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國立臺灣大學計量理論與應用研究中心 - CRETA
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2023 年 12 月 29 日 CRETA Seminar - Semantics Matter: An Empirical Study on Economic Policy Uncertainty Index
訊息標題：
2023 年 12 月 29 日 CRETA Seminar - Semantics Matter: An Empirical Study on Economic Policy Uncertainty Index簡介摘要：
國立臺灣大學計量理論與應用研究中心 (CRETA) 及臺灣經濟計量學會 (TES) 將於 2023 年 12 月 1 日舉辦 CRETA Seminar。相關資訊如下：
【 12 月 29 日 CRETA Seminar】
日期：2023 年 12 月 29 日 (週五) 下午 2:00~3:30
地點：國立臺灣大學管理學院一號館 403 教室
講者：黃裕烈教授 (國立清華大學計量財務金融學系)
演講主題：Semantics Matter: An Empirical Study on Economic Policy Uncertainty Index
講題摘要：
When dealing with textual data, previous studies mainly use the keyword-based matching method to construct indices. The EPU index proposed by Baker et al. (2016) is one example. However, in this paper, we argue that due to its neglect of semantics, such keyword matching generates excessive noise, which affects index quality and further leads to incorrect inferences. We address this shortcoming by adopting the EPU index as an example. We investigate several neural network models and select the best-performing classifier to remove the noise caused by keyword matching. Our empirical results show that the de-noised EPU index is useful in predicting economic variables and generating superior out-of-sample forecasts. Furthermore, the effects of policy uncertainty shocks on core macro variables of interest are consistent with the predictions of macroeconomic theory. Because the proposed approach is a general framework, in the future all keyword matching-based indexes can be improved under the same approach.
備註事項：
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報名期限：2023/12/28 (四) 中午 12:00
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