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Sources of economic policy uncertainty in the euro area: a machine learning approach

Author

Listed:
  • Azqueta-Gavaldon, Andres
  • Hirschbühl, Dominik
  • Onorante, Luca
  • Saiz, Lorena

Abstract

This box presents a model-based economic policy uncertainty (EPU) index for the euro area by applying machine learning techniques to news articles from January 2000 to May 2019. The machine learning algorithm retrieves components of overall EPU, such as trade, fiscal, monetary or domestic regulations, for a wide range of languages. Recently, a steady and pronounced increase in the euro area EPU index has been observed, driven mainly by trade, domestic regulation and fiscal policy uncertainties. JEL Classification: C1, C8, E65

Suggested Citation

  • Azqueta-Gavaldon, Andres & Hirschbühl, Dominik & Onorante, Luca & Saiz, Lorena, 2019. "Sources of economic policy uncertainty in the euro area: a machine learning approach," Economic Bulletin Boxes, European Central Bank, vol. 5.
    • Handle: RePEc:ecb:ecbbox:2019:0005:4
    Note: 2460732
    as

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    Citations

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    Cited by:

    1. Liosi, Konstantina, 2023. "The sources of economic uncertainty: Evidence from eurozone markets," Journal of Multinational Financial Management, Elsevier, vol. 69(C).
    2. Martin Baumgaertner & Johannes Zahner, 2021. "Whatever it takes to understand a central banker - Embedding their words using neural networks," MAGKS Papers on Economics 202130, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    3. Baumgärtner, Martin & Zahner, Johannes, 2023. "Whatever it takes to understand a central banker: Embedding their words using neural networks," IMFS Working Paper Series 194, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    4. Sonya Georgieva, 2023. "Application of Artificial Intelligence and Machine Learning in the Conduct of Monetary Policy by Central Banks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 177-199.

    More about this item

    Keywords

    Economic Policy Uncertainty; machine learning; sources of uncertainty; text-mining;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes

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