Google It Up! A Google Trends-based Uncertainty index for the United States and Australia
Google It Up! A Google Trends-based Uncertainty index for the United States and Australia
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DOI：
10.1016/j.econlet.2017.09.032
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发表时间：
2017-12-01
影响因子：
2
通讯作者：
Trung Duc Tran
中科院分区：
文献类型：
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作者：
Castelnuovo, Efrem;Trung Duc Tran
我们根据可免费访问的实时谷歌趋势数据制定了美国和澳大利亚的不确定性指数。我们发现，我们的 Google 趋势不确定性 (GTU) 指数与这两个国家可用的各种不确定性替代指标呈正相关。 VAR 调查记录了美国 GTU 冲击对失业动态产生的经济和统计显着贡献。相比之下，GTU 冲击对澳大利亚失业动态的影响要温和得多，并且远低于货币政策冲击。 (C) 2017 Elsevier B.V. 保留所有权利。
We develop uncertainty indices for the United States and Australia based on freely accessible, real time Google Trends data. Our Google Trends Uncertainty (GTU) indices are found to be positively correlated to a variety of alternative proxies for uncertainty available for these two countries. VAR investigations document an economically and statistically significant contribution to unemployment dynamics by GTU shocks in the United States. In contrast, the contribution of GTU shocks to unemployment dynamics in Australia is found to be much milder and substantially lower than that of monetary policy shocks. (C) 2017 Elsevier B.V. All rights reserved.