  Quantification of economic uncertainty is a key concept for the prediction of
macro economic variables such as gross domestic product (GDP), and it becomes
particularly relevant on real-time or short-time predictions methodologies,
such as nowcasting, where it is required a large amount of time series data,
commonly with different structures and frequencies. Most of the data comes from
the official agencies statistics and non-public institutions, however, relying
our estimates in just the traditional data mentioned before, have some
disadvantages. One of them is that economic uncertainty could not be
represented or measured in a proper way based solely in financial or
macroeconomic data, another one, is that they are susceptible to lack of
information due to extraordinary events, such as the current COVID-19 pandemic.
For these reasons, it is very common nowadays to use some non-traditional data
from different sources, such as social networks or digital newspapers, in
addition to the traditional data from official sources. The economic policy
uncertainty (EPU) index, is the most used newspaper-based indicator to quantify
the uncertainty, and is based on topic modeling of newspapers. In this paper,
we propose a methodology to estimate the EPU index, which incorporates a fast
and efficient method for topic modeling of digital news based on semantic
clustering with word embeddings, allowing to update the index in real-time,
which is a drawback with another proposals that use computationally intensive
methods for topic modeling, such as Latent Dirichlet Allocation (LDA). We show
that our proposal allow us to update the index and significantly reduces the
time required for new document assignation into topics.
