Economic Policy Uncertainty: A Review on Applications and Measurement
  Methods with Focus on Text Mining Methods
Fatemeh Kaveh-Yazdy Sajjad Zarifzadeh
Economic Policy Uncertainty (EPU) represents the uncertainty realized by the
investors during economic policy alterations. EPU is a critical indicator in
economic studies to predict future investments, the unemployment rate, and
recessions. EPU values can be estimated based on financial parameters directly
or implied uncertainty indirectly using the text mining methods. Although EPU
is a well-studied topic within the economy, the methods utilized to measure it
are understudied. In this article, we define the EPU briefly and review the
methods used to measure the EPU, and survey the areas influenced by the changes
in EPU level. We divide the EPU measurement methods into three major groups
with respect to their input data. Examples of each group of methods are
enlisted, and the pros and cons of the groups are discussed. Among the EPU
measures, text mining-based ones are dominantly studied. These methods measure
the realized uncertainty by taking into account the uncertainty represented in
the news and publicly available sources of financial information. Finally, we
survey the research areas that rely on measuring the EPU index with the hope
that studying the impacts of uncertainty would attract further attention of
researchers from various research fields. In addition, we propose a list of
future research approaches focusing on measuring EPU using textual material.