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http://dx.doi.org/10.5351/KJAS.2020.33.5.639

New economic policy uncertainty indexes for South Korea  

Lee, Geung-Hee (Department of Data Science and Statistics, Korea National Open University)
Cho, Joo-Hee (Data Analysis Unit, Korea Development Institute)
Jo, Jin-Gyeong (Data Analysis Unit, Korea Development Institute)
Publication Information
The Korean Journal of Applied Statistics / v.33, no.5, 2020 , pp. 639-653 More about this Journal
Abstract
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.
Keywords
economic policy uncertainty index; text-mining; impulse response analysis; cross-correlation; forecasting performance;
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