Monthly U.S. Economic Policy Uncertainty index

Source: R/sentometrics.R

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")

Format

A data.frame with 403 rows and 4 columns.

Source

Measuring Economic Policy Uncertainty. Retrieved August 24, 2018.

References

Baker, Bloom and Davis (2016). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics 131, 1593-1636, doi:10.1093/qje/qjw024 .

Examples

data("epu", package = "sentometrics")
head(epu)
#>         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