【Empirical seminar】Measuring Brexit Uncertainty: A Machine Learning and Textual Analysis Approach

  • 研討會日期 : 2022-12-15
  • 時間 : 14:30
  • 主講人 : Professor Wanyu Chung (鐘琬瑜)
  • 地點 : Conference room B110
  • 演講者簡介 : Professor Wanyu Chung received her Ph.D. in Economics from the University of Warwick in 2014. She is currently an Associate Professor at University of Birmingham. Her research interests are international trade, international economics, and international macroeconomics.
  • 演講摘要 : In this paper we develop a series of Brexit uncertainty indices (BUI) based on UK newspaper coverage from January 2013 to April 2022. Using unsupervised machine learning (ML) methods to automatically select topics, our main contribution is to generate timely and cost-effective indicators of uncertainty. In further analysis we are able to distinguish between Brexit related uncertainty and uncertainly due to COVID-19. We show that the pandemic accounted for around 50% of the overall uncertainty index post 2020, and this magnification effect varies across policy areas. Our indices can be used to quantify and compare the impact of Brexit uncertainty on different areas of the economy. We undertake a series of validation exercises and use sentiment analysis as an example of how our generated BUIs can be used in practice.