A Century of Economic Policy Uncertainty Through the French-Canadian Lens

TL;DR

This paper introduces a new method to measure economic policy uncertainty in Quebec over a century using French news, demonstrating its relevance in macroeconomic nowcasting.

Contribution

It develops a novel token-distance-based triple approach for identifying EPU mentions in texts and constructs a long-term EPU index for Quebec.

Findings

The EPU index correlates with macroeconomic indicators.

The method effectively captures historical EPU trends.

The index improves macroeconomic nowcasting accuracy.

Abstract

A novel token-distance-based triple approach is proposed for identifying EPU mentions in textual documents. The method is applied to a corpus of French-language news to construct a century-long historical EPU index for the Canadian province of Quebec. The relevance of the index is shown in a macroeconomic nowcasting experiment.