Embedded Files
Project Summary
Project Summary
We construct novel news-based indicators of Brexit uncertainty at both aggregate and topic-specific level for the UK economy (such as Northern Ireland, supply chain issues, and energy & climate), based on textual analysis and unsupervised machine learning methods.
These Brexit uncertainty indices (BUI) capture well UK firms’ concerns reported by the Bank of England’s Decision Maker Panel surveys.
These monthly indices are cost-effective and can be updated in close to real time, which are advantageous to policy evaluation compared to traditional large firm surveys.
They also allow for disentangling the Brexit effects from those of the COVID-19 pandemic. We find that the pandemic accounted for around half of the overall uncertainty index post 2020, and this magnification effect varies significantly across policy areas.
Aggregate Brexit Uncertainty Index
Aggregate Brexit Uncertainty Index
- Aggregate BUI (2013- December 2022)
BUI: A monthly index based on the frequency of news articles that concern Brexit uncertainty. The index is normalized to a maximum value of 100.
Lower Bound BUI: A monthly index based on the frequency of news articles that concern Brexit uncertainty, excluding all articles mentioning COVID related words after January 2020.
- Comparison to Twitter BUI
Twitter BUI: An index that we construct based on the same methodology for the news-based BUI, but using instead the frequency of Twitter tweets concerning Brexit uncertainty.
- Comparison to Stock Market Volatility
VFTSE: the FTSE 100 Volatility Index (VFTSE), representing the implied volatility on the FTSE 100, available until June 2019. Data source: Bloomberg.
Topic-level Brexit Uncertainty Indices
Topic-level Brexit Uncertainty Indices
- Northern Ireland
- Supply Chain
- Energy & Climate
- Employment
- Immigration
- Trade Policy
- Fishing Dispute
- Currency
- Macroeconomy
Government Spending & Budget
Tax
Housing Price
Food Industry
Manufacturing
Scotland
Page updated
Google Sites
Report abuse