The Google Trends Uncertainty (GTU) Index: A Measure of Economic Policy Uncertainty in the EU Using Google Trends

Authors

Luisa Weinberg, New York UniversityFollow

Abstract

The objective of this research is to use Google search data to build the Google Trends Uncertainty (GTU) index, a weekly measure of uncertainty surrounding economic policy in the four largest economies in the European Union: Germany, France, Italy, and Spain. By obtaining the relative popularity of Google searches with economic policy uncertainty connotations given a specific timeframe and geographical area, the frequency with which people search for terms related to economic policy effectively serves as a proxy for actual economic policy uncertainty. In its entirety, the various elements of this research allow to accurately and unbiasedly measure economic policy uncertainty on a higher frequency than existing indices, gauge the extent to which Germany, France, Italy, and Spain influence each other with regards to uncertainty surrounding economic policy, produce a one-step out-of-sample forecast, and estimate the magnitude with which uncertainty impacts the rate of unemployment and industrial production.

Recommended Citation

Weinberg, Luisa (2020) "The Google Trends Uncertainty (GTU) Index: A Measure of Economic Policy Uncertainty in the EU Using Google Trends," Undergraduate Economic Review: Vol. 17: Iss. 1, Article 2.
Available at: https://digitalcommons.iwu.edu/uer/vol17/iss1/2