Hardouvelis-Karalas-Karanastasis-Samartzis (HKKS) Uncertainty Indices for Greece

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Gikas Hardouvelis, Georgios Karalas, Dimitrios Karanastasis and Panagiotis Samartzis construct uncertainty indices for Greece from articles published in four Greek newspapers: "To Vima," "Ta Nea," "Naftemporiki" and "Kathimerini." Their methods follow "Measuring Economic Policy Uncertainty" by Scott Baker, Nick Bloom and Steven Davis, and their indices run from January 1998 to the present.

To construct their index of Economic Policy Uncertainty for Greece, they first obtain raw EPU article counts. Specifically, for each month and newspaper, they count articles that contain one or more terms in each of the following three term sets:

(1) Uncertainty - uncertainty, vagueness, doubt, concern

(2) Economy - economy

(3) Policy - Parliament, legislation, government, Bank of Greece, central bank, reform, structural changes, law, minister, prime minister, Maximos Mansion, deficit, deregulation, regulatory framework, Capital Market Commission, Competition Commission, or Council of State

They scale the raw EPU counts by the total number of articles in the same newspaper and month. Next, they standardize each paper's scaled monthly counts by dividing by its standard deviation from January 1998 to December 2017. Finally, they average the standardized values over newspapers by month to obtain a single time series, which they normalize to a mean of 100 from January 1998 to December 2017.

They also create a broader Economic Uncertainty (EU) index that is based on articles containing at least one term from groups (1) uncertainty and (2) the economy.

To create category-specific EPU indices, they add a fourth criterion when obtaining raw counts. That is, each category-specific index reflects counts of newspaper articles that contain at least one term about (1) uncertainty, (2) the economy, (3) policy and (4) terms reflective of the category. Their category-specific indices are Fiscal Policy Uncertainty (EPUF), Monetary Policy Uncertainty (EPUM), Currency Policy Uncertainty (EPUC), Banking Policy Uncertainty (EPUB) and Pension Policy uncertainty (EPUP). They further partition the EPUF terms into subsets for Tax Policy Uncertainty (EPUT) and Debt Policy Uncertainty (EPUD).

Data for their overall EPU index for Greece and each category-level index are available above as well as in www.hardouvelis.gr. The indices are updated regularly.

Category-Specific Term Sets:

Tax (fiscal) policy - tax, value added tax, special consumption tax, public revenues, privatization revenues, tax office or authority

Debt (fiscal) policy - government spending, primary spending, defense spending, public investment, budget, sovereign debt, public debt, transfer payments, public consumption, public benefit or allowance, country default

Fiscal policy - the union of words in the previous two groups (Tax and Debt).

Monetary policy - interest rate, cost of money, monetary policy, quantitative easing

Currency policy - exchange rate, drachma, Eurozone, currency appreciation, currency depreciation, national currency , economic and monetary union, Grexit

Banking policy - bank, banking system, banking sector, loan, deposits, interbank market, lending rate, deposit rate

Pension policy - pension, lump sum pension, pension insurance system, insurance fund, Social Insurance Institute, social insurance, zero deficit clause, pension reform, insurance contribution, funded pension scheme, pay as you go pension scheme

Since Greek words appear in different tenses, different declensions and sometimes in abbreviated form, they consider all variants of the indicated terms except the term for drachma, which they use only in its singular form. In its plural form, drachma denotes unit of account and is not necessarily related to currency uncertainty.

For additional information, see their paper titled "Economic Policy Uncertainty, Political Uncertainty and the Greek Economic Crisis".