Text as data: a machine learning-based approach to measuring uncertainty

• Tác giả: Rickard Nyman, Paul Ormerod
• Ngôn ngữ: eng
• Ký hiệu phân loại: 006.31 Machine learning
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 164648

Tóm tắt

The Economic Policy Uncertainty index had gained considerable traction with both academics and policy practitioners. Here, we analyse news feed data to construct a simple, general measure of uncertainty in the United States using a highly cited machine learning methodology. Over the period January 1996 through May 2020, we show that the series unequivocally Granger-causes the EPU and there is no Granger-causality in the reverse direction