台灣經濟政策不確定性指標之建構與分析

The Great Recession appears to have dramatically increased the levels of economic risk and uncertainty and motivated a series of recent efforts to disentangle policy-uncertainty-related issues. Uncertainty shocks like the recent Great Recession may influence long-run consumption, saving, investment behavior and unemployment. In this paper we follow the recent media-based-search approach in Baker, Nicholas, and Davis (2016) to construct a new measure of Taiwanese economic policy uncertainty (EPU) index to characterize the economic policy uncertainty for Taiwan. The index is shown to be informative in explaining/forecasting future major domestic macroeconomic and financial variables. When turning to linkages with EPU indices from other major trading countries around the world via the models by Diebold and Yilmaz (2009, 2014), we found that about one-half domestic economic uncertainty is solely from the Taiwanese EPU index itself; and that spillover from the US and Japan is also important. We hope the newly constructed Taiwanese EPU index can be used as a foundation for theoretical and empirical domestic research in macroeconomics, finance, politics and social policy and be used in conjunction with global policy research.