RIETI BBL 2017 7 14
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http://www.rieti.go.jp/jp/database/policyuncertainty/
1997-98 2008 2011 2016 Brexit
1987
1987
THE QUARTERLY JOURNAL OF ECONOMICS Vol. 131 November 2016 Issue 4 MEASURING ECONOMIC POLICY UNCERTAINTY SCOTT R. BAKER NICHOLAS BLOOM STEVEN J. DAVIS We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency. Several types of evidence including human readings of 12,000 newspaper articles indicate that our index proxies for movements in policy-related economic uncertainty. Our U.S. index spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute, and other major battles over fiscal policy. Using firm-level data, we find that policy uncertainty is associated with greater stock price volatility and reduced investment and employment in policy-sensitive sectors like defense, health care, finance, and infrastructure construction. At the macro level, innovations in policy uncertainty foreshadow declines in investment, output, and employment in the United States and, in a panel vector autoregressive setting, for 12 major economies. Extending our U.S. index back to 1900, EPU rose dramatically in the 1930s (from late 1931) and has drifted upward since the 1960s. JEL Codes: D80, E22, E66, G18, L50.
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10 1 ECONOMY: {economy or economic} POLICY: {deficit or regulation or legislation or congress or white house or federal reserve } UNCERTAINTY: {uncertainty or uncertain} 12,000 15 32,000
15 president, senate, house of representives, white house, congress, federal reserve etc. regulation, legislation, budget, spending, deficit, tax etc. 1985-2009 =100
Figure 5: Human and Computer EPU Indices Economic Policy Uncertainty Index 0 100 200 300 Computer Correlation=0.86 Human (+ symbol) 1985 1990 1995 2000 2005 2010 Year Source: Baker, Bloom, and Davis (2016)
1 E: { or } P: { or or or or or or or or or or or or or or or or or or or or or or or or or or or or or or or } U: { or or or }
E U P 15 1987 1 1987-2015 =100
E P U : { or or or or or or or or or or etc.} : { or or or or or or or or or etc.} : { or or 301 or GATT or WTO or or or or or TPP or EPA or FTA etc.} Policy Uncertainty in Japan IMF Working Paper No.17/128
1987
, 87.1-17.6, 1987-2015=100 50 100 150 200 250, ½¼º¼ -¼,, ¼¼º¼,,,, º¼ -¼ ¼½º¼¾-¼ ½½º¼,,,, º½½-½¾, ¼ º¼ -½¼ ½¾º¼,, Í,, ¼½º¼ º¼ ½ º¼ -¼, ½ º¼½-¼¾, ¼ º¼ ½ º½½, º½¼ ½ º¼½, ¼ º¼¾, ¼¾º½¼ 1985 1990 1995 2000 2005 2010 2015 2020 Source: http://www.rieti.go.jp/jp/database/policyuncertainty/
, 85.1-17.6, 1985-2009=100 50 100 150 200 250 300 ¾¼¼¼ ½ ¾,,,, ¾¼½¼ Í ¾¼½ 1985 1990 1995 2000 2005 2010 2015 2020 Source: www.policyuncertainty.com
http://www.policyuncertainty.com/
, 97.1-17.6, 1997-2015=100 50 100 150 200 250 300 この指数は次の18カ国の指数をGDP にもとづくウェイトで加重平均により算出米国, カナダ, ブラジル, チリ, 英国, ドイツ, イタリア, スペイン, フランス, オランダ, ロシア, インド, 中国, 韓国, 日本, アイルランド, スウェーデン, オーストラリア Í,, 1995 2000 2005 2010 2015 2020 Source: www.policyuncertainty.com
GFC 0.30 0.29 0.21 GFC 0.63 0.56 0.57 17 1987.1-2006.12 1997.1-2006.12 2007.1-2006.12 GFC
½¾, % 0 10 20 30 40 50 60 70 1990 1995 2000 2005 2010 2015
1987
VAR TOPIX 5 6 IRF
IRF, %, % -.8 -.6 -.4 -.2 0.2.4-2 -1.5-1 -0.5 0 0.5 1 0 6 12 18 24 30 36 0 6 12 18 24 30 36
IRF, % -1.2-1 -0.8-0.6-0.4-0.2 0 0.2 0.4 0.6 Πʹ Πʹ ÎÁ Πʹ =½¾ = ÈÍ Á Πʹ¾ 0 6 12 18 24 30 36
1997-98 2008 2011 2016 Brexit
Back-up
, 1987-2015=100 50 100 150 200 250 300 350, ¼½º¼¾-¼, ½¼º¼ -¼ ¼½º¼, ¼¼º¼,, ½½º¼ º¼ ¼¾º½¼, º¼, ¼ º¼, ½¾º¼ º½½-½¾, ¼ º¼ -½¼, Í º¼, ½ º¼ -¼, ¼ º¼ º½¼, ¼ º¼½ ¼ º¼¾ 1985 1990 1995 2000 2005 2010 2015 2020 Source: http://www.rieti.go.jp/jp/database/policyuncertainty/
, 1987-2015=100 0 50 100 150 200 250 300 1985 1990 1995 2000 2005 2010 2015 2020 Source: http://www.rieti.go.jp/jp/database/policyuncertainty/
, 1987-2015=100 0 100 200 300 400, ¼¾º¼ -½¼ ½¼º¼ ¼¾º¼¾ Ë ÊË, ¼½º¼¾-¼,,, ½½º¼ ¼ º¼ º½¼ º¼, ¼ º½¼ ½ º¼½-¼¾ º½½, ¼ º¼ º¼, Í, ¾º¼, ½ º¼ -¼,,, º½¼ ¼ º¼ ½ º½½ 1985 1990 1995 2000 2005 2010 2015 2020 Source: http://www.rieti.go.jp/jp/database/policyuncertainty/
, 1987-2015=100 100 200 300 400 500 600 700 800 ÌÈÈ, ÌÈÈ ½ º¼½ Í ÌÈÈ, ½ º¼ ½ º½¼ ÌÈÈ, ½ º¼ ½ º¼½ ÌÈÈ ½ º½¼ ÌÈÈ ½ º¼ ÌÈÈ, ½ ÌÈÈ ½¾º½½-½¾ ½ º½½ ¼½ º¼ ÌÈÈ ½½º½½ º½¾ ÌÈÈ ½½º¼½ º¼ ÌÈÈ, º¼½ ½¼º½½ ¼ º¼¾ ½ º¼ 1985 1990 1995 2000 2005 2010 2015 2020 Source: http://www.rieti.go.jp/jp/database/policyuncertainty/
IV 50 100 150 200 250 300 350 ÎÁ ¼º ¼ 10 20 30 40 50 60 70 80 1990 1995 2000 2005 2010 2015 Source: www.rieti.go.jp/jp/database/policyuncertainty/,
IV 50 100 150 200 250 300 350 ÎÁ ¼º 10 20 30 40 50 60 1990 1995 2000 2005 2010 2015 Source: www.rieti.go.jp/jp/database/policyuncertainty/, www.cboe.com