A New Index of Uncertainty Based on Internet Searches: A Friend or Foe of Other Indicators?

Bontempi, Maria Elena ; Golinelli, Roberto ; Squadrani, Matteo (2016) A New Index of Uncertainty Based on Internet Searches: A Friend or Foe of Other Indicators? Bologna: Dipartimento di Scienze economiche DSE, p. 61. DOI 10.6092/unibo/amsacta/4846. In: Quaderni - Working Paper DSE (1062). ISSN 2282-6483.
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Abstract

The preliminary evidence in the literature suggests that changes in uncertainty have a role in shaping the U.S. economic cycle. But what is effectively measured by the different available indicators of uncertainty still remains an "uncertain" issue. This paper has two aims: (i) to introduce a new uncertainty indicator (GT) based on Internet searches; and (ii) to compare the main features and the macroeconomic effects of alternative measures of uncertainty, including our own. Results suggest that GT shocks embody timely information about people's perception of uncertainty and, in some cases, earlier than other indexes. Furthermore, the effect of uncertainty shocks on output is more influenced by parameter breaks due to insample events than by model specification. The consequence is that an all-comprehensive indicator able to weight different sources of uncertainty is preferable.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Bontempi, Maria Elena
Golinelli, Roberto
Squadrani, Matteo
Keywords
Uncertainty measures; finance-based, survey-based, news-based; Internet searches; Google; comparison across indicators; macroeconomic effects of uncertainty.
Subjects
ISSN
2282-6483
DOI
Deposit date
14 Mar 2016 15:56
Last modified
08 May 2017 13:11
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