A machine learning approach to identifying different types of uncertainty

We implement natural language processing techniques to extract uncertainty measures from Federal Reserve Beige Books between 1970 and 2018. Business and economic related uncertainty is associated with future weakness in output, higher unemployment, and elevated term premia. On the other hand, political and government uncertainty, while high during recent times, has no statistically significant impact on the economy.

[1]  Jorge M. Uribe,et al.  Measuring uncertainty in the stock market , 2017 .

[2]  Ruediger Bachmann,et al.  Uncertainty and Economic Activity: Evidence from Business Survey Data , 2010 .

[3]  Efrem Castelnuovo,et al.  Google It Up! A Google Trends-Based Uncertainty Index for the United States and Australia , 2017, SSRN Electronic Journal.

[4]  Shimon Kogan,et al.  Information, Trading, and Volatility: Evidence from Firm-Specific News , 2016, The Review of financial studies.

[5]  S. Leduc,et al.  Uncertainty, unemployment, and inflation , 2012 .

[6]  D. Knippenberg,et al.  Social Identity and Social Exchange: Identification, Support, and Withdrawal from the Job , 2005 .

[7]  Sangyup Choi.  Are the effects of Bloom’s uncertainty shocks robust? , 2013 .

[8]  Nathaniel A. Throckmorton,et al.  A New Way to Quantify the Effect of Uncertainty , 2017 .

[9]  Stefan Klößner,et al.  International Spillovers of Policy Uncertainty , 2014 .

[10]  Vegard Høghaug Larsen,et al.  Components of Uncertainty , 2017, International Economic Review.

[11]  J. Rogers,et al.  Monetary Policy Uncertainty , 2017, Journal of Monetary Economics.

[12]  Ronen Feldman,et al.  Book Reviews: The Text Mining Handbook: Advanced Approaches to Analyzing Unstructured Data by Ronen Feldman and James Sanger , 2008, CL.

[13]  S. Davis,et al.  Measuring Economic Policy Uncertainty , 2013 .

[14]  Sven Ove Hansson,et al.  Measuring Uncertainty , 2009, Stud Logica.

[15]  Andrés Azqueta-Gavaldón,et al.  Developing news-based Economic Policy Uncertainty index with unsupervised machine learning , 2017 .

[16]  Richard K. Crump,et al.  Pricing the Term Structure with Linear Regressions , 2013 .

[17]  M. Kenward,et al.  An Introduction to the Bootstrap , 2007 .

[18]  Chiara Scotti.  Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro Surprises , 2016 .

[19]  Michael McMahon,et al.  Transparency and deliberation within the FOMC: a computational linguistics approach , 2014 .

[20]  Brent H. Bundick,et al.  Forward Guidance, Monetary Policy Uncertainty, and the Term Premium , 2017 .

[21]  H. Mumtaz.  Does uncertainty affect real activity? Evidence from state-level data , 2018, Economics Letters.

[22]  Drew D. Creal,et al.  Monetary Policy Uncertainty and Economic Fluctuations , 2017 .