IDEAS home Printed from https://ideas.repec.org/p/bde/opaper/2315.html
   My bibliography  Save this paper

Sources of economic policy uncertainty in the euro area: a ready-to-use database

Author

Listed:
  • Andrés Azqueta-Gavaldón

    (Banco de España)

  • Marina Diakonova

    (Banco de España)

  • Corinna Ghirelli

    (Banco de España)

  • Javier J. Pérez

    (Banco de España)

Abstract

In this paper, we build a publicly-available database of economic policy uncertainty (EPU) indicators based on the methodology proposed by Azqueta-Gavaldón, Hirschbühl, Onorante and Saiz (2023), which uses topic modelling techniques to identify distinct components of EPU. This database is regularly updated and can be accessed on the Banco de España’s website. Currently, the dataset covers the four largest countries in the euro area, namely Spain, Italy, France, and Germany. Our data coverage is continually expanding to include more euro area countries. Additionally, we compute the aggregated EPU indexes for the euro area. This comprehensive dataset and the resulting euro area indexes provide valuable tools for researchers, policymakers and analysts to assess and monitor the dynamics of economic policy uncertainty in real time.

Suggested Citation

  • Andrés Azqueta-Gavaldón & Marina Diakonova & Corinna Ghirelli & Javier J. Pérez, 2023. "Sources of economic policy uncertainty in the euro area: a ready-to-use database," Occasional Papers 2315, Banco de España.
  • Handle: RePEc:bde:opaper:2315
    DOI: https://doi.org/10.53479/33155
    as

    Download full text from publisher

    File URL: https://www.bde.es/f/webbe/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosOcasionales/23/Files/do2315e.pdf
    File Function: First version, July 2023
    Download Restriction: no

    File URL: https://libkey.io/https://doi.org/10.53479/33155?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pastorek, Daniel, 2023. "Euro area uncertainty and Euro exchange rate volatility: Exploring the role of transnational economic policy," Finance Research Letters, Elsevier, vol. 58(PA).
    2. Liosi, Konstantina, 2023. "The sources of economic uncertainty: Evidence from eurozone markets," Journal of Multinational Financial Management, Elsevier, vol. 69(C).
    3. Daniel Pastorek & Dajana Mazurkova, 2023. "The Heterogeneity of European Bank Lending and the Role of Economic Policy Uncertainty," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 71(3), pages 258-278, March.

    More about this item

    Keywords

    economic policy uncertainty; euro area; machine learning; Latent Dirichlet Allocation; word embeddings;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

    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:opaper:2315. 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.