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Indirect news coverage and economic policy uncertainty

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  • Wu, Jiaying
  • Xu, Fang

Abstract

This paper uses semantic fingerprints of news to measure news intensity for countries. Estimation results from DCC-GARCH models show that correlations between news intensity and economic uncertainty are mostly positive throughout time. The more relevant news about a country are published, the higher is the economic uncertainty in that country. News intensity also has a negative impact on correlations between uncertainty and inflation, and a positive impact on correlations between uncertainty and output growth.

Suggested Citation

  • Wu, Jiaying & Xu, Fang, 2025. "Indirect news coverage and economic policy uncertainty," Economics Letters, Elsevier, vol. 247(C).
    • Handle: RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006190
    DOI: 10.1016/j.econlet.2024.112135
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    References listed on IDEAS

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    1. Paul C. Tetlock, 2014. "Information Transmission in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 365-384, December.
    2. Kristoffer P. Nimark, 2014. "Man-Bites-Dog Business Cycles," American Economic Review, American Economic Association, vol. 104(8), pages 2320-2367, August.
    3. Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2016. "Measuring Economic Policy Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(4), pages 1593-1636.
    4. Ilanit Avioz & Haim Kedar-Levy & Crina Pungulescu & David Stolin, 2023. "Linking asset prices to news without direct asset mentions," Applied Economics Letters, Taylor & Francis Journals, vol. 30(20), pages 2907-2912, November.
    5. Jones, Paul M. & Olson, Eric, 2013. "The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model," Economics Letters, Elsevier, vol. 118(1), pages 33-37.
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    Keywords

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    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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