Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/30426
Title: Indirect news coverage and economic policy uncertainty
Authors: Xu, F
Wu, J
Keywords: textual analysis;semantic fingerprint;uncertainty
Issue Date: 9-Jan-2025
Publisher: Elsevier
Citation: Xu, F. and Wu, J. (2025). 'Indirect news coverage and economic policy uncertainty', Economics Letters, 247, 112135, pp. 1 - 5. doi: 10.1016/j.econlet.2024.112135.
Abstract: This paper uses semantic fingerprints of news to measure news intensity for countries. Estimation results from DCC-GARCH models show that correlations between news intensity and economic uncertainty are mostly positive throughout time. The more relevant news about a country are published, the higher is the economic uncertainty in that country. News intensity also has a negative impact on correlations between uncertainty and inflation, and a positive impact on correlations between uncertainty and output growth.
Description: Data availability: The news intensity data underpinning this publication can be accessed from Brunelfigshare: https://doi.org/10.17633/rd.brunel.27854760.The EPU data is obtained from https://www.policyuncertainty.com. CPI and industrial production data are downloaded from https://fred.stlouisfed.org
JEL classification: D8; C3; C8.
• Dataset link: https://doi.org/10.17633/rd.brunel.27854760, https://www.policyuncertainty.com, https://fred.stlouisfed.org
URI: https://bura.brunel.ac.uk/handle/2438/30426
DOI: https://doi.org/10.1016/j.econlet.2024.112135
ISSN: 0165-1765
Other Identifiers: ORCiD: Fang Xu https://orcid.org/0000-0002-4878-2481
ORCiD: Jiaying Wu https://orcid.org/0000-0002-4818-5484
112135
Appears in Collections:Dept of Economics and Finance Research Papers

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