Research Institute of Economy, Trade and Industry
Ministry of Economy, Trade and Industry (METI)
11th floor, Annex
1-3-1 Kasumigaseki, Chiyoda-ku,
NBER Working Papers and Publications
|May 2017||Policy Uncertainty In Japan|
with Elif C. Arbatli, Steven J. Davis, Naoko Miake, Ikuo Saito: w23411
We develop new economic policy uncertainty (EPU) indices for Japan from January 1987 onwards building on the approach of Baker, Bloom and Davis (2016). Each index reflects the frequency of newspaper articles that contain certain terms pertaining to the economy, policy matters and uncertainty. Our overall EPU index co-varies positively with implied volatilities for Japanese equities, exchange rates and interest rates and with a survey-based measure of political uncertainty. The EPU index rises around contested national elections and major leadership transitions in Japan, during the Asian Financial Crisis and in reaction to the Lehman Brothers failure, U.S. debt downgrade in 2011, Brexit referendum, and Japan’s recent decision to defer a consumption tax hike. Our uncertainty indices for fisc...