Measuring "State-Level" Economic Policy Uncertainty

被引：5
|
作者：
Elkamhi, Redouane [1 ]
Jo, Chanik [2 ]
Salerno, Marco [3 ]
机构：
[1] Univ Toronto, Rotman Sch Management, Toronto, ON, Canada
[2] Chinese Univ Hong Kong, CUHK Business Sch, Hong Kong, Peoples R China
[3] Healthcare Ontario Pens Plan Trust Fund, Toronto, ON, Canada
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2024年 / 59卷 / 07期
关键词：
POLITICAL UNCERTAINTY; STOCK RETURNS; CROSS-SECTION; INVESTMENT; GEOGRAPHY; RISK; IMPACT; MARKETS; SHOCKS; LAWS;
D O I：
10.1017/S0022109023000807
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop 50 indices of state-level economic policy uncertainty (SEPU) based on newspaper coverage frequency using 204 million newspaper articles from Mar. 1984 to Dec. 2019. We assess the validity of our measures. Our SEPU indices vary counter-cyclically with respect to state-specific economic conditions, rise before close gubernatorial elections, and exhibit a large cross-sectional variation. We demonstrate that SEPU indices are associated with the cross-sectional variation in state-level GDP, employment, income as well as industry investment decisions. Our findings highlight the importance of economic policy uncertainty at the state level in addition to the nationwide level.
引用
收藏
页码：3230 / 3266
页数：37
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