IDEAS home Printed from https://ideas.repec.org/p/fau/wpaper/wp2024_03.html
   My bibliography  Save this paper

How Different are the Alternative Economic Policy Uncertainty Indices? The Case of European Countries

Author

Listed:
  • Jaromir Baxa

    (Institute of Economic Studies of the Faculty of Social Sciences, Charles University, Prague, Czech Republic & The Czech Academy of Sciences, Institute of Information Theory and Automation, Prague, Czech Republic)

  • Tomas Sestorad

    (Institute of Economic Studies of the Faculty of Social Sciences, Charles University, Prague, Czech Republic & The Czech Academy of Sciences, Institute of Information Theory and Automation, Prague, Czech Republic & The Czech National Bank, Prague, Czech Republic)

Abstract

Several alternative news-based Economic Policy Uncertainty indices have been developer for Spain and a few other European countries. These alternative indices differ in the selection of keywords, newspaper coverage, and a scaling factor that is used to calculate the EPU index from the raw news data. Using the generalized forecast error variance decompositions of the time-varying parameter VAR model and the analysis of dynamic connectedness, we show that the restriction to include only domestic news affects estimated spillovers substantially, leading to different qualitative and quantitative assessments of uncertainty spillovers in Europe. Therefore, not all EPU indices are the same.

Suggested Citation

  • Jaromir Baxa & Tomas Sestorad, 2024. "How Different are the Alternative Economic Policy Uncertainty Indices? The Case of European Countries," Working Papers IES 2024/3, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2024.
    • Handle: RePEc:fau:wpaper:wp2024_03
    as

    Download full text from publisher

    File URL: https://ies.fsv.cuni.cz/en/how-different-are-alternative-economic-policy-uncertainty-indices-case-european-countries
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Uncertainty; Forecast error variance decomposition; Spillovers;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F45 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Macroeconomic Issues of Monetary Unions

    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:fau:wpaper:wp2024_03. 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: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.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.