New Zealand Monthly Index

Download Data                                            Download Annotated Slides

We are pleased to host two indexes of economic policy uncertainty for New Zealand developed by Sara Ali, Ihsan Badshah, Riza Demirer and Prasad Hegde.

The authors construct two newspaper-based EPU Indices for New Zealand at a monthly frequency from January 1997 to March 2021, following the index construction methods in "Measuring Economic Policy Uncertainty" by Scott Baker, Nick Bloom and Steven Davis. They consider articles published in four New Zealand newspapers: The New Zealand Herald, Fairfax Newspapers, Stuff, and

To construct their headline EPU index, they first obtain raw monthly counts of articles that contain "uncertain" or "uncertainty" and "economic" or "economy" and one or more of the following policy-related terms: "regulation", "Reserve Bank of New Zealand", "RBNZ", "deficit", "tax", "taxation", "taxes", parliament", "senate", "cash rate", "legislation", "tariff", and "war". Second, they divide the raw EPU counts by the total number of articles in the same newspaper and month. This step yields a monthly scaled EPU count for each paper. Third, they standardize each paper's scaled EPU series to have unit standard deviation from January 1997 to March 2021. They then average these standardized values over newspapers by month. Finally, they multiplicatively normalize this average series to a mean of 100 from January 1997 to March 2021.

They also construct an alternative EPU index (Score-based EPU index) for New Zealand by applying a word-weighting scheme to each newspaper article. Their word-weighting scheme relies on the Lucene scoring method, a standard approach in the computational linguistics literature. See the description at

The authors provide more information about their methods and use their indexes to study the cross section of institutional investment returns in "Economic Policy Uncertainty and Institutional Investment Returns: The Case of New Zealand."