A news-based economic policy uncertainty index for Nigeria
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Date
Authors
Salisu, Afees A.
Salisu, Sulaiman
Salisu, Subair
Journal Title
Journal ISSN
Volume Title
Publisher
Springer
Abstract
In this study, we develop the first daily news-based Economic Policy Uncertainty (EPU)
index for Nigeria, which was previously not covered in recent EPU indices. The need
to track economic uncertainties in Nigeria becomes crucial for investment and policy,
especially with the renewed interest in the country as an important investment destination. To construct the EPU index, we use relevant keywords from articles in prominent
newspapers in the country, covering the aftermath of the global financial crisis and the
COVID pandemic, with a data scope of January 2010 to November 2022. We evaluate
the predictability of the index by examining its connection with economic and financial
variables like exchange rates, stock prices, and inflation in Nigeria. The results are robust
to alternative model specifications, data frequencies, and multiple forecast horizons. We
hope to extend this exercise to other useful indices, including Geopolitical Risk, Financial
Stress Indicators, and Monetary Policy Uncertainty, which are not readily available for
Africa, including Nigeria.
Description
Keywords
News, Nigeria, Machine learning, Predictability, Forecast evaluation, SDG-08: Decent work and economic growth, SDG-09: Industry, innovation and infrastructure, Economic policy uncertainty (EPU)
Sustainable Development Goals
SDG-08:Decent work and economic growth
SDG-09: Industry, innovation and infrastructure
SDG-09: Industry, innovation and infrastructure
Citation
Salisu, A., Salisu, S. & Salisu, S. 2024, 'A news-based economic policy uncertainty index for Nigeria', Quality and Quantity, vol. 58, pp. 4987–5002, doi : 10.1007/s11135-024-01886-x.