Uncertainty Data

Macro and Financial Uncertainty Indexes

This site provides Uncertainty index data for the broader macro economy and the financial sector. The indexes use the methodology described in "Measuring Uncertainty" and "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?". These indexes are typically updated twice per year.

Most recent data update: In the most recent update, total macro uncertainty decreased 4.5% from end of December 2023 to the end of June 2024, while total financial uncertainty increased 12%.

DOWNLOAD UNCERTAINTY DATA:

Updated macro, real, financial uncertainty indexes 1960:07-2024:06 click HERE.* Vintages HERE.

Data appendix HERE.

*To run codes posted at AER and AEJ: Macro use recently updated R code HERE that incorporates changes in stochvol package.

**Spikes in the indexes in 2020 and 2021 attributable to COVID-19 are purged using the methodology based on Model 4 of paper HERE using data on COVID-19 hospitalizations and number of cases. Previous estimates used data from the COVID Tracking Project, which ended in 2021. Subsequently we use data from the U of Minnesota COVID-19 tracking project https://carlsonschool.umn.edu/mili-misrc-covid19-tracking-project for hospitalizations, and the New York Times https://www.nytimes.com/interactive/2021/us/covid-cases.html for cases. These adjustments are effectively zero starting in 2022.