A New Index for Measuring Uncertainty Due to the COVID-19 Pandemic

نویسندگان

چکیده

This study contributes to the emerging literature offering alternative measures of uncertainty due COVID-19 pandemic. We combine both news-and macro-based trends construct an index. The former involves use Google with plausible variants words used capture pandemic, which are combined using principal components analysis develop a news-based For index, we identify global factors such as oil price, stock Dollar commodity index and gold thereafter obtain stochastic volatility models estimated Bayesian techniques dynamic factor model. Consequently, new (composite) is constructed by combining news- indexes analysis. Our empirical applications return predictability countries hit worst pandemic confirm superiority composite over existing in in-sample out-of-sample forecast horizons. results also robust horizons competing model choices.

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ژورنال

عنوان ژورنال: Sustainability

سال: 2021

ISSN: ['2071-1050']

DOI: https://doi.org/10.3390/su13063212