New economic policy uncertainty indexes for South Korea

被引：2

作者：

Lee, Geung-Hee ^{[1
]}

Cho, Joo-Hee ^{[2
]}

Jo, Jin-Gyeong ^{[2
]}

机构：

[1] Korea Natl Open Univ, Dept Data Sci & Stat, 86 Daehak Ro, Seoul 03087, South Korea

[2] Korea Dev Inst, Data Anal Unit, Yeongi Gun, South Korea

来源：

KOREAN JOURNAL OF APPLIED STATISTICS | 2020年 / 33卷 / 05期

关键词：

economic policy uncertainty index; text-mining; impulse response analysis; cross-correlation; forecasting performance;

D O I：

10.5351/KJAS.2020.33.5.639

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Baker et al. (Quarterly Journal of Economics, 134, 1593-1636, 2016) developed an Economic Policy Uncertainty (EPU) index for South Korea in the same way as the U.S. EPU Index. However, the South Korean EPU index of Baker et al. (2016) has limitations as it did not fully reflect South Korean situation in terms of keyword selection and the selection of newspapers. We develop monthly South Korean economic policy uncertainty indexes with different keywords and news media. Various analyses have been conducted in order to examine the usefulness of the newly compiled indexes.

引用

页码：639 / 653

页数：15

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