How different are the alternative Economic Policy Uncertainty indices? The case of European countries.

How different are the alternative Economic Policy Uncertainty indices? The case of European countries. | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article How different are the alternative Economic Policy Uncertainty indices? The case of European countries. Jaromír Baxa, Tomáš Šestořád This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-4472552/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract Several alternative news-based Economic Policy Uncertainty indices have been developed for Spain and a few other European countries. These alternative indices differ in the selection of keywords, newspaper coverage, and a scaling factor that is used to calculate the EPU index from the raw news data. Using the generalized forecast error variance decompositions of the time-varying parameter VAR model and the analysis of dynamic connectedness, we show that the restriction to include only domestic news affects estimated spillovers substantially, leading to different qualitative and quantitative assessments of uncertainty spillovers in Europe. Therefore, not all EPU indices are the same. JEL Classification: C32, F42, F45 Uncertainty Forecast error variance decomposition Spillovers Full Text Supplementary Files Dataforsubmission.xlsx Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. 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