Abstract:
Evidence indicates that uncertainty has a significant and relevant effect on macro economic and financial variables. In this work we review existing studies about the relationship between uncertainty and economic and financial variables, such as Bonds and Credit Default Swaps. To investigate these relations we will estimate a Structural Topic Model, based on textual data from an online Social Network about uncertainty. Specifically we will use Italian tweets, collected in the years 2018-2019, explicitly mentioning uncertainty. This model will allow us to categorize tweets about uncertainty by topic and to hence construct domain and topic specific uncertainty indexes. In order to validate our indexes and to analyze their relations with market phenomena, we
estimate a SVEC model, to highlight the relations between social and market uncertainty phenomena in Italy.
