Working paper/research report

Authors list: Grebe, Moritz; Kandemir, Sinem; Tillmann, P

Publication year: 2023

URL: https://hdl.handle.net/10419/272263

Title of series: IMFS Working Paper Series

Number in series: 184

Abstract: 

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.

Harvard Citation style: Grebe, M., Kandemir, S. and Tillmann, P. (2023) Uncertainty about the war in Ukraine: Measurement and effects on the German business cycle. (IMFS Working Paper Series, 184). Frankfurt am Main: Institute for Monetary and Financial Stability. https://hdl.handle.net/10419/272263

APA Citation style: Grebe, M., Kandemir, S., & Tillmann, P. (2023). Uncertainty about the war in Ukraine: Measurement and effects on the German business cycle. (IMFS Working Paper Series, 184). Institute for Monetary and Financial Stability. https://hdl.handle.net/10419/272263