Arbeitspapier
Uncertainty about the war in Ukraine: Measurement and effects on the German business cycle
We assemble a data set of more than eight million German Twitter posts related to the war in Ukraine. Based on state-of-the-art methods of text analysis, we construct a daily index of uncertainty about the war as perceived by German Twitter. The approach also allows us to separate this index into uncertainty about sanctions against Russia, energy policy and other dimensions. We then estimate a VAR model with daily financial and macroeconomic data and identify an exogenous uncertainty shock. The increase in uncertainty has strong effects on financial markets and causes a significant decline in economic activity as well as an increase in expected inflation. We find the effects of uncertainty to be particularly strong in the first months of the war.
- Sprache
-
Englisch
- Erschienen in
-
Series: IMFS Working Paper Series ; No. 184
- Klassifikation
-
Wirtschaft
- Thema
-
war
Twitter
geopolitical risk
machine learning
business cycle
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Grebe, Moritz
Kandemir, Sinem
Tillmann, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Grebe, Moritz
- Kandemir, Sinem
- Tillmann, Peter
- Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
Entstanden
- 2023
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