Monthly news-based U.S. Economic Policy Uncertainty (EPU) index (Baker, Bloom and Davis, 2016). Goes from January 1985 to July 2018, and includes a binomial and a multinomial example series. Following columns are present:
date. Date as "yyyy-mm-01"
.
index. A numeric
monthly index value.
above. A factor
with value "above"
if the index is greater than the mean of the entire series, else
"below"
.
aboveMulti. A factor
with values "above+"
, "above"
, "below"
and "below-"
if the
index is greater than the 75% quantile and the 50% quantile, or smaller than the 50% quantile and the 25% quantile,
respectively and in a mutually exclusive sense.
data("epu")
A data.frame
with 403 rows and 4 columns.
Measuring Economic Policy Uncertainty. Retrieved August 24, 2018.
Baker, Bloom and Davis (2016). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics 131, 1593-1636, doi: 10.1093/qje/qjw024 .
#> date index above aboveMulti #> 1 1985-01-01 103.74880 below above #> 2 1985-02-01 78.31320 below below- #> 3 1985-03-01 100.76148 below below #> 4 1985-04-01 84.77887 below below #> 5 1985-05-01 98.05366 below below #> 6 1985-06-01 119.59715 above above