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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
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    File URL: https://www.bde.es/f/webbe/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosOcasionales/23/Files/do2315e.pdf
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    Citations

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    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

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