Belgian economic policy uncertainty index : improvement through text mining

Abstract: Recently, the literature has measured economic policy uncertainty using news references, resulting in the frequently-mentioned Economic Policy Uncertainty index (EPU). In the original setup, a news article is assumed to address policy uncertainty if it contains certain predefined keywords. We argue that the original setup is prone to measurement error, and propose an alternative methodology using text mining techniques. We compare the original method to modality annotation and support vector machines (SVM) classification in order to create an EPU index for Belgium. Validation on an o... Mehr ...