Uncertainty about the war in Ukraine: Measurement and effects on the German business cycle

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IMFS Working Paper Series ; No. 184

Classification and Topics

• Classification: Wirtschaft
• Subject: war ; Twitter ; geopolitical risk ; machine learning ; business cycle

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Grebe, Moritz ; Kandemir, Sinem ; Tillmann, Peter
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
• (where): Frankfurt a. M.
• (when): 2023

Further information

• Handle: http://hdl.handle.net/10419/272263
• Last update: 10.03.2025, 11:43 AM CET