Uncertainty about the War in Ukraine: Measurement and Effects on the German Business Cycle

The authors assemble a data set of more that eight million German Twitter posts related to the war in Ukraine. Based on state-of-the-art methods of text analysis, they construct a daily index of uncertainty about the war as perceived by German Twitter. The approach also allows them to separate this index into uncertainty about sanctions against Russia, energy policy and other dimensions. They then estimate a VAR model with daily financial and macroeconomic data and identify an exogenous uncertainty shock.