Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245986 
Year of Publication: 
2020
Series/Report no.: 
Danmarks Nationalbank Working Papers No. 165
Publisher: 
Danmarks Nationalbank, Copenhagen
Abstract: 
We construct an index for economic policy uncertainty in Denmark using articles in Denmark's largest financial newspaper. We adapt a Latent Dirichlet Allocation (LDA) model to sort articles into topics. We combine article-specific topic weights with the occurrence of words describing uncertainty to construct our index. We then incorporate the index in a structural VAR model of the Danish economy and find that uncertainty is a robust predictor of investments and employment. According to our model, increased uncertainty contributed significantly to the drop in investments during the Sovereign Debt Crisis. Conversely, uncertainty has so far had a smaller, but still significant, impact on investments during the COVID-19 pandemic.
Subjects: 
Economic activity and employment
Current economic and monetary trends
Statistical method
JEL: 
D80
E66
Document Type: 
Working Paper

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