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A Language-Independent Measurement of Economic Policy Uncertainty in Eastern European Countries

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  • Alexander Kupfer
  • Josef Zorn

Abstract

This article proposes a novel way to construct an index for economic policy uncertainty that does not depend on language proficiency. We use two specific features of search volume extraction on Google Trends, combine policy-relevant search queries, and construct our Google economic policy uncertainty index for nine Eastern European countries—a region in which the construction of other economic policy uncertainty indices would require good language proficiency. We illustratively show that major policy-related events are captured and find that shocks on economic policy uncertainty yield a sizable impact on macroeconomic variables.

Suggested Citation

  • Alexander Kupfer & Josef Zorn, 2020. "A Language-Independent Measurement of Economic Policy Uncertainty in Eastern European Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(5), pages 1166-1180, April.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:5:p:1166-1180
    DOI: 10.1080/1540496X.2018.1559140
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    Cited by:

    1. Guan, Jialin & Xu, Huijuan & Huo, Da & Hua, Yechun & Wang, Yunfeng, 2021. "Economic policy uncertainty and corporate innovation: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    2. Michele Costola & Michael Donadelli & Luca Gerotto & Ivan Gufler, 2022. "Global risks, the macroeconomy, and asset prices," Empirical Economics, Springer, vol. 63(5), pages 2357-2388, November.
    3. Tang, Wenjin & Ding, Saijie & Chen, Hao, 2021. "Economic uncertainty and its spillover networks: Evidence from the Asia-Pacific countries," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    4. Maria Elena Bontempi & Michele Frigeri & Roberto Golinelli & Matteo Squadrani, 2021. "EURQ: A New Web Search‐based Uncertainty Index," Economica, London School of Economics and Political Science, vol. 88(352), pages 969-1015, October.

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