En este artículo, desarrollamos una medida de incertidumbre económica en frecuencia diaria para Chile utilizando información obtenida desde cuentas de Twitter mediante técnicas de web scraping, y siguiendo de cerca la metodología propuesta por Baker et al. (2016). Las medidas propuestas, denominadas DEPU y DEPUC, apuntan a capturar el nivel de desacuerdo general en los contenidos de tweets –una proxy de incertidumbre económica– en tópicos relacionados con la economía, políticas económicas, incertidumbre acerca de eventos particulares, y la contingencia económica en Chile. Ambas medidas, disponibles desde 2012, muestran aumentos significativos que coinciden con varios episodios locales e internacionales que provocaron niveles extraordinarios de incertidumbre económica en Chile, especialmente luego de los eventos en torno a las protestas civiles de mediados de Octubre 2019 y la pandemia del COVID-19 a mediados de Marzo 2020. Los resultados de un ejercicio empírico revelan que la medida propuesta es un determinante significativo de la dinámica del tipo de cambio nominal, especialmente cuando la magnitud de esta variable es elevada y luego de una semana de ocurrido un shock de incertidumbre. Por el contrario, cuando el tipo de cambio se encuentra en niveles bajos, los impactos de la incertidumbre sobre esta variable son cuantitativamente menores para cualquier horizonte de proyección. Estas características, y otras discutidas en el artículo, destacan la utilidad de la métrica propuesta como un indicador adicional que los encargados de formular políticas pueden incorporar en su set de herramientas de monitoreo.
In this paper, we develop a daily-frequency measure of economic uncertainty for Chile employing information that was obtained from Twitter accounts using web scraping techniques and following closely the methodology proposed by Baker et al. (2016). Our proposed measures, called DEPU and DEPUC, aim to capture the level of generaldisagreement —a proxy for economic uncertainty— in topics such as the economy, economic policies, uncertainty about particular events, and the current economic situation in Chile. Both indices, available from 2012 onwards, show significant hikes that coincide with several local and international episodes that provoked extraordin ary levels of economic uncertainty in Chile, especially after the events around the civil protests in mid-October 2019 and the COVID-19 pandemic in mid-March 2020. An empirical exercise reveals that the proposed measures are significant determinants of the nominal exchange rate dynamics, especially when the magnitude of this variable is high and a week after the shock occurs. When the exchange rate is low, on the contrary, the impact of uncertainty on this variable is quantitatively smaller for any forecasting horizon. These features, and others discussed in the paper, highlight the usefulness of the proposed metric as an additional indicator that policymakers can incorporate into their monitoring toolkit.
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Box-FSR
Daily Economic Policy Uncertainty Measures (*)
(*) Both series were filtered using a 30-days moving average to avoid excessive daily variability. Vertical lines mark events of substantial economic uncertainty, whereas shaded areas mark various events related to the civil protests and riots of October 2019 and the COVID-19 pandemic starting mid-March 2020 onwards.
Source: Authors’ elaboration.
Daily Economic Policy Uncertainty Measures (*)
(*) Both series were filtered using a 30-days moving average to avoid excessive daily variability. Vertical lines mark events of substantial economic uncertainty, whereas shaded areas mark various events related to the civil protests and riots of October 2019 and the COVID-19 pandemic starting mid-March 2020 onwards.
Source: Authors’ elaboration.
Daily Economic Policy Uncertainty Measures (*)
(*) Both series were filtered using a 30-days moving average to avoid excessive daily variability. Vertical lines mark events of substantial economic uncertainty, whereas shaded areas mark various events related to the civil protests and riots of October 2019 and the COVID-19 pandemic starting mid-March 2020 onwards.
Source: Authors’ elaboration.