Google It Up! A Google Trends-Based Uncertainty Index for the United States and Australia

25 Pages Posted: 10 Oct 2017

See all articles by Efrem Castelnuovo

Efrem Castelnuovo

Melbourne Institute and Department of Economics; University of Padua - Department of Economics

Trung Duc Tran

University of Melbourne - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: October 9, 2017

Abstract

We develop uncertainty indices for the United States and Australia based on freely accessible, real time Google Trends data. Our Google Trends Uncertainty (GTU) indices are found to be positively correlated to a variety of alternative proxies for uncertainty available for these two countries. VAR investigations document an economically and statistically significant contribution to unemployment dynamics by GTU shocks in the United States. In contrast, the contribution of GTU shocks to unemployment dynamics in Australia is found to be much milder and substantially lower than that of monetary policy shocks.

Keywords: Google Trends Uncertainty indices, uncertainty shocks, unemployment dynamics, VAR analysis

JEL Classification: C32, E32, E51

Suggested Citation

Castelnuovo, Efrem and Tran, Trung Duc, Google It Up! A Google Trends-Based Uncertainty Index for the United States and Australia (October 9, 2017). Melbourne Institute Working Paper No. 27/17. Available at SSRN: https://ssrn.com/abstract=3050294 or http://dx.doi.org/10.2139/ssrn.3050294

Efrem Castelnuovo (Contact Author)

Melbourne Institute and Department of Economics ( email )

Melbourne, 3010
Australia

HOME PAGE: http://https://sites.google.com/site/efremcastelnuovo/home

University of Padua - Department of Economics ( email )

via Del Santo 33
Padova, 35123
Italy

Trung Duc Tran

University of Melbourne - Department of Economics ( email )

Melbourne, 3010
Australia

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