Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286369 
Year of Publication: 
2024
Series/Report no.: 
IES Working Paper No. 3/2024
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
Several alternative news-based Economic Policy Uncertainty indices have been developer 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.
Subjects: 
Uncertainty
Forecast error variance decomposition
Spillovers
JEL: 
C32
F42
F45
Document Type: 
Working Paper

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