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Migration Fear, Uncertainty, and Macroeconomic Dynamics

Author

Listed:
  • Michael Donadelli

    (Faculty of Economics and Business Administration and Research Center SAFE, Goethe University Frankfurt; Department of Economics, Ca' Foscari University of Venice)

  • Luca Gerotto

    (Ca' Foscari University of Venice)

  • Marcella Lucchetta

    (Ca' Foscari University of Venice)

  • Daniela Arzu

    (Ca' Foscari University of Venice)

Abstract

This paper examines the effects of changes in immigration-related uncertainty and fear on the real economic activity in four advanced economies (i.e., US, UK, Germany and France). Immigration uncertainty/fear is first captured by two news-based indicators developed by Baker et al. (2015), namely the Migration Policy Uncertainty Index (MPUI) and the Migration Fear Index (MFI), and then by a novel Google Trend Migration Uncertainty Index based on the frequency of internet searches for "immigration" (GTMU). VAR investigations suggest that the macroeconomic implications of rising immigration uncertainty/fear depend on the country under examination as well as on the way in which immigration uncertainty/fear is measured. In the US and UK, MPUI, MFI and GTMU shocks induce positive long-run effects on the real economic activity. Differently, in Germany, MPUI and MFI shocks lead to expansionary reactions whereas GTMU shocks generate significant adverse effects on the economy. This suggests that increasing media attention and rising population's interest in immigration-related issues affect people's mood in a different way. In France, MPUI, MFI and GTMU shocks induce negative macroeconomic effects in the long-run. A battery of robustness tests confirms our main findings.

Suggested Citation

  • Michael Donadelli & Luca Gerotto & Marcella Lucchetta & Daniela Arzu, 2018. "Migration Fear, Uncertainty, and Macroeconomic Dynamics," Working Papers 2018:29, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2018:29
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Immigration; Uncertainty; Fear; Google Trends; Business Cycle;
    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
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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