The Economic Policy Uncertainty index had gained considerable traction with both academics and policy practitioners. Here, we analyse news feed data to construct a simple, general measure of uncertainty in the United States using a highly cited machine learning methodology. Over the period January 1996 through May 2020, we show that the series unequivocally Granger-causes the EPU and there is no Granger-causality in the reverse direction
@article{arxiv.2006.06457,
title = {Text as data: a machine learning-based approach to measuring uncertainty},
author = {Rickard Nyman and Paul Ormerod},
journal= {arXiv preprint arXiv:2006.06457},
year = {2020}
}