IDEAS home Printed from https://ideas.repec.org/p/bde/wpaper/1906.html
   My bibliography  Save this paper

A new economic policy uncertainty index for Spain

Author

Listed:
  • Corinna Ghirelli

    (Banco de España)

  • Javier J. Pérez

    (Banco de España)

  • Alberto Urtasun

    (Banco de España)

Abstract

We construct a new Economic Policy Uncertainty (EPU) index for Spain, building on the influential methodology of Baker, Bloom and Davis (2016), and compare it with the EPU for Spain that these authors provide. We refine the index in several dimensions: we expand the headline newspaper coverage from 2 to 7, including economic-financial ones, use a much richer set of keywords to form the search expressions, and cover a longer sample period. Two results stand out: (i) the new index presents a more consistent chronology of economic policy events; (ii) the macroeconomic effects of uncertainty shocks identified from the new index yield significant negative responses of GDP, private consumption and private investment, compared to mute responses obtained using the original one. Beyond the results for the Spanish case, our results suggest that, in addition to the richness of the keywords in the search expressions, widening the press and time coverage is key to improve the quality of the aggregate EPU index.

Suggested Citation

  • Corinna Ghirelli & Javier J. Pérez & Alberto Urtasun, 2019. "A new economic policy uncertainty index for Spain," Working Papers 1906, Banco de España.
    • Handle: RePEc:bde:wpaper:1906
    as

    Download full text from publisher

    File URL: https://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/19/Fich/dt1906e.pdf
    File Function: First version, March 2019
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    economic uncertainty; policy uncertainty; uncertainty shocks.;
    All these keywords.

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bde:wpaper:1906. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España (email available below). General contact details of provider: https://edirc.repec.org/data/bdegves.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.