The economic uncertainty index: the Brazilian case, its relations with the freedom of the press and new estimation methods


In this talk I will present the recent developments made by our group at FGV regarding the economic uncertainty index. In the first part, accessible to the general public, I will describe the economic uncertainty index and its Brazilian version, developed and calculated by FGV. In the second part, we use Bayesian inference methods for missing data in asynchronous freedom of the press data and show that the economic uncertainty index is, in a way, orthogonal to the volatility of the stock indexes of the local markets. In the last part of the talk I will present our advances in the direction of improving this and other word-based indexes, where we use Bayesian methods of particle filters to understand the importance of each word in the construction of an index.

Oct 1, 2020 12:00 AM
Departmental seminar, School of Economics USP-RP
School of Economics USP-RP
Rodrigo S. Targino
Rodrigo S. Targino
Assistant Professor of Statistics