MODERN APPROACHES TO ASSESSING THE LEVEL OF ECONOMIC UNCERTAINTY: INTERNATIONAL PRACTICE AND RECOMMENDATIONS FOR RUSSIA

Abstract

In this study we construct economic policy uncertainty indices for Russia using online news articles and VK posts. A comparative analysis of quantitative measures of economic uncertainty shows that the news index captures periods of economic uncertainty better than the Baker-Bloom-Davis index. On the contrary, the Baker-Bloom-Davis index for Russia is extremely sensitive to political instability and the period of the coronavirus. 

The goal of this study is to assess economic policy uncertainty in Russia. The study solves the following tasks: review of theoretical and empirical works on the analysis of the impact of uncertainty on the behavior of economic agents; analysis of approaches to quantitative assessment of economic policy uncertainty; collecting and preparing data; assessment of economic policy uncertainty index based on Russian data; econometric analysis of the impact of economic policy uncertainty on economic activity. The subject of the study is a quantitative assessment of the economic policy uncertainty index based on Russian data. The novelty of the scientific research is the analysis of the level of economic uncertainty in Russia using text analysis of online news articles and VK posts. Methods: text analysis, statistical and econometric methods of time series analysis. The study is carried out on Russian data during 1999-2022. The paper shows that news articles from online media can be used to assess economic policy uncertainty indices. The authors calculate three types of economic uncertainty index: news-based economic policy uncertainty index, economic policy uncertainty index based on VK posts and measures of financial uncertainty. The results of the econometric analysis indicate that an increase in economic policy uncertainty is associated with a decrease in real GDP, real consumption and real investment. The main conclusion of the study is that the news-based economic policy uncertainty index is useful for analyzing periods of economic instability in Russia

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