Research on Economic Policy Uncertainty

Our Work

"Measuring Economic Policy Uncertainty" (2016)

     -Replication Files:

     -Human Audit Files:

     -Guide to Hand-Coding Newspaper Articles: Coding_Guide.pdf

     -2013 vintage (includes additional policy uncertainty measures): EPU_BBD_2013.pdf

"An Index of Global Economic Policy Uncertainty" (2016)

"Immigration fears and policy uncertainty" (2015)

"Regulatory Complexity and Policy Uncertainty: Headwinds of Our Own Making" (2015)

"Presentation to G20 Central Bank Governors" (2015)

"What Triggers Stock Market Jumps?" (2015)

"Why Has U.S. Policy Uncertainty Risen Since 1960?" (2015)

     - Data

"Fluctuations in Uncertainty" (2014)

"Has Economic Policy Uncertainty Hampered the Recovery?" (2012)

Other Research Using our Data

Aastveit, Knut, Gisle J. Natvik, and Sergio Sola (2013), "Economic uncertainty and the effectiveness of monetary policy"

Amengual, Dante and Dacheng Xiu (2013), "Resolution of Policy Uncertainty and Sudden Declines in Volatility"

Antonakakis, Nikolaos; Chatziantoniou, Ioannis and Filis, George (2012), "Dynamic Co-movements between Stock Market Returns and Policy Uncertainty"

Azzimonti, Marina and Matthew Talbert (2013), "Polarized Business Cycles"

Bakas, Dimitrios, Theodore Panagiotidis and Gianluigi Pelloni (2016), "On the significance of labour reallocation for European unemployment: Evidence from a panel of 15 countries"

Bachmann, Rüdiger, Steffen Elstener, and Eric Sims (2011), "Uncertainty and Economic Activity: Evidence from Business Survey Data"

Bailey, Warren, Lin Zheng, and Yinggang Zhou (2012), "What makes the VIX tick?"

Balcilar, Mehmet, Tsangyao Chang, Rangan Gupta and Xiao-lin Li (2013), "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach"

Benati, Luca (2013), "Economic Policy Uncertainty and the Great Recession"

Bhagat, Sanjai, Ghosh, Pulak and Rangan, Srinivasan P. (2013), "Economic Policy Uncertainty and Economic Growth in India"

Bhagat, Sanjai and Obreja, Iulian (2013), "Employment, Corporate Investment and Cash Flow Uncertainty"

Bontempi, M. E., R. Golinelli and M. Squadrani (2016), "A New Index of Uncertainty Based on Google Trends: a Friend or Foe of Other Indicators?"

Bordo, Michael, John Duca, and Christoffer Koch (2016), "Economic Policy Uncertainty and the Credit Channel: Aggregate and Bank Level U.S. Evidence over Several Decades"

Born, Benjamin and Pfeifer, Johannes (2012), "Policy risk and the business cycle"

Brogaard, J and Detzel, A. (2012), "The Asset Pricing Implications of Government Economic Policy Uncertainty"

Caggiano, Giovanni, Efrem Castelnuovo and Nicolas Groshenny (2013), "Uncertainty Shocks and Unemployment Dynamics: An Analysis of Post-WWII U.S. Recessions"

Chen, Jian, Fuwei Jiang and Guoshi Tong (2016), "Economic Policy Uncertainty in China and Stock Market Expected Returns"

Chi, Qinwei and Wenjing Li.(2017). "Economic policy uncertainty, credit risks and banks' lending decisions: Evidence from Chinese commercial banks" China Journal of Accounting Research. 10(1),33-50.

Colombo, Valentina (2013), "Economic policy uncertainty in the US: Does it matter for the Euro Area?"

Creal, Drew and Jing Wu (2013), "Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty"

Davig, Troy and Andrew T. Foerster (2013), "Uncertainty and Fiscal Cliffs"

Ernst, Ekkehard and Christian Viegelahn (2014), "Hiring uncertainty: a new labour market indicator"

European Commission (2013), "Quarterly Report of the Euro Area, Volume 12, no. 2"

European Central Bank (2013), "ECB Monthly Bulletin"

Fanta, F and Sum, V. (2013), "Long-Run Relation and Speed of Adjustment of Economic Policy Uncertainty and Excess Return Volatility"

Ferrara, Laurent and Guerin, Pierre (2015), "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?"

Fernandez-Villaverde, Jesus, Guerron-Quintana, Pablo, Kuester, Keith and Juan Rubio-Ramirez (2011), "Fiscal volatility shocks and economic activity"

Francis, Bill B, Iftekhar Hasan, and Yun Zhu(2013), "Political Uncertainty and Bank Loan Contracting "

Giertz, Stan H. and Jacob Feldman (2012), "The Economic Costs of Tax Policy Uncertainty: Implications for Fundamental Tax Reform"

Gregory, Krag and Rangel, Jose (2012), "Links between policy uncertainty and equity volatility"

Gunnemann, Julius (2014), "The impact of policy-related uncertainty on the economy: New evidence from Europe"

Gulen, Huseyin and Ion, Mihai (2012), "Policy uncertainty and corporate investment"

Henzel, Steffen and Rengel, Malte (2013), "Dimensions of macroeconomic uncertainty: A common factor analysis"

Hollmayr, Josef and Matthes, Christian (2013), "Learning about Fiscal Policy and the Effcts of Policy Uncertainty"

Istrefi, Klodiana and Piloiu, Anamaria (2013), ""Economic Policy Uncertainty and Inflation Expectations""

International Labour Organization (2014), "Global Employment Trends"

International Monetary Fund (2013), "Article IV Consultation"

International Monetary Fund (2013), "Hopes, Realities, Risks"

International Monetary Fund (2014), "IMF Country Report - India"

Jiang, Fuwei and Guoshi Tong (2016), "Monetary Policy Uncertainty and Bond Risk Premium"

Johannsen, B (2012), "When are the Effects of Fiscal Policy Uncertainty Large"

Johnson, T and Lee, J (2012), "Systematic Volatility of Unpriced Earnings Shocks"

Jones, P and Olson, E (2012), "The Time-Varying Correlation Between Uncertainty, Output, and Inflation: Evidence From a DCC-GARCH Model"

Kang, Wensheng and Ronald A. Ratti and Joaquin L. Vespignani (2017), "Oil Price Shocks and Policy Uncertainty: New Evidence on the Effects of US and non-US Oil Production"

Kang, Wensheng and Ronald A. Ratti (2012), "Oil Shocks, Policy Uncertainty and Stock Market Return"

Kose, M. Ayhan and Marco Terrones (2012), "How Does Uncertainty Affect Economic Performance?"

Lam, Swee Sum and Weina Zhang (2013), "Does Policy Uncertainty Matter for International Equity Markets? "

Leduc, Sylvain and Liu, Zheng (2016), "Uncertainty shocks are aggregate demand shocks"

Manzo, Gerardo (2013), "Political Uncertainty, Credit Risk Premium and Default Risk"

Mezrich, Joseph and Yasushi Ishikawa (2013), "Unexpressed optimism (Roubini is right)"

Orlik, Anna and Veldkamp, Laura, (2013), "Understanding Uncertainty Shocks"

Nodari, Gabriela, (2013), "Financial Regulation Policy Uncertainty and Credit Spreads in the US"

Pastor, Lubos and Veronesi, Pietro, (2011a), "Uncertainty about government policy and stock prices"

Pastor, Lubos and Veronesi, Pietro, (2011b), "Political Uncertainty and Risk Premia"

Piano, Stefano (2013), "The impact of European Economic Policy Uncertainty on the economic performance of the Eurozone"

Rossini, Luca (2013), "Economic Policy Uncertainty: Consequences for the Labor Market Dynamics"

Scheffel, Eric M. (2015),"Accounting for the Political Uncertainty Factor"

Squadrani, Matteo (2014), "A Google Trends Approach to Measuring Policy Uncertainty"

Stelter, Daniel (2012), "Ending the era of Ponzi Finance"

Stock, James and Mark Watson. (2012), "Disentangling the Channels of the 2007-2009 Recession"

Shoag, D. and Veuger, S. (2012), "Uncertainty and the geography of the great recession"

Sum, V (2012), "Financial stress and economic policy uncertainty: Impulse response function and causality"

Sum, V (2012), "Economic Policy Uncertainty in the United States and Europe: A Cointegration Test"

Sum, V (2012), "The Impulse Response Function of Economic Policy Uncertainty and Stock Market Returns: A Look at the Eurozone"

Wisniewski, Tomasz Piotr and Brendan John Lambe (2015), "Does economic policy uncertainty drive CDS spreads?"

Financial Applications

The items listed here apply our policy uncertainty measures to questions of interest for investors and finance professionals. This list is meant to be an illustrative, not exhaustive, sample of analyses utilizing our work in the financial industry.

25 January 2017, Deutsche Bank, "Uncertainty is Slowing Capital Expenditure"

December 2016, State Street, "State Street Global Advisors"

8 November 2016, Moody's Investors Service, "Weak Growth Expectations and High Uncertainty are Weighing on Investment"

October 2016, Allianz Investment, "Allianz Investment Strategy Outlook"

July 2016, Morgan Stanley, "FX Pulse"

July 2016, Deloitte, "Deloitte CFO Survey"

July 2016, BlackRock, "Global Investment Outlook"

2 June 2016, Wells Fargo Research, "Does Economic Activity Slow in Election Years?"

27 July 2015, Joel Prakken, "The Return of Fiscal Policy Uncertainty"

28 October 2014, Tomasz Piotr Wisniewski and Brendan John Lambe, "Does Economic Policy Uncertainty Drive CDS Spreads?"

27 June 2014, Goldman Sachs, "The Return of Political Polarization?"

7 March 2014, Goldman Sachs, "Keeping the Faith in Cap-ex Recovery"

24 October 2013, Goldman Sachs, "Back to Fed Basics"

11 October 2013, Goldman Sachs Global Economics, Commodities and Strategy Research, "The Debt Limit: Are There Some Lines Congress Won't Cross?"

9 October 2013, Wells Fargo, "Looking for Certainty in an Uncertain World"

2 October 2013, Goldman Sachs Global Economics, Commodities and Strategy Research, "Still-firm data are a bulwark against politicians at the gate"

25 September 2013, Goldman Sachs, "Business investment - restrained growth in a subdued recovery"

19 June 2013, Cornerstone, "US Research Quarterly"

29 May 2013, Institutional Investor, "Examining the Contradictions of RORO"

17 April 2013, Instinet, "The uncertainty that matters - the drag on the market"

12 November 2012, Goldman Sachs, "The Buzz: Links between policy uncertainty and equity volatility"

23 October 2012, Deutsche Bank, "Economic Policy Uncertainty Could Be Turning a Corner: Vol Next?"

19 October 2012, Goldman Sachs, "Policy Uncertainty: Is Now the Time?"

17 October 2012, Bloomberg Financial Conditions Watch, "Improving Global Financial Conditions - A Catalyst for Stronger Global Growth in 2013?"

2 September 2012, Nomura, "Russia, Value, Organic GARP, Dividends, Tech, Financials"

22 August 2012, Citibank, "Riding Global Waves of Uncertainty: Asia's Ongoing Journey"

31 June 2012, Fidelity, "Quarterly Market Update"

17 April 2012, State Street Bank - Mr. Risk, "Quantifying Uncertainty"

21 March 2012, BBVA, "Uncertainty: Models and Impacts"

Congressional Testimony and Central Bank Speeches

16 February 2017, Congressional Testimony - Stan Veuger, "Policy Uncertainty and the Small Business Economy"

5 December 2016, Bank of England - Mark Carney, "The Spectre of Monetarism"

23 November 2016, Bank of England - Kristin Forbes, "Uncertainty about Uncertainty"

5 October 2016, New Zealand Reserve Bank - John McDermott, "Policy uncertainty from a central bank perspective"

30 June 2016, Bank of England - Mark Carney, "Uncertainty, the economy and policy"

30 September 2015, Progressive Policy Institute, "Business Investment in the United States: Facts, Explanations, Puzzles, and Policies"

27 May 2014, House Revenue Committee, "Stop-Gap Budget Options Put State on Wrong Path"

24 September 2013, Mark Zandi, The Impact of Political Uncertainty on Jobs and the Economy, Before the Senate Committee on Budget

24 September 2013, Chad Stone, Testimony of Chad Stone, Chief Economist, Center on Budget and Policy Priorities, Before the Senate Committee on Budget

24 April 2013, Kevin Hasset, Testimony to Congress

13 February 2013, Casey Mulligan, Testimony to Congress

22 January 2013, Simon Johnson, Testimony to Congress

31 August 2012, Ben Bernanke, Speech at Jackson Hole

20 September 2012, Olympia Snow, Presentation to the US Senate

20 September 2012, John Taylor, Testimony to Congress - Committee of Judiciary

10 July 2012, John Goodman, Testimony to Congress

18 April 2012, Aparna Mathur, Testimony to Congress

If you have research or analysis using our Economic Policy Uncertainty Index and would like to be included on this list, please let us know.