Arbatli et al. MPU Index for Japan

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To construct a monthly Monetary Policy Uncertainty (MPU) Index for Japan, Elif C. Arbatli, Steven J. Davis, Arata Ito, Naoko Miake and Ikuo Saito rely on digital archives for four major Japanese newspapers: Yomiuri, Asahi, Mainichi and Nikkei. They identify newspaper articles that contain Japanese terms pertaining to E(conomics), P(olicy), U(uncertainty) and M(onetary) policy matters.

Interested data users should consult the authors' "Policy Uncertainty in Japan" for a precise statement of their E, P, U and M terms in Japanese. In terms of approximate English translations, they flag articles that contain one or more terms in each of the following sets:

  • E: economic, economy
  • P: tax(es), taxation, government X (where X = spending, expenditure, revenue(s), budget, debt, deficit(s)), public debt, BOJ, Bank of Japan, central bank(s), the Fed, Federal Reserve, regulation(s), regulatory, regulate, deregulation, deregulate, structural reform, legislation, upper house, lower house, Diet, Prime Minister, Prime Minister's Office
  • U: uncertain, uncertainty, concern
  • M: monetary policy, BOJ, Bank of Japan, monetary easing, further easing, quantitative easy, quantitative and qualitative easing, monetary tightening, negative interest rate, policy rate, official discount rate, monetary operation(s), market operation(s), inflation target, price target

Thus, their MPU criteria identify a subset of the newspaper articles flagged by their EPU criteria. See "Policy Uncertainty in Japan" for a discussion of how the authors selected these term sets.

Arbatli et al. scale their raw newspaper-level MPU counts by the number of articles in the same newspaper and month. They then standardize each paper's series of scaled counts to the same variability over time, adjust for seasonality, and then average across papers by month to obtain their MPU index. Their MPU Index for Japan is normalized to a mean value of 100 from 1987 to 2015. See their paper for more details.

Users of the Japan MPU Index should cite "Policy Uncertainty in Japan" by Arbatli, Davis, Ito, Miake and Saito.