US Equity Market Uncertainty Index

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News Coverage about US Equity Market-related Economic Uncertainty

From August 7, 2013, we provide an improved version of our daily equity market uncertainty index. The new version offers greater accuracy in the most recent data, and it better conforms to the measurement practices used in our monthly newspaper-based EPU index. The old version of the daily equity market uncertainty index remains available here and will continue to be updated. In addition, on August 16th 2013, we fixed a bug that had caused a small number of dates to display inflated values.

We construct our Index of Equity Market Uncertainty through an analysis of newspaper articles containing terms related to equity market uncertainty. For this exercise, we use newspapers from Access World New's NewsBank service.

We restrict our attention to newspapers in the United States, of which NewsBank covers well over 1000 in recent years. These newspapers range from large national papers like USA Today to small local newspapers. The data run from 1985 to the present. To construct our index, we first obtain daily counts of articles containing the term 'uncertainty' or 'uncertain', the terms 'economic' or 'economy' and one or more of the following terms: 'equity market', 'equity price', 'stock market', or 'stock price'. In other words, to meet our criteria for inclusion the article must include terms in all three categories pertaining to uncertainty, the economy, and the stock market.

The number of newspapers that NewsBank covers has drastically increased from 18 in 1985 to over 1800 by 2008. To adjust for this growth in newspaper coverage, we scale the raw daily counts of articles about equity market uncertainty by the total count of articles in the same newspapers. We then normalize the time-series of scaled counts to an average value of 100 from 1985-2010.