A new economic policy uncertainty index for Spain

We explore how sensitive is the influential Economic Policy Uncertainty (EPU) index (Baker et al., 2016) to certain key features of the construction methodology. Our results (for the case of Spain) both as regards the chronology of economic policy-related events as well as the effects of uncertainty shocks on the economy, show the relevance of fine-tuning two key methodological choices: (i) the richness of the keywords and expressions used, and (ii) the newspaper coverage. Thus, our results are not to be read only as regards the case under study (Spain), but rather convey a more general message. (C) 2019 Elsevier B.V. All rights reserved.