News and Narratives: A Cointegration Analysis of Russian Economic Policy Uncertainty

17 Pages Posted: 26 Apr 2022

See all articles by Andrea Boitani

Andrea Boitani

Catholic University of the Sacred Heart of Milan

Catalin Dragomirescu-Gaina

Catholic University of Milan; Università degli Studi di Milano-Bicocca - Center for European Studies (CefES)

Date Written: April 23, 2022

Abstract

Russia has become more integrated and dependent on global developments over the last decades, despite being ruled by an increasingly autocratic regime. How does Russian media cover the associated economic and policy challenges? To answer, we use the economic policy uncertainty indexes as proxies for media coverage, together with a limited set of variables reflecting both domestic and international developments. Our main findings come from a VEC model estimated with two cointegrating vectors, encompassing two long-term equilibria. A first cointegrating vector describes the domestic political context, highlighting the key role that media coverage can play in supporting autocratic regimes. While the second cointegrating vector is associated with international developments, portraying swings in global risk appetite, we find that deviations from it can, too, drive popular support for the incumbent president. To see more precisely how Russian media coverage can be used as a policy instrument, we employ several narrative proxies and find that (only in the short run) some of these might be used to exert control and influence, while others to justify policy errors or successes.

Keywords: economic policy uncertainty; media coverage; cointegration analysis

JEL Classification: C50, D80, F50, P50

Suggested Citation

Boitani, Andrea and Dragomirescu-Gaina, Catalin, News and Narratives: A Cointegration Analysis of Russian Economic Policy Uncertainty (April 23, 2022). University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 496, Available at SSRN: https://ssrn.com/abstract=4091630

Andrea Boitani (Contact Author)

Catholic University of the Sacred Heart of Milan ( email )

Largo Gemelli, 1
Via Necchi 9
Milan, MI 20123
Italy

Catalin Dragomirescu-Gaina

Catholic University of Milan ( email )

1 Largo A. Gemelli
Milano (Milan), MI Milano 20123
Italy

Università degli Studi di Milano-Bicocca - Center for European Studies (CefES) ( email )

U6 Building
Viale Piero e Alberto Pirelli, 22
Milano, 20126
Italy

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