural language processing; VAR; Federal Reserve Beige Books;

    JEL classification:

    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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