Spain Monthly Index

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We are pleased to host a new EPU index for Spain developed by Corinna Ghirelli, Javier J. Pérez and Alberto Urtasun.

Their paper describing the index can be found at: "A new economic policy index for Spain"

They construct an index of economic policy uncertainty based on newspaper coverage frequency of 7 relevant Spanish national newspapers from January 1997 to the present. The construction of the index follows closely the procedure in "Measuring Economic Policy Uncertainty" by Scott R. Baker, Nicholas Bloom and Steven J. Davis.

To construct their monthly index, the authors consider the following newspapers: El País, El Mundo, La Vanguardia, ABC, Expansión, Cinco Días, and El Economista. The first 4 newspapers are the largest and most read generalist newspapers in Spain, while Expansión, Cinco Días, and El Economista are the three headline Spanish business newspapers. They count the number of articles containing simultaneously at least one keyword related to the categories of "uncertainty", "economy", and "policy". They carry out all queries using the Dow Jones' Factiva service, and restrict all queries to articles whose content is related to Spain, based on Factiva's indexation. In addition, they focus on the following keywords in Spanish language:

  • Uncertainty: inciert* or incertidumbr* or inestabl* or inestabilidad or inestabilidades or riesgo or riesgos
  • Economy: economic* or economía
  • Policy: Parlamento or Moncloa or gobierno central or Hacienda or Comisión Europea or déficit or presupuest* or gasto/s público/s or deuda/s pública/s or política/s fiscal/es or política/s monetaria/s or impuesto/s or Banco Central Europeo or BCE or Banco de España or BdE or legislación/es or reforma/s or norma/s or normativ* or regulación/es or reglamento/s or ley/es. As for the word impuesto, they impose in the query that it is preceded by articles, propositions or demonstrative adjectives (i.e. el or de or del or un or por or este or ese or aquel) in order to capture sentences in which impuesto is a noun (e.g. meaning taxes) and not the past participle of the verb imponer

To obtain the monthly EPU index, they proceed as follows. They scale the raw count by the total number of articles in the same newspaper/month. They standardize the monthly series of scaled counts to have a unit standard deviation from January 1997 until June 2018. They average the standardized series across the newspapers. They rescale the resulting index to mean 100 from January 1997 until June 2018.