TY  - UNPD
A1  - Grebe, Moritz
A1  - Kandemir, Sinem
A1  - Tillmann, Peter
T1  - Uncertainty about the war in Ukraine: measurement and effects on the German business cycle
N2  - We assemble a data set of more than eight million German Twitter posts related to the war in Ukraine. Based on state-of-the-art methods of text analysis, we construct a daily index of uncertainty about the war as perceived by German Twitter. The approach also allows us to separate this index into uncertainty about sanctions against Russia, energy policy and other dimensions. We then estimate a VAR model with daily financial and macroeconomic data and identify an exogenous uncertainty shock. The increase in uncertainty has strong effects on financial markets and causes a significant decline in economic activity as well as an increase in expected inflation. We find the effects of uncertainty to be particularly strong in the first months of the war.
T3  - Working paper series / Institute for Monetary and Financial Stability - 184 
KW  - war
KW  - Twitter
KW  - geopolitical risk
KW  - machine learning
KW  - business cycle
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/69206
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-692069
UR  - https://www.imfs-frankfurt.de/de/forschung/imfs-working-papers/details/mm_publication/detail/publication/uncertainty-about-the-war-in-ukraine-measurement-and-effects-on-the-german-business-cycle.html
N1  - Financial support from Fritz Thyssen Stiftung is gratefully acknowledged.
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -