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COVID-19 uncertainty index in Japan: Newspaper-based measures and economic activities

Author

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  • Morita, Hiroshi
  • Ono, Taiki
Abstract
This paper measures economic uncertainty induced by the COVID-19 using a newspaper-based approach in Japan and examines its economic impact in the VAR model. We specify two types of uncertainty indices and structural shocks: epidemiological and policy-related uncertainties. The constructed indices can trace well the events related to COVID-19. We then find that stock market variables respond significantly to a policy-related uncertainty shock, while real variables such as mobility and consumption are significantly affected by an epidemiological one. These findings highlight the importance of considering different types of uncertainty to assess the impact of COVID-19 induced uncertainty on economic activity.

Suggested Citation

  • Morita, Hiroshi & Ono, Taiki, 2024. "COVID-19 uncertainty index in Japan: Newspaper-based measures and economic activities," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 390-403.
    • Handle: RePEc:eee:reveco:v:93:y:2024:i:pa:p:390-403
    DOI: 10.1016/j.iref.2024.03.041
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    COVID-19; Uncertainty; Newspaper-based approach; VAR model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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