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Measuring Economic Policy Uncertainty. (2015). Davis, Steven ; bloom, nicholas ; Baker, Scott.
In: Economics Working Papers.
RePEc:hoo:wpaper:15111.

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  1. A Non-Performing Loans (NPLs) Portfolio Pricing Model Based on Recovery Performance: The Case of Greece. (2023). Caloghirou, Yannis D ; Giannini, Eugenia N ; Marouli, Alexandra Z.
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  3. Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models. (2023). Gaglianone, Wagner ; Araujo, Gustavo Silva.
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  4. Investment, inflation, and the role of internal information systems as a transmission channel. (2023). Joos, Peter ; Ferracuti, Elia ; Binz, Oliver.
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  5. Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions. (2023). Ren, Xiaohang ; Jawadi, Fredj ; Bu, Ruijun ; Li, Jingyao ; Wang, Xiong.
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  8. Narratives of the future and fertility decision-making in uncertain times. An application to the COVID-19 pandemic. (2022). Vignoli, Daniele ; Bazzani, Giacomo ; Guetto, Raffaele.
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  9. Stock Return Predictability: Evaluation based on interval forecasts. (2022). Darne, Olivier ; Kim, Jae ; Charles, Amelie.
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  10. Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach. (2022). Zhao, Jing.
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  11. Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond. (2022). Ren, Xiaohang ; Li, Jingyao ; Wang, Xiong.
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  12. How does economic policy uncertainty affect cross-border M&A: Evidence from Chinese firms. (2022). Wang, Kaixiu ; Su, Yueying ; Li, Wanli.
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  13. Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco.
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  19. Who drives the dance? Further insights from a time?frequency wavelet analysis of the interrelationship between stock markets and uncertainty. (2021). Ben Amar, Amine ; Carlotti, Jeanetienne.
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  20. Measuring Knightian uncertainty. (2021). Iselin, David ; Dibiasi, Andreas.
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  21. Is the Korean housing market following Gangnam style?. (2021). Caporin, Massimiliano ; Kang, Sang Hoon ; Ko, Hee-Un ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed.
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  22. Federal Reserve policy after the zero lower bound: an indirect inference approach. (2021). Morin, Lealand ; Shang, Ying.
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  23. Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis. (2021). Caporale, Guglielmo Maria ; Babalos, Vassilios ; Spagnolo, Nicola.
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  24. Investment and Uncertainty: Are large firms different from small ones?. (2021). Panagiotidis, Theodore ; Printzis, Panagiotis.
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  25. How do firms use innovations to hedge against economic and political uncertainty? Evidence from a large sample of nations. (2021). Nelson, Michael ; Goel, Rajeev.
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  26. Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019). (2021). Tronzano, Marco.
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  27. Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic. (2021). Mangee, Nicholas ; Frydman, Roman.
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  30. A time for action on climate change and a time for change in economics. (2021). Stern, Nicholas.
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  31. A time for action on climate change and a time for change in economics. (2021). Stern, Nicholas.
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  34. Commodity prices and global economic activity: A derived-demand approach. (2021). Gaglianone, Wagner ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira ; Duarte, Angelo Mont'Alverne ; Angelo Mont'alverne Duarte, .
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  35. Hedging stocks with oil. (2021). Wagner, Niklas F ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A.
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  36. Machine learning and oil price point and density forecasting. (2021). Issler, João ; Gaglianone, Wagner ; Cavalcanti, Pedro ; Bonnet, Alexandre ; Lin, Yihao ; Teixeira, Osmani.
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  37. Country Risk Premium: The Case of Chile. (2021). Campos, Zcimo ; Gudaris, Paulina Natalia ; Gertosio, Juan Tapia.
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  38. Innovation, growth and the transition to net-zero emissions. (2021). Valero, Anna ; Stern, Nicholas.
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  39. The effects of external shocks on the business cycle in China: A structural change perspective. (2021). Wagner, Helmut ; Murach, Michael.
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  40. Machine Learning and Oil Price Point and Density Forecasting. (2021). Gaglianone, Wagner ; Lin, Yihao ; Issler, Joo Victor ; Teixeira, Osmani ; Cavalcanti, Pedro ; Bonnet, Alexandre.
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  41. UNCERTAINTY AND ECONOMIC PERFORMANCE IN THE WEST AFRICAN MONETARY ZONE (WAMZ): A FIXED EFFECT PANEL THRESHOLD APPROACH. (2020). Abubakari, Hissan ; Egbuna, Ngozi E ; Adams, Kormay ; Sambolah, Eric L ; Mohammed, Dauda ; John-Sowe, Maimuna.
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  42. How much did uncertainty shocks matter in the Great Depression?. (2020). Mathy, Gabriel P.
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  43. Effects of Global Economic, Political and Geopolitical Uncertainties on the Turkish Economy: A SVAR Analysis. (2020). Datan, Muhammet ; Yalinkaya, Omer .
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  45. The Discount to NAV of Distressed Open-End Real Estate Funds. (2020). Sebastian, Steffen ; Woltering, Rene-Ojas ; Heinrich, Michael ; Schnejdar, Sebastian.
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  47. Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets. (2020). Kang, Sanghoon ; McIver, Ron P.
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  48. The impact of US economic policy uncertainty on WTI crude oil returns in different time and frequency domains. (2020). Yan, Xing-Xing ; Zhang, Yue-Jun.
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  49. A real time leading economic indicator based on text mining for the Spanish economy. Fractional cointegration VAR and Continuous Wavelet Transform analysis. (2020). Monge, Manuel ; Poza, Carlos.
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  50. Tail dependence structures between economic policy uncertainty and foreign exchange markets: Nonparametric quantiles methods. (2020). Hussain, Syed Jawad ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid.
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  51. The run-up to the global financial crisis: A longer historical view of financial liberalization, capital inflows, and asset bubbles. (2020). Kemme, David ; Roy, Saktinil .
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  52. Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors. (2020). al Dohaiman, Mohammed ; Mezghani, Imed ; ben Haddad, Hedi.
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  53. Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang.
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  54. Global shocks and emerging economies: disentangling the commodity roller coaster. (2020). Valerio, Andre Cordeiro ; Ferreira, Mauro Sayar.
    In: Textos para Discussão Cedeplar-UFMG.
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  55. Profit shifting and tax‐rate uncertainty. (2020). HASAN, IFTEKHAR ; Delis, Manthos ; Karavitis, Panagiotis I.
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  56. Commodity Prices and Global Economic Activity: a derived-demand approach. (2020). Gaglianone, Wagner ; Duarte, Angelo Montalverne ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira.
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  57. Meta-learning approaches for recovery rate prediction. (2020). Vrins, Frédéric ; Roccazzella, Francesco ; Gambetti, Paolo.
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  59. US Monetary Policy and the Stability of Currency Pegs. (2019). , Ingmarrovekamp ; Rovekamp, Ingmar.
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  60. Using innovation to hedge against economic and political uncertainty evidence from emerging nations. (2019). Goel, Rajeev ; Nelson, Michael A.
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  61. The effects of external shocks on the business cycle in China: A structural change perspective. (2019). Wagner, Helmut ; Murach, Michael.
    In: CEAMeS Discussion Paper Series.
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  62. Business investment in euro area countries: the role of institutions and debt overhang. (2019). Sondermann, David ; Langiulli, Marco ; Consolo, Agostino.
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  63. Forecasting Inflation Uncertainty in the United States and Euro Area. (2019). Ftiti, Zied ; JAWADI, Fredj.
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  64. The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea. (2019). Balcilar, Mehmet ; Kyei, Clement ; Kim, Won Joong ; Gupta, Rangan.
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  65. Recovery rates: Uncertainty certainly matters. (2019). Vrins, Frederic ; Gauthier, Genevieve ; Gambetti, Paolo.
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  66. Invest or regret? An empirical investigation into funding dynamics during the final days of equity crowdfunding campaigns. (2019). Rich, Judith ; Cox, Joe ; Nguyen, Thang.
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  67. How is Machine Learning Useful for Macroeconomic Forecasting?. (2019). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet.
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  73. Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach. (2018). Zhou, Siwen.
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  74. What Drives Gross Flows in Equity and Investment Fund Shares in Luxembourg?. (2018). di Filippo, Gabriele.
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  76. Do FOMC Actions Speak Loudly? Evidence from Corporate Bond Credit Spreads*. (2018). Krehbiel, Timothy L ; Nejadmalayeri, Ali ; Javadi, Siamak.
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  77. Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads. (2018). Raunig, Burkhard.
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  78. Unconventional monetary policy shocks in OECD countries: how important is the extent of policy uncertainty?. (2018). Jooste, Charl ; GUPTA, RANGAN.
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  79. Uncertainty and Sectoral Shifts: The Interaction Between Firm-Level and Aggregate-Level Shocks, and Macroeconomic Activity. (2018). Sadka, Gil ; Nallareddy, Suresh ; Kalay, Alon .
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  80. Brexit Referendum and Business Investment in the UK. (2018). Gornicka, Lucyna.
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  81. Firm-level investment spikes and aggregate investment over the Great Recession. (2018). Pope, Thomas ; Miller, Helen ; Disney, Richard.
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  82. Fiscal Forward Guidance:A Case for Selective Transparency. (2018). Waki, Yuichiro ; Fujiwara, Ippei.
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  83. Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli.
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  84. Nothing is Certain Except Death and Taxes : The Lack of Policy Uncertainty from Expiring Temporary Taxes. (2018). Chang, Andrew C.
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  85. Focusing on Complaints Handling for Customer Satisfaction and Loyalty: The Case of Indonesian Public Banking. (2018). Salim, A ; Rohman, F ; Rofiaty, R ; Setiawan, M.
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  86. Focusing on Complaints Handling for Customer Satisfaction and Loyalty: The Case of Indonesian Public Banking. (2018). Salim, A ; Rohman, F ; Rofiaty, R ; Setiawan, M.
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  87. Economic policy uncertainty and stock market liquidity: Does financial crisis make any difference?. (2018). Debata, Byomakesh ; Mahakud, Jitendra.
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  89. Financial liberalization and cross-border market integration: Evidence from Chinas stock market. (2018). Yao, Shujie ; Ou, Jinghua ; Chen, Shou.
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  90. The time-varying correlation between policy uncertainty and stock returns: Evidence from China. (2018). Shen, Dehua ; Bian, Yuxiang ; Xiong, Xiong.
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  91. The impact of ECB monetary policy surprises on the German stock market. (2018). Fausch, Jurg ; Sigonius, Markus.
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  92. The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: Journal of International Money and Finance.
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  93. Belgian economic policy uncertainty index: Improvement through text mining. (2018). Tobback, Ellen ; Martens, David ; DE FORTUNY, Enric JUNQUe ; Daelemans, Walter ; Naudts, Hans.
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  94. On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market. (2018). Damianov, Damian S ; Elsayed, Ahmed H.
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  95. Does investor attention matter? The attention-return relationships in FX markets. (2018). Yin, Libo ; Xu, Yang ; Han, Liyan.
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  96. Explaining theSlowU.S.Recovery: 2010–2017. (2018). Fair, Ray C.
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  97. Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli.
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  98. The global financial cycle, bank capital flows and monetary policy. Evidence from Norway. (2018). Alstadheim, Ragna ; Blandhol, Christine.
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  99. EUROPEAN CENTRAL BANK FOOTPRINTS ON INFLATION FORECAST UNCERTAINTY. (2018). Makarova, Svetlana .
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  100. The impact of uncertainty on macro variables: An SVAR-based empirical analysis for EU countries. (2017). Belke, Ansgar ; Kronen, Dominik .
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  101. International effects of euro area versus US policy uncertainty: A FAVAR approach. (2017). Belke, Ansgar ; Osowski, Thomas.
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  102. Unsicherheit über Brexit-Modalitäten prägt Konjunktur in Großbritannien. (2017). Rujin, Svetlana ; Döhrn, Roland ; Dohrn, Roland.
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  103. International Effects of Euro Area versus US Policy Uncertainty: A FAVAR Approach. (2017). Belke, Ansgar ; Osowski, Thomas.
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  104. The Impact of European Uncertainty on the Gulf Cooperation Council Markets. (2017). Adam, Ali ; Hongbing, Ouyang ; Saeed, Alqahtani Abdullah.
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  105. Investor Attention and Sentiment: Risk or Anomaly?. (2017). Bucher, Melk C.
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  106. Is Economic Policy Uncertainty Related to Suicide Rates? Evidence from the United States. (2017). GUPTA, RANGAN ; Antonakakis, Nikolaos.
    In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement.
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  107. Long-run Unemployment and Macroeconomic Volatility. (2017). Fasani, Stefano.
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  108. The impact of uncertainty on macro variables - An SVAR-based empirical analysis for EU countries. (2017). Belke, Ansgar ; Kronen, Daniel.
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  109. The impact of uncertainty on macro variables - An SVAR-based empirical analysis for EU countries. (2017). Belke, Ansgar ; Kronen, Dominik .
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  110. International Effects of Euro Area versus US Policy Uncertainty: A FAVAR Approach. (2017). Belke, Ansgar ; Osowski, Thomas.
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  111. Three essays on uncertainty: real and financial effects of uncertainty shocks. (2017). Lee, Seohyun.
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  112. The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
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  113. Are Sovereign Credit Ratings Overrated?. (2017). Kunovac, Davor ; Ravnik, Rafael.
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  114. Delving into the Secular Stagnation Hypothesis: A Firm-Level Analysis of the Private Sector’s Excess Savings in Advanced Economies. (2017). Brufman, Leandro ; Martinez, Lisana Belen ; Artica, Rodrigo Perez .
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  115. The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
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  116. Level and Volatility Factors in Macroeconomic Data. (2017). Ng, Serena ; Gorodnichenko, Yuriy.
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  117. Scenarios for potential macroeconomic impact of Brexit on Hungary. (2017). Varnai, Timea ; Kovalszky, Zsolt ; Bekesi, Laszlo .
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  118. The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries. (2017). Belke, Ansgar ; Ansgar, Belke ; Dominik, Kronen.
    In: Review of Economics.
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  119. The Global Role of the U.S. Economy: Linkages, Policies and Spillovers. (2017). Ohnsorge, Franziska ; Lakatos, Csilla ; Kose, Ayhan ; Stocker, Marc.
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  120. The Impact of US Uncertainty Shocks on Small Open Economies. (2017). Österholm, Pär ; Osterholm, Par ; Stockhammar, Par.
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  121. Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime.
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  122. Does the volatility of commodity prices reflect macroeconomic uncertainty?. (2017). Razafindrabe, Tovonony ; Mignon, Valérie ; Joets, Marc.
    In: Post-Print.
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  123. Risk Taking and Interest Rates : Evidence from Decades in the Global Syndicated Loan Market. (2017). Stebunovs, Viktors ; Lee, Seung Jung ; Liu, Lucy Qian.
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  124. Fiscal Forward Guidance: A Case for Selective Transparency. (2017). Waki, Yuichiro ; Fujiwara, Ippei.
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  125. Fiscal Forward Guidance: A case for selective transparency. (2017). Waki, Yuichiro ; Fujiwara, Ippei ; Yuichiro, Waki.
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  126. Uncertainty and corporate R&D investment: Evidence from Chinese listed firms. (2017). Song, Frank ; Wang, Yizhong ; Wei, Yueling .
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  127. Language after liftoff: Fed communication away from the zero lower bound. (2017). Mishkin, Frederic ; Feroli, Michael ; Sufi, Amir ; Hooper, Peter ; Greenlaw, David .
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  128. Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach. (2017). GUPTA, RANGAN ; Hassapis, Christis ; Christou, Christina.
    In: The Quarterly Review of Economics and Finance.
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  129. Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. (2017). Liu, Zhicao ; Ma, Feng ; Ye, Yong.
    In: Physica A: Statistical Mechanics and its Applications.
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  130. Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model. (2017). GUPTA, RANGAN ; Hassapis, Christis ; Cunado, Juncal ; Christou, Christina.
    In: Journal of Multinational Financial Management.
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  131. Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Sajid.
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  132. The impact of US policy uncertainty on the monetary effectiveness in the Euro area. (2017). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; van Eyden, Renee.
    In: Journal of Policy Modeling.
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  133. Exchange rate uncertainty and firm investment plans evidence from Swiss survey data. (2017). Dibiasi, Andreas ; Binding, Garret .
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  134. Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika.
    In: Journal of Banking & Finance.
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  135. Which market integration measure?. (2017). Paradiso, Antonio ; Donadelli, Michael ; Billio, Monica ; Riedel, M.
    In: Journal of Banking & Finance.
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  136. Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. (2017). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena.
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  137. Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework. (2017). Sun, Xiaolei ; Wang, Jun ; Yao, Xiaoyang .
    In: Finance Research Letters.
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  138. The depreciation of the pound post-Brexit: Could it have been predicted?. (2017). Wohar, Mark ; Plakandaras, Vasilios ; GUPTA, RANGAN.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:21:y:2017:i:c:p:206-213.

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  139. Does the volatility of commodity prices reflect macroeconomic uncertainty?. (2017). Razafindrabe, Tovonony ; Mignon, Valérie ; Joets, Marc.
    In: Energy Economics.
    RePEc:eee:eneeco:v:68:y:2017:i:c:p:313-326.

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  140. The source of global stock market risk: A viewpoint of economic policy uncertainty. (2017). I-Chun Tsai, .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:60:y:2017:i:c:p:122-131.

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  141. The Great Depression versus the Great Recession in the U.S.: How fiscal, monetary, and financial polices compare. (2017). Duca, John.
    In: Journal of Economic Dynamics and Control.
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  142. More than a feeling: confidence, uncertainty and macroeconomic fluctuations. (2017). Stracca, Livio ; Nowzohour, Laura.
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  143. Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime.
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  144. La tensión entre individualismo y desigualdad en el Chile actual. (2017). Gonzalez, Ricardo ; Rubio, Estefano ; Mackenna, Bernardo.
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  145. The Global Role of the U.S. Economy: Linkages, Policies and Spillovers. (2017). Ohnsorge, Franziska ; Lakatos, Csilla ; Kose, Ayhan ; Stocker, Marc.
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  146. Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime.
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  147. Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges. (2017). Tripier, Fabien ; Lhuissier, Stéphane ; Ferrara, Laurent.
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  148. The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China. (2017). Xie, RU ; Williams, Jonathan ; Huang, Sheng.
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  149. Britains Economic Outlook after Brexit. (2017). Anheier, Helmut K ; Yueh, Linda ; Falkner, Robert.
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  150. Britains Economic Outlook after Brexit. (2017). Anheier, Helmut K ; Yueh, Linda ; Falkner, Robert.
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  151. DEEP RECESSIONS, FAST RECOVERIES, AND FINANCIAL CRISES: EVIDENCE FROM THE AMERICAN RECORD. (2017). Bordo, Michaeld ; Haubrich, Joseph G.
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  152. Employment growth and uncertainty: evidence from Turkey. (2017). Demirhan, Aslihan Atabek ; Yunculer, Burcu Gurcihan .
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  153. Bank lending in uncertain times. (2017). Bottero, Margherita ; Alessandri, Piergiorgio.
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  154. Bank loan components, uncertainty and monetary transmission mechanism. (2017). Pirozhkova, Ekaterina.
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  155. The Discount to NAV of distressed German open-ended real estate funds. (2017). Sebastian, Steffen ; Woltering, Rene-Ojas ; Heinrich, Michael ; Schnejdar, Sebastian.
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  156. Which market integration measure?. (2016). Paradiso, Antonio ; Donadelli, Michael ; Billio, Monica ; Riedel, Max .
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  157. Policy uncertainty and international financial markets: The case of Brexit. (2016). Belke, Ansgar ; Osowski, Thomas ; Dubova, Irina.
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  158. The relative valuation of gold. (2016). Czudaj, Robert ; Beckmann, Joscha ; Baur, Dirk G.
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  159. Deutsche Konjunktur im Winter 2016 - Deutsche Konjunktur auf Expansionskurs. (2016). Boysen-Hogrefe, Jens ; Potjagailo, Galina ; Plodt, Martin ; Kooths, Stefan ; Jannsen, Nils ; Groll, Dominik ; Fiedler, Salomon.
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  160. Zu den Auswirkungen des Brexit-Votums auf die deutsche Konjunktur: Ein Update. (2016). Potjagailo, Galina ; Jannsen, Nils ; Gern, Klaus-Jurgen.
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  161. Unternehmensinvestitionen in den österreichischen Bundesländern. Entwicklung – Struktur – Funktion regionaler Förderung. (2016). Klien, Michael ; Mayerhofer, Peter.
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  162. Determinants of Consumer Sentiment over Business Cycles: Evidence from the U.S. Surveys of Consumers. (2016). Zhao, Yongchen ; Lahiri, Kajal.
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  163. Losing sight of the trees for the forest? Attention allocation and anomalies. (2016). Weber, Martin ; Jacobs, Heiko.
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  164. Understanding Uncertainty Shocks and the Role of the Black Swan. (2016). Orlik, Anna ; Veldkamp, Laura.
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  165. Determinants of Consumer Sentiment Over Business Cycles: Evidence from the US Surveys of Consumers. (2016). Zhao, Yongchen ; Lahiri, Kajal.
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  166. Policy uncertainty and international financial markets: the case of Brexit. (2016). Belke, Ansgar ; Osowski, Thomas ; Dubova, Irina.
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  167. On the Significance of Labor Reallocation for European Unemployment: Evidence from a Panel of 15 Countries. (2016). Pelloni, Gianluigi ; Panagiotidis, Theodore ; Bakas, Dimitrios.
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  168. Short- and Long-run Uncertainty. (2016). bloom, nicholas ; Barrero, Jose Maria ; Wright, Ian .
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  169. Measuring Economic Uncertainty and Its Effects. (2016). Moore, Angus.
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  170. Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models. (2016). Wong, Wing-Keung ; GUPTA, RANGAN ; Chow, Sheung ; Cunado, Juncal.
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  171. The Depreciation of the Pound Post-Brexit: Could it have been Predicted?. (2016). Wohar, Mark ; Plakandaras, Vasilios ; GUPTA, RANGAN.
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  172. Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach. (2016). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena.
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  173. Does Economic Policy Uncertainty Forecast Real Housing Returns in a Panel of OECD Countries? A Bayesian Approach. (2016). GUPTA, RANGAN ; Christou, Christina ; Hassapis, Christis.
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  174. Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty. (2016). GUPTA, RANGAN ; Christou, Christina.
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  175. Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty. (2016). GUPTA, RANGAN ; van Eyden, Renee ; Demirer, Riza ; Balcilar, Mehmet.
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  176. Para Politikası Belirsizliği Altında Aktarım Mekanizması: Türkiye Örneği. (2016). Karasoy, Hatice ; Bulut, Mustafa .
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  177. Stock Return Predictability: Evaluation based on Prediction Intervals. (2016). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier.
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  178. Business Uncertainty and the Effectiveness of Fiscal Policy in Germany. (2016). Berg, Tim.
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  179. MACROECONOMIC FORECAST UNCERTAINTY IN THE EURO AREA. (2016). Lopez-Perez, Victor .
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  8. Because the New York Times archive occasionally yields unstable article counts for recent dates, we replaced the Times with the Houston Chronicle as of January 2014. In particular, after rescaling the Chronicle’s EPU index to match the mean and variance of the Times prior to 2014, we use EPU values from the Chronicle instead of the Times from January 2014 onwards in constructing our 10-paper monthly index. The full set of policy terms is regulation, deficit, legislation, congress, white house, Federal Reserve, the Fed, regulations, regulatory, deficits, congressional, legislative, and legislature. Section 3.1 in the main text explains how we selected this term set. Let Xit denote the scaled EPU frequency country for newspaper i=1, 2, … 10 in month t, and let Τ1 and Τ2 denote the time intervals used in the standardization and normalization calculations.
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  13. China (1995-, monthly): We search the South China Morning Post using Proquest. In addition to meeting E, P and U requirements, an article must meet a “C” requirement to contribute to our EPU count: in particular, it must contain “China” or “Chinese”. To meet our P requirement for China, an article must satisfy the following text filter: {{policy OR spending OR budget OR political OR "interest rates" OR reform} AND {government OR Beijing OR authorities}} OR tax OR regulation OR regulatory OR "central bank" OR "People's Bank of China" OR PBOC OR deficit OR WTO. We use this compound filter, because it outperforms simpler alternatives in the audit study that we performed on 500 randomly selected articles that meet the E, U and C requirements.
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  14. Computer Human Figure 5: Human and Computer EPU Indices, 1985 to 2012, Quarterly Correlation=0.86 10 20 30 40 50 60 50 100 150 200 250 300 1990 1995 2000 2005 2010 2015 VIX (red) Economic Policy Uncertainty Index (Blue) 9/11 WorldCom Fraud Gulf War II Lehman Failure, TARP Asian Financial Crisis Gulf War I Eurozone Crisis Debt Ceiling Dispute Russian Crisis, LTCM Default Stimulus Debate Clinton Election Notes: The figure shows the U.S. EPU Index from Figure 1 and the monthly average of daily values for the 30-day VIX.
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  15. Correlation=0.733 Monthly News-Based Index of Equity Market Uncertainty Monthly Average of Daily VIX Values 0 100 200 300 400 1985 1990 1995 2000 2005 2010 2015 Figure C3: Political slant plays little role in our news-based EPU index Source: Papers sorted into 5 most ‘Republican’ and 5 most ‘Democratic’ groups using the media slant measure from Gentzkow and Shapiro (2010).
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  16. Correlation=0.93 0 200 400 600 1990 1995 2000 2005 2010 2015 Figure C2: News-based index of equity market uncertainty compared to market-based VIX, January 1990 to December 2014 Notes: The news-based index of equity market uncertainty is based on the count of articles that reference ‘economy’ or ‘economic’, and ‘uncertain’ or ‘uncertainty” and one of ‘stock price’, ‘equity price’, or ‘stock market’ in 10 major U.S. newspapers, scaled by the number of articles in each month and paper. The news-based index and the VIX are normalized to a mean of 100 over the period.
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  17. Country-level data are weighted by the square root of the number of newspapers used in the EPU index. Fit to monthly data for Canada, China, France, Germany, India, Italy, Japan, Korea, Russia, Spain, UK and the US from January 1985 to December 2012, where available.
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  18. Davis, Steven J., John Haltiwanger, Ron Jarmin and Javier Miranda 2007. “Volatility and Dispersion in Business Growth Rates: Publicly Traded versus Privately Held Firms,” NBER Macroeconomics Annual, 21, 107-180.

  19. Durnev, Art, 2010. “The Real Effects of Political Uncertainty: Elections and Investment Sensitivity to Stock Prices,” working paper, McGill University, September.
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  20. E. Text Analysis of 10-K Filings to Quantify Policy Risk Exposure (Figure 7) 48 In 2005, the U.S. Securities and Exchange Commission (SEC) issued a regulation that requires most publicly held firms to include a separate discussion of “Risk Factors” in Part 1a of their annual 10-K filings. This discussion is intended to alert investors to risks specific to the company and industry. See Campbell et al. (2014) for an extended discussion and analysis.
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  21. Employment Response, % -2 -1 0 1 0 6 12 18 24 30 36 -.6 -.4 -.2 0 .2 0 6 12 18 24 30 Figure 9: U.S. Industrial Production Response to an EPU Shock, Alternative Samples, Specifications and Identification Assumptions Months after EPU Shock Notes: The baseline case involves the same sample period, VAR specification and identification as in Figure 8. The other cases depart from the baseline as indicated. We place EU and VIX after EPU in the ordering. For the “1920-1984” response function, we use monthly data from 1920 to 1984 on log industrial production and EPU in a bivariate VAR with EPU ordered first. Industrial Production Response, % -1.5 -1 -.5 0 .5 0 6 12 18 24 30 36 Baseline (+ symbols) Bivariate: EPU and log industrial production Six months of lags 19201984 Sample Adding EU Adding VIX Reverse bivariate: log industrial production, EPU Adding a time trend No S&P index Figure 10: Responses to an EPU Shock in a Twelve-Country Panel VAR Industrial Production, %
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  22. Fernandez-Villaverde, Jesus, Pablo Guerron-Quintana, Keith Kuester, and Juan Rubio-Ramirez, 2015. “Fiscal volatility shocks and economic activity,” American Economic Review, forthcoming. 26 Friedman, Milton, 1968. “The Role of Monetary Policy,” American Economic Review, 58, no. 1 (March), 1-17.

  23. Figure A1: EPU Index for Canada, January 1985 to January 2015 Policy Uncertainty Index 0 100 200 300 400 1985 1990 1995 2000 2005 2010 2015 Gulf War I Clinton Election Quebec Referendum Commodity Price Slump Gulf War II 9/11 Lehman Failure, Global Financial Crisis, General Elections US Fiscal Policy Battles, Eurozone Crises Notes: Index reflects scaled monthly counts of articles containing ‘China’ or ‘Chinese’, ‘uncertain’ or ‘uncertainty’, ‘economic’ or ‘economy’ and satisfying the ‘policy’ text filter specified for China in Appendix A. The series is normalized to mean 100 from 1985 to 2011 and based on the South China Morning Post, the leading English-language newspaper in Hong Kong.
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  24. Figure A2: EPU Index for China, January 1995 to January 2015 Policy Uncertainty Index 0 100 200 300 400 1996 1999 2002 2005 2008 2011 2014 China Stimulus Deflation and Deficit Concerns 9/11 Rising Interest Rates Political Transition and New National Congress Eurozone and Protectionism Fears Inflation and Export Pressure Growth Slowdown Concerns Notes: Index reflects scaled monthly counts of articles containing ‘uncertain’ or ‘uncertainty’, ‘economic’ or ‘economy’, and one or more policy-relevant terms: ‘tax’, ‘policy’, ‘regulation’, ‘spending’, ‘deficit’, ‘budget’, or ‘central bank’. The series is normalized to mean 100 from 1997 to 2009 and based on the following newspapers: Le Monde and Le Figaro.
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  25. Figure A3: EPU Index for France, January 1987 to July 2015 Policy Uncertainty Index 0 200 400 600 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 9/11 UMP Routed in Regional Elections, Sarkozy Becomes UMP Leader European Currency Crisis, Franc Devaluation Gulf War I Gulf War II Bear Stearns, Northern Rock, BNP Paribas French and Dutch Voters Reject European Constitution Lehman Failure Eurozone Stresses Greek Crisis Greek Crisis Intensifies; Concerns Mount over French Banks Notes: Index reflects scaled monthly counts of articles containing ‘uncertain’ or ‘uncertainty’, ‘economic’ or ‘economy’, and one or more policy-relevant terms: ‘tax’, ‘policy’, ‘regulation’, ‘spending’, ‘deficit’, ‘budget’, or ‘central bank’. The series is normalized to mean 100 from 1997 to 2009 and based on the following newspapers: Frankfurter Allgemeine Zeitung and Handelsblatt.
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  26. Figure A4: EPU Index for Germany, January 1997 to January 2015 Policy Uncertainty Index 0 100 200 300 400 1997 2000 2003 2006 2009 2012 2015 Russian Crisis 9/11 Gulf War II German Elections Northern Rock Support/ Takeover Lehman Failure Greek Bailout Request, Rating Cuts Italy Rating Cut Papandreou calls for referendum; later resigns Continuing Eurozone Stresses Notes: Index reflects scaled monthly counts of articles containing ‘uncertain’ or ‘uncertainty’ or ‘uncertainties’ or ‘uncertainties’, ‘economic’ or ‘economy’, and one or more of policy-relevant terms listed for India in Appendix A. The series is normalized to mean 100 from 2003 to 2010 and based on the following newspapers: The Economic Times, Times of India, Hindustan Times, The Hindu, Financial Express, Indian Express, and the Statesman.
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  27. Figure A5: EPU Index for India, January 2003 to January 2015 Policy Uncertainty Index 0 100 200 300 2003 2005 2007 2009 2011 2013 2015 Congress Party Wins National Elections, Regains Power Bear Stearns Failure Congress-Led Coalition Survives Confidence Vote Lehman Failure Inflation Fears US Debt Ceiling Debate, Eurozone Crises Rupee Collapse and Exchange Rate Concerns Iraq Invasion Notes: Index reflects scaled monthly counts of articles containing ‘uncertain’ or ‘uncertainty’, ‘economic’ or ‘economy’, and one or more policy-relevant terms: ‘tax’, ‘policy’, ‘regulation’, ‘spending’, ‘deficit’, ‘budget’, or ‘central bank’. The series is normalized to mean 100 from 1997 to 2009 and based on the following newspapers: La Stampa and Corriere Della Sera.
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  28. For the United States, both Τ1 and Τ2 cover the period from January 1985 to December 2009. To aggregate over newspapers and construct our monthly US EPU index, we proceed in the following steps: (1) Compute the times-series variance, σi 2 , in the interval Τ1 for each paper i. (2) Standardize Xit by dividing through by the standard deviation σi for all t. This operation yields, for each paper, a series Yit with unit standard deviation in the interval Τ1 . (3) Compute the mean over newspapers of Yit in each month t to obtain the series Zt . (4) Compute M, mean value of Zt in the interval Τ2 . (5) Multiply Zt by ((100 / M ) for all t to obtain the normalized EPU time-series index. We use the same approach for the other EPU indices described below.
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  29. Gentzkow, Matthew and Jesse M. Shapiro, 2010. “What Drives Media Slant? Evidence from US Daily Newspapers,” Econometrica 78, no. 1 (January), 35-71.

  30. Germany (1993-, monthly): We search Handelsblatt and the Frankfurter Allgemeine Zeitung using each newspaper’s own archives. Our term sets are (E) wirtschaft OR wirtschaftlich; (P) steuer OR wirtschaftspolitik OR regulierung OR regulierungs OR ausgaben OR bundesbank OR EZB OR zentralbank OR haushalt OR defizit OR haushaltsdefizit; and (U) unsicher OR Unsicherheit.
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  31. Giavazzi, Francesco and Michael McMahon, 2012. “Policy Uncertainty and Household Savings,” Review of Economics & Statistics, 94, no. 2 (May), 517-531.

  32. Gulen, Huseyin and Mihai Ion, 2015. “Policy uncertainty and corporate investment,” working paper, Purdue University.
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  33. Gulf War II Fiscal Cliff Tet Figure 3: National Security and Healthcare EPU Indices, 1985 to 2014 0 100 200 300 400 1985 1990 1995 2000 2005 2010 2015 Year National Security Policy Uncertainty Healthcare Policy Uncertainty Notes: Indices reflect scaled monthly counts of articles containing the same triple as in Figure 1 and one or more terms pertaining to national security (e.g., “war”, “terrorism”, or “department of defense”) and healthcare (e.g., “healthcare”, “hospital”, or “health insurance”), respectively, for the National Security and Healthcare indices. Each series is normalized to mean 100 from 1985-2009 and based on queries run Jan 18, 2015 on Access World News Newsbank newspaper archive, which covers about 1,500 US papers.
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  34. Handley, Kyle and Nuno Limao, 2012. “Trade and Investment under policy uncertainty: Theory and Firm Evidence,” American Economic Journal: Policy, forthcoming.

  35. Hassett, Kevin A. and Gilbert E. Metcalf, 1999. “Investment with Uncertain Tax Policy: Does Random Tax Policy Discourage Investment?” Economic Journal, 109, no. 457 (July), 372393.

  36. Higgs, Robert, 1997, “Regime Uncertainty: Why the Great Depression Lasted So Long and Why Prosperity Resumed After the War,” The Independent Review, 1, no. 4 (Spring), 561-590.
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  37. Hoberg, Gerard, and Gordon Phillips, 2010. “Product Market Synergies and Competition in Mergers and Acquisitions: A Text-Based Analysis.” Review of Financial Studies, 23, no. 10, 3773–3811.

  38. Immigration Act of 1924 Gulf War II Fiscal Cliff Computer Human Figure C1: Human and Computer EPU Indices, 1900-2010, Annual Notes: Index comparison from 1900 to 2010 based on 11,841 articles (15,156 audits) in the Chicago Tribune, Dallas Morning News, LA Times, Miami Herald, NY Times, San Francisco Chronicle, Washington Post and Wall Street Journal. Series plotted yearly to reduce sampling variability, with an average of 107 articles per year. Each series normalized to 100 from 1900 to 2010.
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  39. Index Value Gulf War I Gulf War II 9/11 Clinton healthcare reform effort Affordable care act 0 50 100 150 200 250 300 350 400 450 1992 10 1993 4 1993 10 1994 4 1994 10 1995 4 1995 10 1996 4 1996 10 1997 4 1997 10 1998 4 1998 10 1999 4 1999 10 2000 4 2000 10 2001 4 2001 10 2002 4 2002 10 2003 4 2003 10 2004 4 2004 10 2005 4 2005 10 2006 4 2006 10 2007 4 2007 10 2008 4 2008 10 2009 4 2009 10 2010 4 2010 10 2011 4 2011 10 2012 4 2012 10 2013 4 2013 10 2014 4
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  40. India (2003-, monthly): We search the Economic Times (2003), Times of India (2003), Hindustan Times (2004), The Hindu (2003), Financial Express (2003), Indian Express (2003), and the Statesman (203) using Access World News. All are English-language newspapers. The P term set, which we developed in conjunction with Sanjai Bhagat, Pulak Ghosh and Srinivasan Rangan, is regulation, deficit, legislation, reform, “fiscal policy”, “monetary policy”, “central bank”, “RBI”, “Reserve Bank”, parliament, “finance ministry”, policymakers, “finance minister”, lawmakers, “planning commission”, “economic advisor”, “Prime Minister’s Office”, 44 “PM Office”, “PMEAC”, “PMO”, “Lok Sabha”, tax, taxes, taxation, “excise duties”, and “customs duties”.
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  41. International Monetary Fund, 2012, “World Economic Outlook: Coping with High Debt and Sluggish Growth”, October, IMF Press.
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  42. International Monetary Fund, 2013, “World Economic Outlook: Hopes, Realities, Risks,” April, IMF Press.
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  43. Italy (1997-, monthly): We search the Corriere Della Sera and La Repubblica using Factiva. Our term sets are (E) economia OR economico OR economica OR economici OR economiche; (P) tassa OR tasse OR politica OR regolamento OR regolamenti OR spesa OR spese OR spesa OR deficit OR "Banca Centrale" OR "Banca d'Italia" OR budget OR bilancio; and (U) incerto OR incerta OR incerti OR incerte OR incertezza.
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  44. Japan (1988-, monthly): We search Asahi and Yomiuri using each newspaper’s own archives. Leading Japanese newspapers routinely translate some of their articles into English, a practice that greatly facilitated our development of suitable Japanese-language E, P and U terms. We first identified Japanese newspaper articles translated into English that meet our EPU criteria. We (i.e., our Japanese research assistants) then reviewed the Japanese-language versions of the same articles to identify the Japanese terms that correspond to the English-language terms of interest. Using this approach, we developed the E, P and U term sets set forth in the following table: Term Sets for Japan EPU Index, with Translations to English Category English Japanese In Chinese Characters U
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  45. Kelly, Bryan, 2015. “The Price of Political Uncertainty: Theory and Evidence from the Option Market,” Journal of Finance, forthcoming.
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  46. Leduc, Sylvain and Zheng Liu, 2015. “Uncertainty Shocks Are Aggregate Demand Shocks,” Federal Reserve Bank of San Francisco working paper, May.

  47. Months after EPU shock Notes: Panel-VAR estimated impulse response functions for industrial production and unemployment to an EPU innovation equal to the increase in the average US EPU value from 2005-2006 to 2011-2012, with 90% confidence bands. Identification based on three lags and a Cholesky decomposition with the following ordering: EPU index, log(stock market index), unemployment rate, and log industrial production. We use own-country data and a full set of country fixedeffects in the panel VAR.
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  48. Months after EPU shock Notes: VAR-estimated impulse response functions for industrial production and employment to an EPU innovation equal to the increase in the EPU index from its 2005-2006 to its 2011-2012 average value, with 90 percent confidence bands. Identification based on three lags and a Cholesky decomposition with the following ordering: EPU index, log(S&P 500 index), federal reserve funds rate, log employment, log industrial production.
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  49. Nalewaik, Jeremy, 2015. “Regime-Switching Models for Estimating Inflation Uncertainty,” working paper, Board of Governors of the Federal Reserve System, August.
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  50. Notes: Index comparison from 1985 Q1 to 2012 Q1 based on 3,723 articles (4,388 audits) in the Chicago Tribune, Dallas Morning News, LA Times, Miami Herald, NY Times, San Francisco Chronicle, Washington Post and Wall Street Journal. Series are plotted quarterly to reduce sampling variability, with an average of 33 articles per quarter. Each series is normalized to 100 from 19852009. See text for additional discussion of the audit process and this comparison.
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  51. Notes: Index reflects scaled monthly counts of articles containing ‘uncertain’ or ‘uncertainty’, ‘economic’ or ‘economy’, and one or more policy-relevant terms: ‘tax’, ‘policy’, ‘regulation’, ‘spending’, ‘deficit’, ‘budget’, or ‘central bank’. The series is normalized to mean 100 from 1985 to 2010 and based on the following newspapers: The Gazette, The Globe and Mail, Canadian Newswire, the Ottawa Citizen, Toronto Star, and the Vancouver Sun.
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  52. Orange Revolution in Ukraine Duma elections and protests against election fraud Kizlyar hostage crisis; PM Chubais resigns Constitutional Crisis Russian financial crisis First Chechen War Second Chechen War Acting PM Gaidar resigns Russian military exits Chechnya Timoshenko resigns; Terror attack in Nalchik Parliament dismissed In Ukraine Terror attacks in Nalchik & Stavropol Medveded election Putin becomes PM Lehman Brothers Failure Ukraine Conflict Taper Tantrum Putin election Kiev Euromaidan; Crimea annexation 39 Figure 4: Index of Economic Policy Uncertainty for Russia Index reflects scaled monthly counts of articles in Kommersant with Russian terms for ‘uncertain’ or ‘uncertainty’, ‘economic’ or ‘economy’, and one or more selected policy terms. The series is normalized to 100 and runs from October 1992 to August 2014.
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  53. Panousi, Vasia and Dimitris Papanikolaou, 2012. “Investment, idiosyncratic risk and ownership,” Journal of Finance, 67, no. 3 (June), 1113-1148.

  54. Pastor, Lubos and Pietro Veronesi, 2012. “Uncertainty about Government Policy and Stock Prices,” Journal of Finance, 67, no. 4 (August), 1219-1264.

  55. Pastor, Lubos and Veronesi, Pietro, 2013. “Political Uncertainty and Risk Premia,” Journal of Financial Economics, 110, no. 3 (December), 520-545.

  56. Policy Uncertainty Index T 0 100 200 300 1900 1910 1920 1930 1940 1950 1960 1970 1980 1990 2000 2010 Policy Uncertainty Index Versailles Conf. 9/11 Debt Ceiling OPEC II Lehman and TARP Great Depression, New Deal and FDR TrumanDewey election Great Depression Relapse Gulf War I Black Monday Start of WW I OPEC I Asian Financial Crisis Wage & Price Controls McKinley Assassination Gold Standard Act Immigration Act of 1924 Figure 2: US Historical Index of Economic Policy Uncertainty Notes: Index reflects scaled monthly counts of articles in 6 major newspapers (Washington Post, Boston Globe, LA Times, NY Times, Wall Street Journal, and Chicago Tribune) that contain the same triple as in Figure 1, except the economy term set includes “business”, “commerce” and “industry” and the policy term set includes “tariffs” and “war”. Data normalized to 100 from 1900-2011.
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  57. Rodrik, Dani, 1991. “Policy Uncertainty and Private Investment,” Journal of Development Economics, 36, no. 2 (October), 229-242. 27 Scotti, Chiara, 2014. “Surprise and Uncertainty Indexes: Real-Time Aggregation of RealActivity Macro Surprises,” working paper, Federal Reserve Board.

  58. Scottish Independence Referendum Notes: Index reflects scaled monthly counts of articles containing ‘uncertain’ or ‘uncertainty’; ‘economic’, ‘economy’, ‘business’, ‘industry’, ‘commerce’, or commercial’; and one or more of ‘tax’, ‘policy’, ‘regulation’, ‘spending’, ‘deficit’, ‘budget’, ‘Bank of England’, ‘war’, or ‘tariff’. The series is normalized to mean 100 from 1900 to 2008 and based on The Times of London and The Guardian.
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  59. Shoag, Daniel and Stan Veuger, 2015. “Uncertainty and the Geography of the Great Recession,” AEI Economic Policy Working Paper 2015-07.

  60. Shutdown Notes: Index reflects scaled monthly counts of articles containing ‘uncertain’ or ‘uncertainty’, ‘economic’ or ‘economy’, and one or more policy relevant terms: ‘regulation’, ‘federal reserve’, ‘deficit’, ‘congress’, ‘legislation’, or ‘white house’. The series is normalized to mean 100 from 1985-2009 and based on queries run on 2 February, 2015 for the USA Today, Miami Herald, Chicago Tribune, Washington Post, LA Times, Boston Globe, SF Chronicle, Dallas Morning News, NY Times, and the Wall Street Journal.
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  61. Shutdown Tax Reform Act and Healthcare Policy Initiative Figure 8: Industrial Production and Employment Responses to EPU Shock, VAR Fit to Monthly U.S. Data from January 1985 to December 2012 IP Response, %
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  62. To construct a newspaper-based measure of equity market uncertainty, we parallel the approach in Section 3.3 above. Specifically, we use the same newspapers, scaling methods and search criteria – except for dropping the policy-related term set and, instead, requiring an article to contain ‘stock price’, ‘equity price’ or ‘stock market’. Figure C2 plots the resulting newspaper-based index of equity market uncertainty and the monthly average of daily VIX values from 1990 to 2012. The two series are highly correlated. While the newspaper-based index is clearly noisier, it picks up every major move in the VIX during the sample period.
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  63. Unemployment Rate Response -1.5 -1 -.5 0 0 6 12 18 24 30 36 0 .1 .2 .3 .4 0 6 12 18 24 30 42 Not Intended for Publication Appendix A. Newspapers, Archives, and EPU Term Sets United States (1985-, monthly): We search the LA Times, USA Today, Chicago Tribune, Washington Post, Boston Globe, and Wall Street Journal using Proquest newspaper archives; the Miami Herald, Dallas Morning News, Houston Chronicle, and San Francisco Chronicle using the Access World News Newsbank service; and the New York Times using its own online archive.
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  64. United Kingdom (1997-, monthly): We search the Times of London and the Financial Times using the Access World News Newsbank service. Our term sets are (E) economic OR economy; 46 (P) spending OR policy OR deficit OR budget OR tax OR regulation OR “Bank of England”; and (U) uncertain OR uncertainty.
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  65. United States (1985-, daily): We search archives for all daily-circulation US newspapers available through Access World News Newsbank service. The US daily EPU index uses the same term sets as the modern US monthly index. 43 Canada (1985-, monthly): We search the Gazette (from 1985), Globe and Mail (1985), Canadian Newswire (1999), Ottawa Citizen (1986), Toronto Star (1985), and Vancouver Sun (1987) using Proquest newspaper archives. The policy term set is spending, policy, deficit, budget, tax, regulation, and “central bank”.
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  66. United States, Historical (1900-2014, monthly): We rely on archives for the LA Times, Chicago Tribune, Boston Globe, Wall Street Journal, NY Times and Washington Post from 1900 to 1984 and all ten papers listed above from 1985 to 2010. In constructing the historical US index, we expanded the economy term set to include “business”, “industry”, “commerce” and “commercial” in addition to “economy” and “economic”. We expanded the policy term set to include “war” and “tariff”, as discussed in Section 3.1. We splice the 6-paper and 10-paper series based on their overlap from 1985 to 1994 as follows: First, we adjust the 10-paper modern series multiplicatively to match the standard deviation of the historical series. Second, we additively adjust the modern series to match the level of the historical series during the overlap period.
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  23. Has the Grexit news affected euro area financial markets?. (2019). Gregori, Wildmer Daniel ; Sacchi, Agnese.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:49:y:2019:i:c:p:71-84.

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  24. Uncertainty and currency performance: A quantile-on-quantile approach. (2019). Yin, Libo ; Liu, Yang ; Han, Liyan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729.

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  25. Canada’s Monetary Policy Report: If Text Could Speak, What Would It Say?. (2019). Tchebotarev, Dmitri ; Binette, Andre.
    In: Staff Analytical Notes.
    RePEc:bca:bocsan:19-5.

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  26. Policy uncertainty, derivatives use, and firm-level FDI. (2018). Nguyen, Quang ; Papanastassiou, Marina ; Kim, Trang.
    In: Journal of International Business Studies.
    RePEc:pal:jintbs:v:49:y:2018:i:1:d:10.1057_s41267-017-0090-z.

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  27. Uncertainty and Business Cycle: A Review of the Literature and Some Evidence from the Spanish Economy/Incertidumbre y Ciclo Empresarial: Revisión de la literatura y evidencia en la economía español. (2018). Basile, Roberto ; Girardi, Alessandro.
    In: Estudios de Economía Aplicada.
    RePEc:lrk:eeaart:36_1_16.

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  28. Economic Policy Uncertainty in Turkey. (2018). Spilimbergo, Antonio ; Jirasavetakul, La-Bhus Fah.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2018/272.

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  29. Uncertainty and the Great Slump. (2018). Lennard, Jason.
    In: Lund Papers in Economic History.
    RePEc:hhs:luekhi:0170.

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  30. Is U.S. economic policy uncertainty priced in Chinas A-shares market? Evidence from market, industry, and individual stocks. (2018). Kutan, Ali ; Sun, Ping-Wen ; Hu, Zhijun.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:57:y:2018:i:c:p:207-220.

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  31. The study on the tail dependence structure between the economic policy uncertainty and several financial markets. (2018). Yao, Can-Zhong ; Sun, Bo-Yi.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:45:y:2018:i:c:p:245-265.

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  32. Economic Policy Uncertainty in Turkey. (2018). Jirasavetakul, La-Bhus ; Spilimbergo, Antonio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13352.

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  33. The impact of uncertainty on macro variables: An SVAR-based empirical analysis for EU countries. (2017). Belke, Ansgar ; Kronen, Dominik .
    In: Ruhr Economic Papers.
    RePEc:zbw:rwirep:699.

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  34. Investments and uncertainty revisited: the case of the US economy. (2017). Filis, George ; Degiannakis, Stavros ; Palaiodimos, George.
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:45:p:4521-4529.

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  35. The impact of uncertainty on macro variables - An SVAR-based empirical analysis for EU countries. (2017). Belke, Ansgar ; Kronen, Daniel.
    In: ROME Working Papers.
    RePEc:rmn:wpaper:201711.

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  36. The impact of uncertainty on macro variables - An SVAR-based empirical analysis for EU countries. (2017). Belke, Ansgar ; Kronen, Dominik .
    In: ROME Working Papers.
    RePEc:rmn:wpaper:201708.

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  37. Policy Uncertainty In Japan. (2017). Davis, Steven ; Saito, Ikuo ; Miake, Naoko ; Arbatli, Elif C.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23411.

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  38. Do Islamic Bond (Sukuk) Prices Reflect Financial and Policy Uncertainty? A Quantile Regression Approach. (2017). Reboredo, Juan ; Naifar, Nader.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:53:y:2017:i:7:p:1535-1546.

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  39. The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries. (2017). Belke, Ansgar ; Ansgar, Belke ; Dominik, Kronen.
    In: Review of Economics.
    RePEc:lus:reveco:v:68:y:2017:i:2:p:93-116:n:4.

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  40. Has the Grexit news affected euro area financial markets?. (2017). Sacchi, Agnese ; Gregori, Wildmer Daniel.
    In: Working Papers.
    RePEc:jrs:wpaper:201713.

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  41. Measuring uncertainty in the stock market. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:48:y:2017:i:c:p:18-33.

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  42. Uncertainty spillover and policy reactions. (2017). Claeys, Peter.
    In: Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA.
    RePEc:col:000107:015470.

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  43. Uncertainty spillover and policy reactions. (2017). Claeys, Peter.
    In: Revista ESPE - Ensayos sobre Política Económica.
    RePEc:bdr:ensayo:v:35:y:2017:i:82:p:64-77.

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  44. Propagación de la incertidumbre y reacciones de política. (2017). Claeys, Peter.
    In: Revista ESPE - Ensayos sobre Política Económica.
    RePEc:bdr:ensayo:v:35:y:2017:i:82:p:31-45.

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  45. Policy Uncertainty and Foreign Exchange Rates: The DCC-GARCH Model of the US / Japanese Foreign Exchange Rate. (2016). Kurasawa, Kazutaka.
    In: International Journal of Economic Sciences.
    RePEc:sek:jijoes:v:5:y:2016:i:4:p:1-19.

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  46. Estimation of historical inflation expectations. (2016). Binder, Carola.
    In: Explorations in Economic History.
    RePEc:eee:exehis:v:61:y:2016:i:c:p:1-31.

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  47. Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions. (2016). Sacchi, Agnese ; Gregori, Wildmer Daniel.
    In: Mo.Fi.R. Working Papers.
    RePEc:anc:wmofir:134.

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  48. Investments and uncertainty revisited: The case of the US economy. (2015). Palaiodimos, Georgios ; Filis, George ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:72083.

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  49. Advances in financial risk management and economic policy uncertainty: An overview. (2015). McAleer, Michael ; Hammoudeh, Shawkat.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:1-7.

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  50. Policy risks, technological risks and stock returns: New evidence from the US stock market. (2015). Apergis, Nicholas.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:51:y:2015:i:c:p:359-365.

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