甚麼是Economic Policy Uncertainty Index?

Economic Policy Uncertainty Index (EPU)是個近年在學界相當流行的另類經濟風險指標。

Economic Policy Uncertainty Index

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甚麼是Economic Policy Uncertainty Index?

這個簡稱為EPU的指數, 由三名學者Scott Baker、Nick Bloom及Steven Davis研發。

Measuring Economic Policy Uncertainty

NBER Working Paper No. 21633 Issued in October 2015 NBER Program(s):Asset Pricing, Economic Fluctuations and Growth, Public Economics, Political Economy 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.

三位合著的2015年論文《Measuring Economic Policy Uncertainty》指出,EPU量度會每日報章上有與經濟、不確定性及政策有關字詞出現的文章比例,藉以作為估算經濟不確定性的替代指標。

三位學者最初為美國EPU的計算設定,是在10份美國大報之上,找出有多少文章同時有「Economic」及「Economy」這兩個代表經濟的字詞;「Uncertainty」及「Uncertain」這兩個不確定相關的字眼;並同時有以下任何一個與政策相關的字詞,如「Federal Reserve」、「Congress」、「Deficit」、「Legislation」、「Regulation」或「White House」。這類有「經濟」「政策」「不確定性」的文章出現的比例,就成為估算經濟風險的替代指標。

Economic Policy Uncertainty Index US | http://www.policyuncertainty.com/media/BakerBloomDavis.pdf |

這個基本設定,就得上圖。可以見到,在美國總統大選爭激烈時、911、波期灣戰爭及2011年的債務上限問題出現時,EPU都錄得顯著上升,反映這個指數有一定的啟示能力。

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