A macroeconomic uncertainty index for greece and europe based on Google trends

Abstract

The aim of this paper is the creation of a macroeconomic uncertainty index for the European Union countries based on Google Trends, for fifteen years, from January 2008 to December 2022. Monthly data were collected for the 27 countries for four different word-terms, as well as for unemployment rate, inflation and the 10-year Government Bond yield. For the simplicity of the research the investigated keywords were in English and not translated in each country’s language. Our findings were then compared to existing uncertainty indices. Lastly, each country’s uncertainty index was Impulse Response Functioned (IRF) with the forementioned economic indicators, showing what effect a one standard deviation shock on the uncertainty index has on all three indicators and its ability to accurately depict the future precariousness of the country.