Quarterly Journal of Economics · 2016 · Scott Baker、Nicholas Bloom、Steven J. Davis
中文摘要
我们基于报纸报道频率构建了一个新的经济政策不确定性（EPU）指数。多种证据——包括对12,000篇报纸文章的人工阅读——表明，我们的指数可以作为与政策相关的经济不确定性变动的代理指标。我们的美国指数在势均力敌的总统选举、第一次和第二次海湾战争、9/11袭击、雷曼兄弟倒闭、2011年债务上限争端以及其他围绕财政政策的重大争斗前后急剧攀升。利用企业层面数据，我们发现，在国防、医疗保健、金融和基础设施建设等政策敏感行业，政策不确定性与更大的股价波动性以及投资和就业的减少相关。在宏观层面，政策不确定性的新息预示着美国投资、产出和就业的下降；在面板向量自回归框架下，对12个主要经济体的分析也得出了同样的结果。我们将美国指数回溯至1900年，发现EPU在20世纪30年代（自1931年末起）大幅上升，并自20世纪60年代以来呈逐步上升趋势。
Abstract
Abstract We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency. Several types of evidence—including human readings of 12,000 newspaper articles—indicate that our index proxies for movements in policy-related economic uncertainty. Our U.S. index spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute, and other major battles over fiscal policy. Using firm-level data, we find that policy uncertainty is associated with greater stock price volatility and reduced investment and employment in policy-sensitive sectors like defense, health care, finance, and infrastructure construction. At the macro level, innovations in policy uncertainty foreshadow declines in investment, output, and employment in the United States and, in a panel vector autoregressive setting, for 12 major economies. Extending our U.S. index back to 1900, EPU rose dramatically in the 1930s (from late 1931) and has drifted upward since the 1960s.