Economic Uncertainty Related Queries (EURQ)

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We are pleased to host the Economic Uncertainty Related Queries (EURQ), an index that measures the volume of Internet searches of uncertainty-related topics. The index was developed by Maria Elena Bontempi, Michele Frigeri, Roberto Golinelli and Matteo Squadrani at the University of Bologna (Italy). The EURQ is available at a monthly frequency from January 2004, and, at present, is available for United States and Italy.

An attractive feature of EURQ is that, being based on Internet search activity, it measures people's interests and desires for more knowledge. The choice of search queries is of paramount importance to capture uncertainty feelings. For the US, Bontempi et al. selected 184 queries closely related to 210 search terms that Baker, Bloom and Davis (QJE, 2016) use to create the Newsbank version - based exclusively on news data - of their EPU indexes. To construct EURQ Italy, Bontempi et al. adjusted the pool of Newsbank search terms to fit the Italian case, and ended up with a list of 163 queries.

From a methodological point of view, EURQ is related to a news-based approach. However, replacing the frequency of newspaper articles that contain specific terms with the intensity of individual searches of similar words involves a shift in focus, from the channel through which the message is conveyed (the press, the media) to the receivers of the message (individuals). This is a second attractive feature of EURQ: our understanding of economic uncertainty is improved by comparing EURQ with other uncertainty indicators (news-based, forecast-based and finance-based, capturing, respectively, opinions of journalists, feelings of the respondents to surveys, and risk aversion and sentiment of investors).

Another attractive aspect of EURQ is its reliance on an "open-source survey" of the population of searchers on the web, and of detecting changes in people's moods and feelings at any early stage. EURQ is downloadable in real time, updated frequently, and is easy to compute. The authors are working to compute analogous indexes for France and the UK, as well as for different regions inside the same country. An additional interesting point is the possibility to compute separate indexes specific to macroeconomic, financial and political/normative uncertainty, once the appropriate lists of search terms are developed.

EURQ users should cite Bontempi M.E., Frigeri M., Golinelli R., and Squadrani M, (2018) "Uncertainty, Perception and Internet" available at this link. The paper motivates and explains the construction of the index. The paper also tests and discusses the EURQ index in comparison with other indexes of uncertainty, at the aggregate level and for distinct categories of economic and policy uncertainty.