Twitter-based economic policy uncertainty index for Chile

In this paper, we develop a daily-frequency measure of economic and policy uncertainty for Chile, employing information obtainedfrom Twitter accounts using web scraping techniques following closely the methodology proposed by Baker et al. (2016). Our measure, called DEPUC, aims to capture level general disagreement -a proxy uncertainty- in topics such as economy, policies, about particular events, Chileâ??s conjuncture situation. The index, available from 2012 onwards, shows significant hikes that coincide with several local international episodes provoked extraordinary levels especially after events around civil protests mid-October 2019 start COVID-19 pandemic mid-March 2020. An empirical exercise reveals is determinant nominal exchange rate dynamics, when variableâ??s magnitude high week shock occurs. On contrary, low, impact on variable quantitatively smaller any forecasting horizon. These features, others discussed highlight usefulness metric an additional indicator policymakers can incorporate into their monitoring toolkit.